【正文】 最后衷心感謝在我論文撰寫過(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) instituti。以后無(wú)論是工作還是學(xué)習(xí)當(dāng)中我都將獲益匪淺。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。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。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?；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。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 Quantitative Analysis。s dark side. [N]The Daily Telegraph (London). October 24, 2003.【8】. Steven Drobny, Inside the House of Money,[M] John Wiley amp。參考文獻(xiàn)【1】. 【2】. 【3】. 【4】. Hedge Fund Course. Stuart A. McCrary[M]John Wiley amp。但是毫無(wú)疑問的是，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。遺憾的是，我們國(guó)家現(xiàn)在沒有這種機(jī)制。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。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)君享量化理財(cái)產(chǎn)品推出后絕對(duì)收益率有望在10%15%之間，最終目標(biāo)是取得媲美國(guó)外的投資業(yè)績(jī)。因此能夠戰(zhàn)勝市場(chǎng)、獲取穩(wěn)定收益的對(duì)沖基金就受到了廣大投資者的青睞。在過(guò)去7 年中的每一年，上證綜指不是躋身于全球股指排名的前20%，就是落在后20%之列；今年迄今為止，上證綜指在全球93 個(gè)股市中排名第82。此消息傳出，在資本市場(chǎng)上引起極大關(guān)注，甚至有相關(guān)人士稱2011年為中國(guó)的“對(duì)沖基金元年”。一直到2010年4月16日，滬深300股指期貨業(yè)務(wù)和融資融券業(yè)務(wù)的推出，使具備對(duì)沖和杠桿屬性的對(duì)沖基金成為了現(xiàn)實(shí)。這是因?yàn)殚L(zhǎng)久以來(lái)一直缺少對(duì)沖基金投資策略的靈魂——可以用來(lái)對(duì)沖的投資工具。上述私募人士表示，隨著日后越來(lái)越多的資本進(jìn)入對(duì)沖市場(chǎng)，這個(gè)市場(chǎng)將更難操作，但這還是真正的初始階段，因?yàn)楝F(xiàn)在各方對(duì)這個(gè)市場(chǎng)的介入遠(yuǎn)遠(yuǎn)不夠。 陽(yáng)光私募向來(lái)被認(rèn)為是中國(guó)的“準(zhǔn)對(duì)沖基金”，但由于一直以來(lái)缺乏用來(lái)做空的投資工具，其處境一直比較尷尬?，F(xiàn)在在國(guó)內(nèi)，對(duì)沖基金的發(fā)展有些緩慢。但是據(jù)預(yù)期，中國(guó)的GDP將在10年時(shí)間里狂翻四倍，%。其次，中國(guó)的公司（尤其是大量的國(guó)企）手頭也有大量的空閑資金，這也是對(duì)沖基金的第二大重要資本來(lái)源。中國(guó)居民們有著如此龐大的現(xiàn)金資產(chǎn)在手，他們急切地想為這筆巨額財(cái)富尋找能夠進(jìn)行保值增值的投資機(jī)會(huì)。隨著中國(guó)經(jīng)濟(jì)的高速發(fā)展，對(duì)沖基金投資者的數(shù)目和其擁有的財(cái)富也在快速地增長(zhǎng)著。一類是那些政府支持的公司，包括那些管理集合資產(chǎn)的經(jīng)紀(jì)商、信托基金和投資公司的投資項(xiàng)目以及它們自營(yíng)的資本投資；另一類是私人的對(duì)沖基金。迄今為止已經(jīng)經(jīng)歷了四個(gè)階段：嬰幼期、成長(zhǎng)期、快速發(fā)展期、成熟期。對(duì)美國(guó)的投資者來(lái)說(shuō)，多元化的好處似乎在除了日本之外的其他亞洲國(guó)家和拉美地區(qū)是最大的。圖5：不同國(guó)家和地區(qū)間對(duì)沖基金的收益和風(fēng)險(xiǎn)狀況資料來(lái)源：The Hedge Fund Flow Report, April 2010 Issue, BarclayHedge。下面的圖表顯示了投資于全球分散化的對(duì)沖基金（根據(jù)相對(duì)重要性投資于各個(gè)地區(qū)）提供了略微好于僅僅投資于美國(guó)單一國(guó)家的對(duì)沖基金的收益率。表3：不同國(guó)家間采用不同投資策略的對(duì)沖基金的收益率比較資料來(lái)源：The Hedge Fund Flow Report, April 2010 Issue, BarclayH