中国对冲基金评价体系构建及实证研究

The Structure of Evaluation System and Empirical Analysis of Chinese Hedge Fund

随着对冲基金产品的不断丰富,构建中国对冲基金评价体系已成为一个急需解决的热点课题。基于此,分类梳理了国内外学界及评级机构所研究的不同评级指标和方法,在此基础上结合中国对冲基金市场的发展特点,选取合适的评价指标,构建中国对冲基金评价体系,并以30只对冲基金为样本进行实证检验。结果发现:中国对冲基金在运作过程中表现出业绩持续性不稳定、选股择时能力不佳等问题。最后,提出中国对冲基金的发展对策建议,包括提高基金经理专业素质;加强对冲基金信息披露制度;加强监管,规范基金运作等。

With the enrichment of hedge fund products, building a evaluation system of Chinese hedge funds has become a hot topic. Base on this background, this paper studied and combed the different rating index and methods from domestic and foreign academic papers and professional rating agencies. Combining with the characteristic of hedge funds in our country, we selected suitable index to build the evaluation system of Chinese hedge funds. Then we picked 30 hedge funds as samples to do the empirical test. The results showed that there were some problems in the operation of our hedge funds, such as weak sustainability and bad timing ability. Finally we put forward some countermeasures to the development of Chinese hedge funds accordingly, such as improving the quality of fund managers, strengthening the information disclosure system, and improving the supervision to make the fund operation more specification.