套保套利新规拓宽期指投资空间

近日,中金所新颁布实施的《中国金融期货交易所套期保值与套利交易管理办法》,这是证监会系列措施的重大改革创新举措之一. 据统计截至2011年底,基金、保险、信托等机构投资者持有流通A股市值占比15.6％,散户交易量占85％左右.而欧美等发达市场的机构投资者占比市值70％,其中一半为养老金、保险公司等长期资金及相当数量的公益基金、赠与基金.我国社保、企业年金等市值占比不到5％.在股指期货6万多投资者中,套保套利对冲股市风险的主力军——机构投资者仅1500多户. 《办法》为机构和个人投资者从事期指套利交易提供了更大的空间.许多机构纷纷表示:对此盼望已久.不少期货公司也迅速代理客户申请了套利额度.     

从美国次级贷危机看国际对冲基金监管的必要性

对冲基金在操作中存在着大量的场外交易,常常脱离监管的控制范围。随着其规模的不断扩大,对冲基金对全球金融稳定的影响与日俱增。本文从对冲基金的发展现状入手,通过分析对冲基金在美国次级贷危机中的作用,尝试对对冲基金监管提出建议。这些建议包括增大对冲基金的透明度,促进资金流动的有序性以及加强国际金融监管合作等。     

转轨资本市场条件下如何进一步规范和发展机构投资者

当前中国资本市场机构投资者超常规的发展过程中逐渐暴露出诸如规模仍然偏小、内部结构不平衡、功能发挥不到位等问题.而提升监管的国际化水平:强化机构投资者的社会责任;促进机构投资者积极参与上市公司治理和股权管理;发展以养老基金、保险资金为代表的长期机构投资者;推动基金业做优做强,规范发展私募基金;提高转轨市场创新的水平,建立期货投资基金和对冲基金等措施则是我国转轨资本市场条件下进一步规范和发展机构投资者的较好对策.     

对冲基金在我国的发展

本文以对冲基金为研究对象,拟从对冲基金规模、区域分布、投资组合策略、对国际金融市场的影响、收益风险特征变化以及监管等几个方面,对对冲基金进行研究与分析,同时加强了我国有关对冲基金的前瞻性研究以促进我国本土对冲基金的健康发展,并对如何监管对冲基金、制定合理的法律法规及相关政策,以及防范对冲基金引致的各类风险提出了自己的建议。     

股指期货在海外基金中的应用——私募基金篇：在对冲基金中的应用

成熟的海外市场中,股指期货不仅在共同基金、对冲基金和投行等机构投资者中得到广泛的应用,也在各类新型的相关基金产品设计中大显身手。利用股指期货等衍生品和包括做空在内的各种交易策略以对冲风险和获取超额收益将成为证券市场参与者未来的发展方向。本文还介绍了海外对冲基金的各种交易策略及其风险收益、业绩表现和使用衍生工具等情况,并以美国的共同基金为例,分享了股指期贷在海外机构投资者中的应用经验,为国内的公募基金等机构投资者提供参考。     

新形势下我国开放式基金流动性风险的特征

1.开放式基金所处的证券市场制度不完善、交易成本过高等原因强化了其流动性风险。美国的共同基金可以通过做空机制、对冲机制等手段来规避风险;而且采用低成本交易、双向操作以及多种交易机制并存,由此形成了多层次的市场。美国ICI(美国投资公司协会)的报告指出,长期以来,低于行业平均费率水平的基金控制了共同基金业85%以上的资金,1980年股票型共同基金投资者支付的平均费率为2.32%,2005年底,这个数字已经降低到了1.13%。相比之下,目前我国缺少做空和风险对冲机制,单边市的制度性缺陷使得证券市场下跌时基金面临着巨大的系统性和流动性…     

借鉴国际经验,完善我国养老保险基金监管体制

随着人口老龄化的来临,在全球范围内掀起了新一轮的养老保险制度改革.养老保险基金的管理和运营一直是养老保险制度体系中最为重要的环节,因此,对于养老保险基金的监管也就显得尤为必要.对于任何一个国家来说,做到基金的有效监管都不是一件容易的事情,因为基金的监管需要与微观的金融特性相一致,又要体现统一的宏观金融属性.对国际公共养老金和私人养老金监管的经验借鉴,将有助于探索一种适合于我国国情的养老保险基金监管的有效模式.     

