对冲基金风险收益特征的实证分析

Empirical Analysis on Hedge Fund Performance

对冲基金是一种高风险的投资工具。本文采用马科维茨的资本资产定价理论及相关的投资组合风险收益分析工具,对对冲基金的收益和风险特征进行了分析,结果表明:(1)对冲基金全行业平均收益率高于标准普尔和全球债券指数收益率;(2)对冲基金收益率的时间序列不服从正态分布,其三维和四维的分布特征表明其历史收益率虽然出现异常波动的概率较低,但一旦出现,损失很大;(3)对冲基金收益率与代表传统投资工具的股票、债券收益率之间没有稳定的相关性,对冲基金在牛市和熊市都能获得绝对收益。因此,在不考虑数据偏差的条件下,投资对冲基金期望收益更高,但并不比传统投资工具“危险”。

Hedge fund has earned its evil reputation since the Asian Cttrrency Crisis of 1997 and the nearfailure of LTCM in 1998. In the recent years, rapid rising oil market and hot Chinese RMB arbitrage wave contribute an extra unfriendly mask to the Hedge Fund Industry. From a point of view of Econometric Analysing , does hedge fund really mean ‘ danger＇ ？ Following the mean - variance approach, this essay will analyze the characteristics of the historical performance of hedge fund industry. Our empirical studies show that hedge funds returns： （ 1 ） Performed better than traditional investment vehicle; （2） Are not normally distributed; （3） Are not correlated with both equity index and sovereign bond index return. As a whole, Hedge fund Industry performed much better and showed no more dangerous than traditional investment vehicle.