近期对冲基金业的发展特征及对我国的启示

近年来,在全球金融一体化的背景下,随着金融风险理论的发展和金融衍生工具的创新,对冲基金在数量和资产规模上都有了显著增长,并呈现出许多新的变化和特点。本文从对冲基金规模、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几个方面,对对冲基金进行了研究与分析,对今后我国如何监管对冲基金进行了探讨,并提出了自己的建议。     

对冲基金:华尔街的世纪狂赌

对冲基金:英文名称为HedgeFund,意为“风险对冲过的基金”,对冲基金诞生于上世纪50年代初的美国,它利用期货、期权等金融衍生产品以及对相关联的不同股票进行实买空卖、风险对冲的操作技巧,以规避和化解证券投资风险。经过几十年的演变,对冲基金己成为一种新的投资模式:即基于最新的投资理论和极其复杂的金融市场操作技巧,充分利用各种金融衍生产品的杠杆效用,承担高风险,追求高收益的投资方式。     

成也对冲，败也对冲？

对冲基金（Hedge Fund）意为“风险对冲过的基金”，起源于上世纪50年代初的美国。其操作的宗旨在于利用各种交易策略和金融工具使风险对冲，在一定程度上可规避和化解投资风险。经过几十年的演变，对冲基金已失去其初始的风险对冲的内涵，已成为一种新的投资模式的代名词，即基于最新的投资理论和复杂的金融市场操作技巧，充分利用各种金融衍生产品的杠杆效用，承担高风险、追求高收益的投资模式。对冲基金的主要特征是：     

作为资产的商品期货研究

商品期货在国际市场被机构投资者称为"可选择的投资类别".国际商品期货市场吸引了对冲基金、养老基金等机构投资者的参与.本文在投资组合和资产配置理论框架下,以商品期货价格指数为基础探讨商品作为一种投资类别的特征和可行性.研究结果发现:商品期货指数具有不同于股票、债券的风险收益特性,机构资产组合中加入大宗商品能够提高投资组合的效果.     

对冲时代来临，无论牛市熊市都可以赚钱

量化对冲产品非常适合于稳健性投资人,因为阿尔法对冲基金的风险与债券类似,但收益却比债券高出许多,有“类债券”产品的美誉,因此阿尔法对冲基金也是替代信托、资管等固定收益类产品的首选。     

国际金融系统风险的放大与传导:对冲基金在金融风暴中的作用

作为国际热钱的代表,对冲基金在2007～2008年金融风暴中究竟起了怎样的作用?本文首先分析了对冲基金在危机中去杠杆化操作的原因及后果;通过构造1171家美国上市银行加权平均投资组合,以其月度收益率作为美国银行业代理变量,采用1994～2008年对冲基金月度数据进行经验论证。研究发现:第一,对冲基金去杠杆化放大了系统风险;第二,对冲基金全行业具有杠杆效应的一致性;第三,对冲基金的收益水平与美国银行业紧密相关,因此,对冲基金的行动是资本市场剧烈波动的影响因素,向美国银行业传导了系统风险,推动了金融风暴的形成。最后,本文提出加强对冲基金监管的思路。     

刻意卖空投资策略在对冲基金中的运用及投资收益对比分析

本文分析了刻意卖空对冲基金中的主要投资策略、投资风险及其防范措施,并通过实证分析,比较了刻意卖空对冲基金与股票、债券市场指数的整体收益率、收益率分布特征及其联动关系,指出利用刻意卖空投资策略构建的投资组合具有很高风险,其收益表现落后于股票、债券市场指数,且收益分布具有很大的不确定性.整体来说,这类基金的投资策略和时机选择是失败的.     

开放式基金的风险及其控制

一、我国开放式基金的风险特点 (一)外部风险 1、系统风险 与所有的金融工具一样,开放式基金也面临着不可分散的风险,即系统风险.对于这一类风险,基金管理人通常可以通过期货和期权和约来对冲,但系统风险是一把双刃剑,除了存在对冲成本以外,往往要以付出潜在收益为代价.长期投资是抵御系统风险的一个有效手段.投资学原理明确指出,分散投资品种可以降低非系统风险.     

