对冲基金投资绩效评价指标研究
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摘要
本文采用瑞士信贷的对冲基金指数对27个绩效指标进行实证检验,发现对冲基金投资策略基本能跑赢市场,并且绩效具有可持续性,但是并不符合Schuhmacher和Eling夏普比率的排序一致。究其原因是对冲基金的收益分布集中,具有低方差、高峰、负偏的特性,t location scale据。该分布虽然可以变换为标准分布,但是不同的投资策略具有不同的自由度。不一致的排序带来了指标的适用性问题,研究表明不宜单独用风险指标进行评价,比较可靠的评价指标是alpha获取收益的能力。
引文
[1]刘建和,武鑫,曹建.A股私募基金绩效评价方法选择比较研究[J].企业经济,2013,(5):158-163.
[2]张秀丽.金融风险测度模型及其蕴含的金融风险主观性[J].西南交通大学学报(社会科学版),2014,(2):77-82.
[3]Agarwal V.,N.Y.Naik.Risk and Portfolio Decisions Involving Hedge Funds[J].Review of Financial Studies,2004,17(1):63-98.
[4]Bacon C R..Practical Risk-adjusted Performance Measurement[M].WS:John Wiley&Sons,Inc.2012.
[5]Burke G..A Sharper Sharpe Ratio[J].Futures:News,Analysis&Strategies for Futures,Options&Derivatives Traders,1994,23(3):56.
[6]Dowd K..Adjusting for Risk:An Improved Sharpe Ratio[J].International Review of Economics and Finance,2000,9(3):209-222.
[7]Favre L.,J.A.Galeano.Mean Modified Value-atRisk Optimization with Hedge Funds[J].Journal of Alternative Investments,2002,5(Fall):21-25.
[8]Feller W..An Introduction to Probability Theory and Its Applications[M].NY:Wiley&Sons,1996,Vol2.
[9]Graham J.R.,C.R.Harvey.Grading the Performance of Marketing-Timing Newsletters[J].Financial Analysts Journal,1997,53(6):54-66.
[10]Gregoriou G.N.,J.P.Gueyie.Risk-Adjusted Performance of Funds of Hedge Funds Using a Modified Sharpe Ratio[J].Journal of Wealth Management,2003,6(winter):77-83.
[11]Harlow W.V..Asset Allocation in a Downside Risk Framework[J].Financial Analysts Journal,1991,47(5):28-40.
[12]Jensen M.C..The Performance of Mutual Funds in the Period 1954-1964[J].Journal of Finance,1967,23(2):389-416.
[13]Kaplan P.D.,J.A.Knowles.Kappa:A Generalized Downside Risk-Adjusted Performance Measure[J].Journal of Performance Measurement,2004,8(3):42-54.
[14]Keating C.,W.F.Shadwick.A Universal Performance Measure[M].The Finance Development Centre Limited(UK),2002.
[15]Liberty J..Geometric Information Ratio[Z].25 Comments·Fund Review,2010-04-26.
[16]Martin P.G.,B.B.McCann.The Investor’s Guide to Fidelity Funds-Winning Strategies for Mutual Fund Investing[M].WS:John Wiley&Sons,Inc,1989.
[17]Modigliani F.,L.Modigliani.Risk-Adjusted Performance[J].Journal of Portfolio Management,1997,23(2):45-54.
[18]Sharpe W.F..Mutual Fund Performance[J].Journal of Business,1966,39(1):119-138.
[19]Sharpe W.F..The Sharpe Ratio[J].The Journal of Portfolio Management,1994,21(1):49-58.
[20]Schuhmacher F.,M.Eling.A Decision-theoretic Foundation for Reward-to-Risk Performance Measures[M].Journal of Banking&Finance,2012,36:2077-2082.
[21]Sortino F.A.,van der Meer R,A.Plantinga.The Dutch Triangle:A Framework to Measure Upside Potential Relative to Downside Risk[J].Journal of Portfolio Management,1999,26:50-58.
[22]Treynor J.L..How to Rate Management Investment Funds[J].Harvard Business Review,1965,43(1):63-75.
[23]Weron R..Estimating Long-range Dependence:Finite Sample Properties and Confidence Intervals[J].Physica A,2002,312:285-299.
