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对冲基金的一个共同特征是对基金经理技能的高度依赖性。对冲基金历史收益分布不服从传统分析中的正态分布 ,其形态具有明显的偏度和宽尾。用d比值定义对冲基金经理的技能 ,并使用赫斯特指数通过对对冲基金收益的趋势分析 ,能帮助判断经理技能的稳定性。这种方法对分析迅速变换策略的各种投资基金的真实投资价值具有前瞻性的提示。
One of the common features of hedge funds is the high degree of dependence on the skills of fund managers. The historical return distribution of hedge funds does not obey the normal distribution in the traditional analysis, and its shape has obvious skewness and wide tail. Defining the skills of a hedge fund manager using d ratios and using the Hurst index to analyze trend trends in hedge fund returns can help determine the manager’s skill set. This approach is forward-looking at analyzing the true value of investments in a variety of investment funds that are rapidly changing strategies.