现代投资组合新视角:对冲基金配置的理论与实证研究

本文在分析传统的投资对冲基金组合架构存在不足的基础上,提出了新的资产组合构架模型,并从理论上论证了对冲基金为何不是一个纯粹超额收益的制造者而更多是一个风险溢价的提供者以及将对冲基金与传统资产有机整合到一起的好处。然后用Cornish—Fisher伸展式对新的资产组合进行分析,证明了新架构的合理性,并用欧美市场的数据进行实证检验。本研究为对冲基金投资者提供了新的操作范式。     

我国公募对冲基金业绩评价及风格分析

对冲基金不仅使用了多样化的金融投资工具,运用了专业的投资技术,而且还采用了不同的投资策略,这极大程度的满足了不同投资者的多元化需求。本文通过詹森的阿尔法,夏普比率,索提诺比率以及最大回撤率等四个评价指标对我国公募市场上的两只对冲基金进行业绩评价,并进一步开展其风格分析,考察我国对冲基金操作策略与收益之间的关系。实证结果表明:对冲基金能够有效的对冲股票市场的风险,获得了一定的超额收益,具有较大发展潜力。     

Almanac of anticipations: The age of affluence—of anticipation—of anxiety—of automation—of discontinuity—of longing—of overkill—of space exploration

With this survey of developments in the futures field since 1945, I.F. Clarke completes his present series for Futures. He makes two major points: that forecasting techniques have become essential tools in the management of change; and that nuclear weapons and ecological problems have added a moral dimension to the study of the future. In the next issue of Futures he will start a new series on the range of future-thinking in the USA, from the expectations of the first settlers to the Star Wars programme.     

基金公司经营融资融券业务的问题审视

融资融券业务正式运营已经开展,为证券市场带来了革命性的改革,作为证券市场的一大主体,基金公司面对融资融券也迎来了新的发展方向和挑战,本文从融资融券业务的运行机制入手,分析了基金公司融资融券的新契机,并对其即将面临的问题进行审视和剖析,进而提出策略建议.     

对基层人民银行科技工作的几点建议

银监会分设后,人民银行将专司货币政策、金融稳定、金融服务三大职能。作为人民银行的分支机构,基层人民银行的工作重心也将从金融监管调整到这三大职能上来。人民银行的科技部门,就要积极运用科技手段,为人民银行履行新的职能发挥“服务、支持、促进、发展”的作用。一、围绕三大职能搭建五大平台经过“六五打基础、七五作准备、八五大发展”几个阶段后,人民银行相继实现了核算电算化、清算网络化和办公信息化。特别是近一两年来,陆续开通了大额支付系统、信贷登记咨询系统、会计四集中系统、金融信息服务网站等系统,人民银行信息化水平又…     

The Usefulness of Measures of Consistency of Discretionary Components of Accruals in the Detection of Earnings Management

Abstract:  Prior research has shown the prevalence of measurement error in models used to estimate aggregate discretionary accruals. In these models, the incremental information content of the various components of accruals is ignored. Limited prior research and data gathered from firms under Securities and Exchange Commission (SEC) litigation indicate that managers use either one or more than one component of accruals simultaneously, in a consistent way to manipulate bottom-line earnings in a given direction. I propose two measures that capture the consistency between the discretionary components of accruals and test their significance in earnings management (EM) detection in firms that have artificially added accrual manipulation and firms that were targeted by the SEC for accrual manipulation. There is evidence that this information is incrementally useful in detecting EM. This finding paves the way for improvements in the discretionary accruals measure by including consistency information from the components of aggregate accruals.     

社会主义所有制形式的改革、完善与共产党执政能力的提高

在中国,所有制形式的调整、改革与完善,先进生产力的发展,党的执政能力建设,是社会主义建设过程中密切结合在一起的三个不同层面的发展关系.应在相互促进和共同提高中促进社会的和谐发展,保证社会主义现代化建设战略目标的顺利实现.     

Summary of Results of Survey of Seminar Attendees

Abstract

The Society of Actuaries undertook a three-phase research project on mortality improvement in the three NAFTA countries: Canada, Mexico, and the U.S. Phase 1 consisted of a literature review of papers on projecting mortality levels in the future and a study of the trend in mortality improvement during this century. Phase 2 consisted of a discussion of different facets of modeling mortality rates at a seminar attended by 79 experts (actuaries, demographers, economists, and medical researchers) representing different countries. The last session of the seminar consisted of the completion of a survey by the attendees to obtain input for Phase 3, which would analyze the impact of mortality improvement on the social security system of each country. This paper summarizes the results of the survey.