对冲基金的最新发展与监管框架重构研究

以近年来对冲基金的迅猛发展为背景，总结对冲基金竞争优势的来源，在分析现行国际监管制度缺欠的基础上，探讨以完善基金治理结构、强化信息披露和实施以风险为基础的监管措施三方面构筑有效合理的监管制度，具有重要现实意义。     

对冲基金法律生态环境

本文介绍了对冲基金组织原理,并对对冲基金与传统的共有基金的区别做了一定的解释说明。对冲基金赖以生存的法律约束,构成其法律生态环境。在此环境中,本文讨论了对冲基金对保密与脱离监管的环境的特殊要求。     

养老保险基金投资的新发展及其风险控制

养老保险基金的保值增值是基金制的基础。为了提高养老基金的投资收益率 ,多数国家逐渐放宽对养老保险基金投资于股票的限制、增加投资于海外股票市场的比重以及运用新的投资工具。为了降低养老保险基金的风险 ,各国政府改进对养老基金的监管 ,建立一个多方参与的养老金投资监管机制。     

What drives the high moments of hedge fund returns?

We study the high-moment distribution of hedge fund returns and identify factors that drive high-moment risk. Using hedge fund monthly returns, we find a strong correlation between the first four moments of returns (i.e. mean, standard deviation (SD), skewness, and kurtosis) and different characteristics of the funds such as leverage, liquidity, incentives, and strategy-related factors. We find that after controlling for other factors, incentives-related factors and a hedge fund’s specific strategy have the greatest impact on the distribution of fund returns. Our evidence also suggests investors allocate across hedge fund characteristics while placing greater emphasis on fund strategies and incentive factors.     

Skillful hiding: evaluating hedge fund managers’ performance based on what they hide

Mandatory disclosure of hedge fund portfolios has been a hotly debated topic. This article studies asset returns of ‘confidential holdings’ (confidentiality treatment [CT]) or those assets that were not voluntarily disclosed by US-based hedge funds in their original 13F filings to the Securities and Exchange Commission. After analysing returns from 1999 to 2013, we find that in aggregate, the CT position size, ownership share and returns are statistically different to non-CT positions. We provide a mechanism for regulators and investors to rank fund managers based on what they hide in positions.     

Hedge fund activism and corporate innovation

This paper investigates the impact of hedge fund activism on corporate innovating activities. It finds that innovative firms are as likely to be targeted by activist hedge funds as non-innovative firms. Activist hedge funds tend to target innovative firms with low innovation efficiency. Hedge fund interventions are associated with significant improvements in innovation output in both highly competitive and less competitive industries. The improvement is more pronounced in active intervention events. Our results suggest that activist hedge funds are not myopic investors and their interventions enhance innovative activities that benefit innovative firms’ long-term performance.     

The role of Chinese stock market in global stock markets: A safe haven or a hedge?

The contribution of the study is threefold. First, the paper proposes a new empirically testable definition for a safe haven and a hedge from the viewpoint of extreme and regular dependences measured by a modern statistical tool of copulas. Second, this paper investigates the extreme and regular dependences between the Chinese and the G7 stock markets, using a mixture copula specification, and the results reveal that the Chinese stock market has been not only a hedge but also a safe haven for the G7 stock markets all these years. Finally, this study suggests that the Chinese stock market is the target market for global stock fund managers and international investors, who are seeking a hedge or a safe haven for their portfolios, under turbulence.     

