【正文】 圖6：國(guó)泰君安君享量化最近兩個(gè)月的歷史投資回報(bào)率資料來(lái)源：君享量化將采取對(duì)沖基金中的市場(chǎng)中性投資策略，在進(jìn)行股票多空倉(cāng)組合的同時(shí)，賣(mài)空股指期貨，實(shí)現(xiàn)收益的同時(shí)對(duì)沖掉市場(chǎng)系統(tǒng)性風(fēng)險(xiǎn)。由于僅僅是起步階段，君享量化不像國(guó)外對(duì)沖基金那樣可采用非常豐富的投資工具。國(guó)外的對(duì)沖基金不僅局限于使用股指期貨，還包括金融期權(quán)、融資融券以及互換等工具，而且往往還使用財(cái)務(wù)杠桿，以博取更高的收益率。遺憾的是，我們國(guó)家現(xiàn)在沒(méi)有這種機(jī)制。君享量化理財(cái)產(chǎn)品成立至今已經(jīng)快兩個(gè)月了，短期內(nèi)能否達(dá)到基金管理團(tuán)隊(duì)所設(shè)定的年化投資收益率10%15%還不得而知。但是毫無(wú)疑問(wèn)的是，作為中國(guó)對(duì)沖基金業(yè)的前行者，其一舉一動(dòng)都會(huì)給業(yè)界帶來(lái)沖擊。君享量化能否順利運(yùn)行關(guān)系到我國(guó)對(duì)沖基金業(yè)的蓬勃發(fā)展。參考文獻(xiàn)【1】. 【2】. 【3】. 【4】. Hedge Fund Course. Stuart A. McCrary[M]John Wiley amp。 Sons, Inc 2005【5】. Lowenstein, Roger (2000). When Genius Failed: The Rise and Fall of LongTerm Capital Management. [M] Random House. 124125【6】. The Hedge Fund Flow Report, April 2010 Issue, BarclayHedge【7】. Mahathir39。s dark side. [N]The Daily Telegraph (London). October 24, 2003.【8】. Steven Drobny, Inside the House of Money,[M] John Wiley amp。 Sons: Hoboken, NJ, 2006.【9】. Haitao Li, Xiaoyan Zhang and Rui Zhao. Investing in Talents: Manager Characteristics and Hedge Funds Performances.[J] Journal of Financial amp。 Quantitative Analysis。 02/01/2011, Vol. 46 Issue 1, p5982【10】. 斯圖亞特麥克奎瑞 金德環(huán)等譯 對(duì)沖基金[M] 上海財(cái)經(jīng)大學(xué)出版社 2004:3637【11】. 北京工商大學(xué)證券期貨研究所. 股指期貨令對(duì)沖基金左右逢源[N]. 期貨日?qǐng)?bào) 2006年8月16日【12】. 曾雯璐. 中國(guó)第一只對(duì)沖基金叫“君享量化”[N].理財(cái)周報(bào) 20110228【13】. 劉永剛. 國(guó)際大鱷做空中國(guó),謝國(guó)忠稱政府不會(huì)任危機(jī)出現(xiàn)[N].中國(guó)經(jīng)濟(jì)周刊 2011年05月03日【14】. 鮑勃李特曼和高盛資產(chǎn)管理公司定量資源小組. 劉志東等譯 現(xiàn)代投資管理—一種均衡方法.[M]中國(guó)人民大學(xué)出版社【15】. 李水勝、馬吃. 索羅斯和全球金融危機(jī) [M]. 遼寧人民出版社1998年【16】. 程翼. 對(duì)沖基金研究[D].中國(guó)社會(huì)科學(xué)院研究生院投資系 2000年4月致謝時(shí)光飛逝，光陰荏苒，作為一個(gè)即將離開(kāi)母校的大學(xué)畢業(yè)生有點(diǎn)戀戀不舍?；叵肫甬?dāng)初，我懷揣著夢(mèng)想，滿載著對(duì)大學(xué)生活的無(wú)限向往踏入了上海大學(xué)美麗的校園當(dāng)中?；貞浰哪陙?lái)奮斗努力的過(guò)程，感慨萬(wàn)千。還記得兩年前陳信華老師的國(guó)際金融課，他生動(dòng)有趣的講授風(fēng)格把我立刻拉入了金融學(xué)的海洋當(dāng)中，從此對(duì)金融學(xué)深深著迷。如今，我感到很榮幸他能成為我的論文指導(dǎo)老師。貴為系主任的他公務(wù)繁忙，但是時(shí)時(shí)不忘關(guān)照我的論文進(jìn)度，為我營(yíng)造了一種良好的學(xué)術(shù)氛圍。從課題的選擇角度到論文的最終定稿，陳老師始終給予我細(xì)心的指導(dǎo)和不懈的支持。他博大精深的學(xué)識(shí)、嚴(yán)謹(jǐn)?shù)闹螌W(xué)精神、精益求精的工作作風(fēng)，深深地感染和激勵(lì)著我。在此特向陳老師致以衷心的謝意！畢業(yè)論文的撰寫(xiě)教會(huì)了我用嚴(yán)謹(jǐn)?shù)乃季S、縝密的材料去探討一個(gè)學(xué)術(shù)性的問(wèn)題。以后無(wú)論是工作還是學(xué)習(xí)當(dāng)中我都將獲益匪淺。這次珍貴的體驗(yàn)也是我成長(zhǎng)當(dāng)中最重要的財(cái)富之一。最后衷心感謝在我論文撰寫(xiě)過(guò)程當(dāng)中提供過(guò)幫助的人，包括身邊的同是金融科班出生的好朋友們！感謝你們?cè)谖依Щ蟮臅r(shí)候給予慷慨的解答！附錄原文：Investing in Talents: Manager Characteristics and Hedge Fund PerformancesHaitao Li, Xiaoyan Zhang, and Rui ZhaoAn investment in a hedge fund is really an investment in a manager and the specialized talent he possesses to capture profits from a unique strategy. (Grossman (2005))Hedge funds have experienced tremendous growth in the past decade. According to the Securities and Exchange Commission (SEC) and various hedge fund research panies, the amount of assets under management (AUM) by hedge funds has grown from about $15 billion in 1990 to about $1 trillion by the end of 2004, and the number of existing hedge funds is about 7,000 to 8, a result, hedge funds have attracted enormous attention from a wide range of market participants and academics in recent