[24]Young T.W..Calmar Ratio:A Smoother Tool[J].Futures,1991,20(1):40.
(1)由于近年来全球经济发展平稳,股票偏空策略的表现不很好,其现值一直处于递减状态。瑞士信贷自2017年2月开始不再公布其数据。因此,本文的研究不包含偏空策略的数据。
[2]张秀丽.金融风险测度模型及其蕴含的金融风险主观性[J].西南交通大学学报(社会科学版),2014,(2):77-82.
[3]Agarwal V.,N.Y.Naik.Risk and Portfolio Decisions Involving Hedge Funds[J].Review of Financial Studies,2004,17(1):63-98.
[4]Bacon C R..Practical Risk-adjusted Performance Measurement[M].WS:John Wiley&Sons,Inc.2012.
[5]Burke G..A Sharper Sharpe Ratio[J].Futures:News,Analysis&Strategies for Futures,Options&Derivatives Traders,1994,23(3):56.
[6]Dowd K..Adjusting for Risk:An Improved Sharpe Ratio[J].International Review of Economics and Finance,2000,9(3):209-222.
[7]Favre L.,J.A.Galeano.Mean Modified Value-atRisk Optimization with Hedge Funds[J].Journal of Alternative Investments,2002,5(Fall):21-25.
[8]Feller W..An Introduction to Probability Theory and Its Applications[M].NY:Wiley&Sons,1996,Vol2.
[9]Graham J.R.,C.R.Harvey.Grading the Performance of Marketing-Timing Newsletters[J].Financial Analysts Journal,1997,53(6):54-66.
[10]Gregoriou G.N.,J.P.Gueyie.Risk-Adjusted Performance of Funds of Hedge Funds Using a Modified Sharpe Ratio[J].Journal of Wealth Management,2003,6(winter):77-83.
[11]Harlow W.V..Asset Allocation in a Downside Risk Framework[J].Financial Analysts Journal,1991,47(5):28-40.
[12]Jensen M.C..The Performance of Mutual Funds in the Period 1954-1964[J].Journal of Finance,1967,23(2):389-416.
[13]Kaplan P.D.,J.A.Knowles.Kappa:A Generalized Downside Risk-Adjusted Performance Measure[J].Journal of Performance Measurement,2004,8(3):42-54.
[14]Keating C.,W.F.Shadwick.A Universal Performance Measure[M].The Finance Development Centre Limited(UK),2002.
[15]Liberty J..Geometric Information Ratio[Z].25 Comments·Fund Review,2010-04-26.
[16]Martin P.G.,B.B.McCann.The Investor’s Guide to Fidelity Funds-Winning Strategies for Mutual Fund Investing[M].WS:John Wiley&Sons,Inc,1989.
[17]Modigliani F.,L.Modigliani.Risk-Adjusted Performance[J].Journal of Portfolio Management,1997,23(2):45-54.
[18]Sharpe W.F..Mutual Fund Performance[J].Journal of Business,1966,39(1):119-138.
[19]Sharpe W.F..The Sharpe Ratio[J].The Journal of Portfolio Management,1994,21(1):49-58.
[20]Schuhmacher F.,M.Eling.A Decision-theoretic Foundation for Reward-to-Risk Performance Measures[M].Journal of Banking&Finance,2012,36:2077-2082.
[21]Sortino F.A.,van der Meer R,A.Plantinga.The Dutch Triangle:A Framework to Measure Upside Potential Relative to Downside Risk[J].Journal of Portfolio Management,1999,26:50-58.
[22]Treynor J.L..How to Rate Management Investment Funds[J].Harvard Business Review,1965,43(1):63-75.
[23]Weron R..Estimating Long-range Dependence:Finite Sample Properties and Confidence Intervals[J].Physica A,2002,312:285-299.
[24]Young T.W..Calmar Ratio:A Smoother Tool[J].Futures,1991,20(1):40.
(1)由于近年来全球经济发展平稳,股票偏空策略的表现不很好,其现值一直处于递减状态。瑞士信贷自2017年2月开始不再公布其数据。因此,本文的研究不包含偏空策略的数据。