The survey results illustrate the difficulty in forecasting mortality levels, because the effects of many factors that could have significant impact on mortality rates are unknown. This suggests the need for dynamic forecasting, which allows for the possibility of random shocks. A majority of the survey respondents believe that stochastic forecasting models, despite their complexity, have significant potential to add value. Respondents also believe that both historical data and cause-specific mortality forecasts are useful as input and also in validating forecasts of the aggregate levels of mortality. The challenge is to develop more sophisticated forecasting models to produce results that are relatively easy to interpret and to communicate these results to the desired audiences, including the public and policymakers.

The survey results suggest that the aggregate effect of lifestyle changes, medical advances, diseases, catastrophe, and physical environmental changes is an increase in life span. However, there is much uncertainty about the future. Respondents expect that beyond the year 2020 the mean annual rate of reduction in mortality for males age 65 and over will average about 0.58% for Canada, 0.76% for Mexico, and 0.67% for the U.S. The results for the female age 65 and over population are 0.64%, 0.83%, and 0.70%, respectively. The age 65 and over population is expected to see larger percentage reductions in mortality than the 0–14 and 15–64 populations. The reductions in male and female mortality will be ultimately the same, and the mortality levels in the three countries will ultimately converge, although differences may persist for decades.     

银行软件项目外包管理分析

一、引言随着国民经济的不断发展,银行业务与外部企业的联系越来越密切。银行正逐步成为现代经济活动的中心,作为数据处理核心的银行业务应用也越来越大型化、越来越复杂化,因此许多银行也把软件项目逐步由原来的自主开发转变为与公司合作的方式,或直接外包开发的方式,银行本身的技术人员也逐步由开发转向项目管理。二、项目外包的分类银行项目的外包有以下几种情况:①部分子系统外包,有时由于银行的软件项目太大,单靠银行自身的开发力量基本无法在预定的时间内完成项目,只好把相对独立的部分外包;②直接购买软件公司的成熟产品,有些金融软…     

银行管理信息平台建设发展的思考

一、目前国内银行IT发展现状及面临的问题 银行数据集中工作的完成,标志着银行的业务由电子化建设阶段转入信息化建设阶段.一方面银行数据的集中提供了丰富全面的基础数据,面对日益庞大的数据源,如何将数字转化为对银行有用的信息,并从中发现知识,为银行的经营决策提供支持,是摆在银行IT人员面前的一个亟待解决的问题.另一方面用户对银行信息的需求日益增长,如果银行没有一套完整、实用的信息管理系统,将对业务发展非常不利.南京爱立信公司倒戈花旗银行事件曾经轰动一时,其中一个重要原因就是中国本地银行不能满足爱立信全球总部对南京爱立信公司的要求:每周财务上报和每天贷款限额管理.这一事件为中国商业银行的未来发展敲响了警钟,如果不加快管理信息系统的开发,迅速提升业务管理水平,类似的事件还会接连不断地发生,并最终导致国内商业银行在同国外商业银行的竞争中全面溃败.     

Separation of Unit of Account from Medium of Exchange

The separation of a unit of account (UoA) from a medium of exchange (MoE) in the commodity–money system is investigated by considering explicitly a seller's choice of UoA in terms of either an MoE or a unit of metal weight. If the likelihood of debasement of an MoE and its rate are high enough, the price is posted in terms of a unit of metal weight rather than an MoE. Interestingly, this MoE–UoA separated equilibrium yields the flexible nominal price, whereas an MoE–UoA integrated equilibrium yields the sticky one. This implies the nominal price rigidity in the fiat‐money system where MoE and UoA are integrated.     

Properties of time-series estimates of degree of leverage measures

Empirical studies suggest that time-series regression estimates of the degrees of operating and financial leverage have a tendency to produce measures less than one. According to ex ante theory, these measures should be greater than one for firms operating above the breakeven point. There have also been suggestions that the biases in these estimates may be attributable to an underlying increase in unit sales. This work presents evidence that these counter-intuitive measures are produced by changes in the firm's operating parameters (unit price, variable cost, fixed cost and interest payments). It further suggests that attempts to control for the underlying change in unit sales substantially increase the volatility of predicted estimates.