发达国家投资基金监管法律制度的比较分析

一些发达国家的投资基金监管法律制度已趋于完善,比如,英国确立了自律型监管制度,美国确立了法律约束下的集中管理制度,日本确立了政府严格管理型监管制度。这三个国家确立的投资基金监管制度具有很强的典型性和优越性。我国发展基金业,可以结合实际需要借鉴他国的有益经验。基于此,细致地比较分析发达国家投资基金监管法律制度就显得尤为重要。     

Modeling hedge fund exposure to risk factors

This paper examines the adjustment dynamics of hedge fund returns and studies their exposure to risk factors in a nonlinear framework for several types of strategies over the last two decades. Nonlinearity is justified by distortions due to the use of short selling, leverage, derivatives and illiquid assets for hedge fund strategies. Among nonlinear models, switching regime (STR) models are applied to reproduce the dynamics of hedge fund returns. This nonlinear multivariate modeling has the advantage of capturing the time-varying exposure of hedge fund strategies to risk factors, and of specifying the asymmetric relationship between hedge fund returns and risk. The findings are interesting and provide several contributions to the hedge fund literature. First, we show that the dynamics of hedge fund returns exhibit significant asymmetry and nonlinearity, indicating that they evolve and vary asymmetrically in accordance with stages in financial cycles. Second, hedge fund exposure to risk factors also varies over time, depending on the strategy and the regime. Finally, our modeling captures the most important changes in hedge fund exposure to risk factors induced by the recent global financial crisis (2008–2009).     

社保基金监管的现状、问题与建议

目前,我国已经初步确立社保基金监管体制,取得了明显的成效.但依然存在着局部地区违规操作、管理体制不顺畅和相关法制、监管建设滞后等问题.从世界范围社会保障基金监管实践看,依托完备法律法规体制实施社保基金监管,确立社保基金监管部门、监管结构,赋予执法权威,社保基金监管向专业化、市场化发展成为社保基金监管的共同点.借鉴国际先进管理经验,我国应提高立法层次、建立完善的法律体制;强化监管力量,适当集中,构建主辅分明、多重监管的社保基金监管结构;推进社会保险基金监管的市场化.     

The Role of Hedge Funds in International Financial Markets

This paper analyses the risk and return characteristics of a wide universe of hedge funds in the period 1990–2000. Most major categories of hedge funds are found to have outperformed (often by a considerable margin) the performance of traditional asset classes. The potential impact of hedge fund trading on market spreads and volatilities is examined especially in the period 1998, so as to provide some guidelines in terms of regulation of such funds. It is shown, however, that despite hedge fund difficulties in that period, the inclusion of hedge funds in investor portfolios definitely moves the efficiency frontier outwards, and allows significantly higher levels of returns for given levels of risk. This is primarily because of the low level of correlation of certain hedge fund styles, especially arbitrage strategies, with other hedge fund styles and with traditional assets.
(J.E.L.: G10, G11, G14, G23).     

Pension funds' allocations to hedge funds: an empirical analysis of US and Canadian defined benefit plans

This article investigates the characteristics of US and Canadian pension funds that allocate assets to hedge funds. The typical pension fund that invests in hedge funds is a large sophisticated pension fund that diversifies its portfolio across numerous classes of investments, private equity in particular, uses a core-satellite organization and has access to low delegation costs for alternative assets. Moreover, we find that pension funds investing in hedge funds significantly obtained higher global returns.     

基金费率与基金管理者能力正相关研究——基于基金投资者类型的分析

伴随着我国基金行业的爆炸式增长,2010年末市场上已经有超过六十家基金管理公司,但基金行业的管理费却是投资者收益的六倍之多,成为了基金行业的一种异常现象.本文将基金投资者并非是完全理性纳入模型,把投资者分为成熟和幼稚两种类型,对基金管理者能力与基金费率之间的关系进行了探讨.结论表明,当幼稚型投资者比重超过一定程度后,基金管理者能力与基金费率成反比.而且,随着幼稚型投资者比重的增大,基金管理者获取的投资收益比例越大,基金投资者获得的收益比例越低.2010年我国基金行业管理者的收益是基金投资者收益的六倍,反映了我国基金市场上幼稚型投资者比例很高.