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对冲基金不仅使用了多样化的金融投资工具,运用了专业的投资技术,而且还采用了不同的投资策略,这极大程度的满足了不同投资者的多元化需求。本文通过詹森的阿尔法,夏普比率,索提诺比率以及最大回撤率等四个评价指标对我国公募市场上的两只对冲基金进行业绩评价,并进一步开展其风格分析,考察我国对冲基金操作策略与收益之间的关系。实证结果表明:对冲基金能够有效的对冲股票市场的风险,获得了一定的超额收益,具有较大发展潜力。
Hedge funds not only use a variety of financial investment tools, the use of professional investment technology, but also the use of different investment strategies, which largely meet the diverse needs of different investors. This paper evaluates the performance of two hedge funds in China’s public offering market by using the four evaluation indexes: Alfa, Sharpe ratio, Sotinor ratio and maximum withdrawal rate, and further conducts its style analysis to examine the operation of hedge funds in China The relationship between strategy and profit. Empirical results show that hedge funds can effectively hedge the risk of the stock market, gain some excess returns and have great potential for development.