对冲基金投资策略在中国市场环境下的应用研究-工商管理专业论文.docxVIP

万方数据 万方数据 对冲基金投资策略在中国市场环境下 的应用研究 摘 要 随着国内股指期货和融资融券机制的推出，使得对冲基金的出现和发展成为 可能。在今后一段时间里，中国的对冲基金将迎来大发展时期。 对冲基金可以采用卖空的方法来对冲市场风险，投资策略丰富多样，与传统 投资的相关度低，能够满足投资人对于多元化投资和分散风险的要求。而对冲基 金采用高杠杆的方式来扩大其投资收益，也使得投资回报相当可观。 国外的对冲基金已经经过了数十年的发展，相对较为成熟，国内的对冲基金 则刚刚起步，基于国内市场环境下的对冲基金相关研究较少。本文对对冲基金的 概念、历史以及现状进行了阐述，详细地描绘了对冲基金的投资策略，介绍了中 国在 2010 年推出的融资融券和股指期货，并利用融资融券和股指期货推出后中 国市场上可获得的公开数据来进行实证研究，证明在中国市场的环境下，采用对 冲基金策略可以对冲市场风险，使组合收益与市场走势有较低的相关度，有效降 低了组合的总体风险。最后，对全文进行总结，并指出对冲基金在国内市场环境 下遇到的一些限制，以及给出了改进的若干建议。 关键词：对冲基金 投资策略 中国市场 THE APPLICATION RESEARCH OF HEDGE FUND STRATEGIES IN CHINESE MARKET ENVIRONMENT ABSTRACT With the introduction of margin trading and stock index futures, the development of hedge fund becomes possible. Hedge funds will have a great development in the next period of time. Hedge funds can take short positions in various financial instruments to hedge market risk. There is low correlation between return of hedge funds and return of market. That really meets the requirements of investors who need a wide range of assets allocation and risk diversification. Apart from that, hedge funds use leverage to enlarge its profit to a considerable number. Hedge funds have developed several decades and became mature in the world. But it just started in China several years ago. There is less research based on hedge funds in the China environment. This paper represents the concept, history, current situation and investment strategies of hedge fund and introduces margin trading and stock index futures launched in China in 2010. After that, this paper conducts empirical research on the bases of public data and proves that the strategies used by hedge funds can hedge market risk and effectively reducing the volatility of the portfolio. It contributes to low correlation between the return of portfolio and market. Finally, this paper points out that the development of hedge fund faces some restrictions in China, and then gives some recommendations to improve these restrictions. Keywords: Hedge funds In