7298棋牌游戏大厅

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                如何甄别,以及如何在FOF中配置宏观对冲
                2018-01-26 21:26:04 - -

                 

                  WEN|YUANYUWEI 

                  SHUJU|ZHAOZHANGSHENG

                  2018NIANQUANQIUHONGGUANFENGXIANBAOFA,YISHIJIANSHICHANGSHANGQUANQIUHONGGUANDUICHONGJIJINRUYUHOUCHUNSUNYIBANMAOCHU。ERQIEDADUOSHUJIGOUTOUZIZHE,WULUNMAIFANGHAISHIMAIFANG,YANBICHENGHONGGUAN。

                  2018NIANCHU,WOMENJIUZAIBAOGAOLITICHU -- ZAIQUANQIUQUGANGGANHEMAOYIZHANBEIJINGXIA,ZICHANJIAGEJIANGHUISHOUDAOCHONGJI,BODONGLVJIANGHUISHANGZHANG,SHENZHIHUIZAOCHENGLIUDONGXINGFENGXIAN,TOUZIZHEJIANGHUIMIANLINJIAODADEWEIBUFENGXIAN。ERQUANQIUHONGGUANCELVEYOUYUJUBEIGUANLIWEIBUFENGXIANDEGONGNENG,SUOYIYINGGAICHAOPEI;DANCHUANTONGDELIANGHUAHUOTONGJITAOLIHUIYOUYUZICHANDEJULIEBODONGDAOZHIDEbetaTEZHENGDEZHUANHUANERSHIXIAO。YOUXIETOUZIZHEYINWEI2017NIANHONGGUANDUICHONGBIAOXIANBUHAOERQINGSHI,SHISHIZHENGMING,WULUNSHIQUNIAN2YUEFENDESHANDIANBENGPANHAISHIDISIJIDUDEFENGBAO,GUOJISHANGHONGGUANDUICHONGJUNBIAOXIANYOUYI,ERCHUANTONGLIANGHUAHUOTONGJITAOLIDADUOKUISUN。 

                7298棋牌游戏大厅  LAIYUAN:Bloomberg

                7298棋牌游戏大厅  JIEGUO,DAOLE2019NIAN,MANDAJIEDOUSHIHONGGUANDUICHONG…

                7298棋牌游戏大厅  ZHEIQIZHONGBIRANLIANGYOUBUQI。NEIMERUHEZHENBIEZHENZHENGDEHONGGUANDUICHONG? 

                  YI、DINGYI

                  SHOUXIANYAOMINGBAI,MAIFANGDEHONGGUANYANJIUHEMAIFANGDEHONGGUANJIAOYIWANQUANSHILIANGGEBUTONGDEFANCHOU。

                7298棋牌游戏大厅  * MAIFANGHONGGUANDADUOJIYUQUEDINGXING,QIECONGHONGGUANJINGJIZHIBIAOCHUFA,ZHAOPUSHIXINGDAAN;GUANDIANBUYIDINGKEYIZHUANHUACHENGJIAOYI;QIEBUXUKAOLV“YONGBING”CHENGBEN,BUZHONGSHIFENGXIANGUANLI;

                7298棋牌游戏大厅  * MAIFANGHONGGUANDADUOJIYUBUQUEDINGXING,CONGHONGGUANJINGJIHEWEIGUANJINGJIZHONGFAXIANBUWENDINGXING,JIANWEIZHIZHU,CONGFENGXIANCHUFA,FANGHUANYUWEIRAN。RUGUOSHUOMAIFANGHONGGUANSHIJUNSHI,KEYIHULVEFENGXIANGUANLI;NEIMEMAIFANGHONGGUANZESHITONGLINGQUANJUDEZHUSHUAI,BUDANYAOBAMOULVELUODIYUJIAOYI,ERQIEYAOZHUZHONGFENGXIANGUANLI,QUANHENGDESHI,SUOWEI“BINGZHE,GUOZHIDASHI,SHENGSIZHIDI,CUNWANGZHIDAO,BUKEBUCHAYE”。 

                  DUICHONGJIJINSHUJUKUHFRIJICHUDEHONGGUANDUICHONGDINGYIRUXIA:

                  HONGGUANDUICHONGCELVE:

                  JIJINJINGLIYUNYONGGUANGFANDECELVEJINXINGJIAOYI,QITOUZILINIANJIYUHONGGUANJINGJIBIANLIANGDEBIANDONG,YIJIQIANZHEDUIGUPIAO,GUDINGSHOUYI,HUOBIHEDAZONGSHANGPINSHICHANGDEYINGXIANG。

                  JIJINJINGLIYUNYONGGEZHONGTOUZIJISHU,BAOKUORENWEIJUECEHEXITONGJUECE,JIEHEZISHANGERXIAHEZIXIAERSHANGDEFANGFA,LIANGHUAHUOZHEJIBENMIANFENXI,ZHANGQIHEDUANQIDEJIEHE。

                  SUIRANYOUXIECELVESHEJIXIANGDUIJIAZHICELVEDEJIQIAO,DANHONGGUANCELVEYUXIANGDUIJIAZHICELVEDEGENBENQUBIEZAIYU:HONGGUANTOUZILINIANSHIYUCEZHENGQUANDEWEILAIZOUSHI,ERBUSHITONGGUOZHENGQUANJIANDEJIACHATAOLI。

