对冲基金经理技能研判

Study and Judgement of Hedge Fund Manager's Skill

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。

Hedge fund is characterized by high degree of dependence on the fund manager's skill.Historical income distribution of hedge fund is not subjected the traditional normal distribution.The article defines the hedge fund managers' skill with d ratio and judges the stability of the manager's skill by analysing the income trend of hedge fund with Hurst indices.The method has a lookahead prompt for analysis of true investment value of all kinds of investment funds.In view of the mysteriousness of hedge fund,the article gives a brief introduction to the fund.