基于GARCH-M模型的对冲基金风险评价

Evaluation of Hedge Fund Risk Based on GARCH-M model

与传统理论研究的金融资产高风险高收益的结论不同,利用GARCH-M模型分析各分类对冲基金指数的风险收益状况,发现部分分类对冲基金指数收益表现出高风险低收益的状况。原因在于高杠杆和衍生品的复杂性使得对冲基金的收益与风险更加复杂化,不能简单地认为对冲基金在高风险状况下可以提供更高的收益。国外学者研究发现,对冲基金的解散率比较高的主要原因是由于投资的失败,一般存续时间为3-5年,这提醒投资者选择对冲基金时要更多地考虑风险承受水平。

Different from the conclusions of financial assets with high risk bringing high earnings studied by tradition- al theories, an analysis is made by using GARCH - M model on risk and earnings of classified hedge fund index, discovering that earnings performance of some classified hedge fund index illustrates a high risk versus a low earn- ing. The reason for high leverage and complexity of derivatives has made more sophisticated earning and risk situa- tion for hedge fund. It can＇ t be readily believed that hedge fund will offer higher earning in the higher risk profile. The research made by foreign scholars discovers that the reason for a high dismissal rate of hedge fund is failure of investment with a general duration of three to five years. This reminds the investors of more consideration of risk endeavor.