摘要
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。
This paper analyzes the major investment strategies, risks and countermeasures of OPSS in hedge fund, and compares the relationship between OPSS and overall yield, yield distribution feature of the share and bond market index through empirical study. It points out that the portfolio created by OPSS is of high risk and its performance is lagging behind share and bond market index, and its yield distribution is uncertain. General speaking, both the investment strategy and the timing of OPSS are unsuccessful.
出处
《南方金融》
北大核心
2009年第8期57-60,共4页
South China Finance
关键词
刻意卖空
投资策略
投资收益
风险防范
On Purpose Selling-short Strategy
Investment Strategy
Yield
Risk Prevention