years.Hedge funds differ from mutual funds in the ways they operate and how their managers are pensated. For example, hedge funds are not subject to the same level of regulation as mutual funds and thus enjoy greater flexibility in their investment strategies. As a result, hedge funds frequently use short selling, leverage, and derivatives, strategies rarely used by mutual funds, to enhance returns and/or reduce risk. While mutual funds charge a management fee proportional to AUM (usually 1%–2%), most hedge funds charge an incentive fee, typically 15%–20% of profits, in addition to a fixed 1%–2% management fee. Moreover, hedge fund managers often invest a significant portion of their personal wealth in the funds they manage, and many funds have a high watermark provision, which requires managers to recoup previous losses before receiving incentive fees.Hedge funds also differ from mutual funds in the economic functions they perform. As pointed out by Grossman (2005) in a recent Wall Street Journal mentary, while mutual funds enable small investors to pool their money and invest in diversified portfolios, “a hedge fund is a vehicle for acquiring the specialized talents of its manager.” Grossman observes, “Hedge funds are typically managed by an entrepreneur . . . . Hedge fund returns are the oute of an entrepreneurial activity.” As a result, Grossman emphasizes that a “fund’s return will be no better than its management and the economic environment in which it produces its product. An investor should understand the product being produced and the manager producing it.” Grossman’s observation suggests that the performance of a hedge fund depends crucially on both the investment strategies it follows and the talents of its manager(s) in implementing such strategiesThough great progress has been made in understanding the risk and return properties of many hedge fund strategies, only limited analysis has been done on the impact of manager talents on hedge fund performances. Just like any entrepreneurial activity, it is entirely possible that some hedge fund managers are better than others in making investment and other business decisions. Given the billions of dollars poured into hedge funds from pension funds, endowments, and other institutional investors each year, identifying manager characteristics that lead to superior performance could be very helpful to potential investors in selecting hedge fund managers and also could have profound welfare implications.The unique structures of hedge funds suggest that managers’ talents might be more important for hedge fund than mutual fund performances. In an important study, Berk and Green (2004) argue that it could be difficult to identify crosssectional differences in riskadjusted returns in equilibrium using mutual fund data, because most mutual funds might have increased their sizes to the extent that their riskadjusted returns have disappeared. Moreover, due to the established investment process and the teamoriented approach to portfolio management in many mutual fund families, the impact of individual managers on mutual fund performances is likely to be small as well. Consistent with this view, Chevalier and Ellison (1999a) find that although mutual fund managers from higherSAT (Scholastic Aptitude Test) institut