Research Of Hedge Fund Performance

As a new thing of the domestic capital market,the research of hedge funds areincreasingly subject to the attention of scholars and research institutions.Atpresent,Domestic hedge funds researches focuse primarily on the level of legalregulations,the performance and other aspects of the empirical research are lessinvolved.This article analysis the different strategies of hedge fund performancefrom two aspects:on one hand,explain the attribution of hedge hund performance bythe traditional model and adding liquidity factors modle;on the other hand,measurethe persistence of hedge funds in the world Using different test methods.This paper consists of five parts：The first part is an introduction, the part of thisarticle introduces the background, significance of research, literature review, andinnovation of this paper. The second part introduces the research models andmethods. This section firstly describes the measure of hedge fund income, includingTreynor ratio, sharpe ratio, jensen indicators,M2indicators, AP decomposition,andthe Regression models of hedge fund performance,including T-M model,Fama-french three-factor model, Carhart four-factor model, the hybrid model ofDaniel Capocci, Georges Hubner,and join the new model.Secondly this paperintroduced the performance persistence methods, including two-way table method,short-term continuous autocorrelation and cross-sectional regression method.Thethird part is the empirical analysis, including the analysis of performance influencingfactors and performance persistence.In this paper, we choose different hedgingstrategies of monthly income rate in the year2005-2010of CS/Trement database,and the S&P500monthly income rate, the Fed monthly interest rate data, Russell3000monthly income rate, Moody seasoned rated at Aaa&Baa bonds monthly income rate, etc..Meanwhile, we use a different method to study the hedge fundperformance persistence.The fourth part is the study of the development of thedomestic hedge funds. This section briefly describe the development status of thedomestic hedge funds and the domestic several mainstream hedge fund performancerating method.The fifth part of the conclusions and policy recommendations.Through empirical testing, we find that the liquidity effect have a significantimpact to the Convertible arbitrage, emerging markets, managed futures,multiplearbitrage strategy and shorting baise strategy.the new model’s overall explanatorypower has been further improved relative to the traditional model,meaning thestronger profitability of this two funds when market liquidity is very good. In thehedge fund performance persistence test, we found that the test takes a differentapproach may appear different results because the time-span and measurableindicators have different levels of difference.In this paper empirical test,Onlyemerging market hedge funds doesn’t have significant performance persistenceare inany kind of persistent test.