International Hedge Fund Industry Wheeled Investment: Theory And Practice

In 1919 John Maynard Keynes built a hedge fund corporation in the world, in 1949 Alfred Winslow Jones named'Hedge Fund'for the first time in 1949, and set up the first hedge fund in the real sense. Since then, Hedge Fund industry has entered into a phase of fast development; bunch of famous hedge fund managers appeared and got good performance.Right now, there are more than ten thousands hedge funds all over the world. After dozens of year's development, organizations of hedge funds are changing better and better and hedge funds investment stragety are also well diversified. Although well development and performance of hedge funds show that hedge fund is a better choice of alternative investment than mutual fund, public still got prejudice against hedge funds.Recently, as the development of hedge fund industry, more and more therotical research on hedge funds goes on. These therotical researches contain quite a lot, where evaluation system of hedge fund is most developed. Evaluation system includes income measure and attribution analysis two parts. Also, risk management theory of hedge fund means a lot.Investment strategies of hedge funds are quite diversified. In this dissertation, it describes eight most wide-used strategies and compares their income measure by using quantitative factors.After doing research on those existing hedge fund strategies, this dissertation begins to focus on some new hedge fund strategies. This dissertation summarizes The Investment Clock by Merrill Lynch and Stock Market Cycles: A Practical Explanation by Steven E. Bolten, and find out the former one focuses on macro trend, and the latter one focuses on micro industry. Both of these two researches have good explanations on therotical basis that industries got different performance on different phases of a business cycle, while not quantitative enough to build a model.So this dissertation introduces three macro factors: Liquidity,Inflation and Profit, using historical business cycle statistics, divides four phases of business cycle in a quantitative method. Then, this dissertation summarizes the investable industry distribution on four phases of business cycle based on U.S. stock market. Till now, from business cycle to four phases, from four phases to investable industry distribution during four phases, a LIP rotation model has been set up.After the LIP rotation model has been proposed, this dissertation begins to use recent two American business cycles to test this LIP rotation model, finding out that it got great performance on annualized return, sharpe ratio, sortino ratio of LIP rotation model simulation. Then this dissertation tries to expand this model into China stock market. However, the original LIP rotation model is modified into a uncomplete one because of lack of macro data on China stock market. After running the same test on this uncomplete LIP rotation model by using recent two China business cycles, this dissertation evaluates these similar factors, such as annualized return, sharpe ratio, sortino ratio.After getting different results on LIP rotation model by using data from two different stock markets, this dissertation analysis these factors, and tries to find out the reason of these differences. Then this dissertation begins to discuss the limits of China stock market and the LIP rotation model, and finds out the direction of further study of this LIP rotation model.At the end of this dissertation, it shows the conclusion of whole dissertation, and how further studies will be done.