对冲基金收益特征的影响因素分析  

An Analysis on the Influencing Factors for hedge Fund Gain Features

作　　者：罗海波[1] 

机构地区：[1]华东师范大学商学院,上海200062

出　　处：《河南金融管理干部学院学报》2007年第5期88-93,共6页Journal of Henan College of Financial Management Cadres

摘　　要：对冲基金具有优化的高收益-低风险结构,这主要来自两个方面:一是良好的内在机制设计;二是外部市场环境的促进。二者相互结合,使对冲基金的有效投资边界向外得到极大扩展。实证研究表明,对冲基金收益率的外部提供者主要是全球资本市场和外汇市场,且与股票市场收益率(S&P500、DAX)、汇率水平(欧元、日元)具有较强的正相关性,与债券收益率(MSC I)的相关性为负。Hedge fund owns optimized high gain - low risk structure, which comes from two respects： sound internal mechanism designing and external market environment promotion. Interactive combination of these two respects has made effective investment boundary of hedge fund extremely expand outward. An empirical research suggests that the external providers of hedge funds revenue ratios are mainly global capital market and foreign exchange market, and there is strong positive relevance with stock market revenue ratios （S＆PS00 ,DAX）, with exchange rate levels （Euro, Yen）, a negative relevance with bond revenue ratio （Morgan Stanley Capital International, MSCI）.

关 键 词：对冲基金 收益特征 有效投资 

分 类 号：F831.7[经济管理—金融学]