                  LINGWAI,SUIRANHONGGUANHEGUPIAODUICHONGJIJINJINGLIDOUCHIYOUGUPIAO,HONGGUANJIJINJINGLIDETOUZILINIANSHIYUCEXIANGGUANDEHONGGUANJINGJIZHISHUDUIZHENGQUANJIAGEDEYINGXIANG,ERGUPIAODUICHONGJIJINJINGLIDETOUZILINIANDEHEXINSHIGONGSIDEJIBENMIAN。 

                  Macro: Investment Managers which trade a broad range of strategies in which the investment process is predicated on movements in underlying economic variables and the impact these have on equity, fixed income, hard currency and commodity markets. Managers employ a variety of techniques, both discretionary and systematic analysis, combinations of top down and bottom up theses, quantitative and fundamental approaches and long and short term holding periods. Although some strategies employ RV techniques, Macro strategies are distinct from RV strategies in that the primary investment thesis is predicated on predicted or future movements in the underlying instruments, rather than realization of a valuation discrepancy between securities. In a similar way, while both Macro and equity hedge managers may hold equity securities, the overriding investment thesis is predicated on the impact movements in underlying macroeconomic variables may have on security prices, as opposes to EH, in which the fundamental characteristics on the company are the most significant and integral to investment thesis.

                  —— LAIYUAN:HFRI

                  HFRIBAHONGGUANCELVEFENWEI6GEZICELVE(WOMENKEYIKANDAO,HFRIBACTAYEGUIRULEHONGGUANZICELVE,WOMENDUICILVEYOUBUTONGYIJIAN,JINHOUYOUJIHUIZAIXIANGXITANTAO):

                  GERENRENWEI,HONGGUANDUICHONGZHUYAOYOURENWEIJUECE,XITONGHUAFENSANHEDUOCELVESANGEFENZHI。BIZHEGERENSHANZHANGXITONGHUAHONGGUAN,TONGGUORENGONGFENGXIANDINGXINGHELIANGHUAXINHAODEJIEHE,GOUJIANGAODUFENSANDETOUZIZUHE。

                  ER、DINGXINGFENXI

                  CONGFENGXIANDINGXINGDEJIAODU —— ZHIYAOJIJINJINGLIZIFENGQUANWEI,ZHUANGBIAOZHUNDAAN,ZHUANGQUEDINGXINGDE,ZHUANGWEIBUXIANZHI… WOGERENBAJUBEIZHEIXIETEZHENGDEQUANDOUHUADAOJIAQUANQIUHONGGUANLI。

                  QUANQIUHONGGUAN,YOUQIYI Soros WEIDAIBIAODEYIPAI,SHOUXIANTIANSHENGLINIANSHIJIYUBUQUEDINGXING,SHIYIGEHUAIYIQUANWEI,HUAIYIZIJI,BUDUANZISHENGDEFUFANKUIXITONG —— HONGGUANDUICHONGDE alpha ZHUYAOLAIZIYUCI。ZHEIYESHIWEISHENMELIANGZIJIJINLISHISHANGZUIHAODEJIJINJINGLI Stanley DruckenmillerZAIZUIJINDE《Real Vision》CAIFANGZHONGSHUOTAYOUHENQIANGDEZUOKONGPIANHAO(short bias) —— “WOYOUXIONGSHIQINGJIE,YINWEIWOZUIDAJUEDUISHOUYIDOUSHIZAIXIONGSHIZHONGSHIXIAN。 WOZAIXIONGSHIZHONGDEPINGJUNHUIBAOLVYUANCHAOGUO50% (And I also have bear-itis, because I made--my highest absolute returns were all in bear markets. I think my average return in bear markets was well over 50%. —— Stanley Druckenmiller)”。

                  ZHIYAOJIJINJINGLIDECELVEJIYUQUEDINGXING,ZHIYAOJIJINJINGLIHUOJIAOYIYUANZIFENGQUANWEIHUOSHEN,TADECELVEJIUHUIBIANCHENGMINRANZHONGRENYIDEbeta,ZIWOHUIMIE,WULUNSHISHEI。

                7298棋牌游戏大厅  LINGWAI,HONGGUANSHIKANWENTIDEFANGFA,ERBUSHIGONGJUTEXING。WOFAXIAN,GUONEIDERENJINGCHANGHUNXIAOJIAOYIHONGGUANZICHANHEHONGGUANDUICHONG:

                7298棋牌游戏大厅  JIAOYIHONGGUANZICHAN,BINGBUYIDINGSHIHONGGUANDUICHONG。BIRUHONGGUANZICHANPEIZHISUIRANYESHIYONGZISHANGERXIADEFANGFA,DANBIJINGSHIYIZHONGJIEYUBEIDONGTOUZIHEZHUDONGTOUZIZHIJIANDEYIGECHANWU,BIJIAOQUEFAKONGTOUHESHENGWEIBOYISIWEI,QIbetaTEZHENGMINGXIAN;

                7298棋牌游戏大厅  HONGGUANDUICHONGBINGBUYIDINGJIAOYIHONGGUANZICHAN,TADESHIJIAOJUGAOLINXIA,CONGHONGGUANJINGJIBIANLIANGDEBIANHUADUIGEGEDALEIZICHANHEWEIGUANZICHAN(BIRUGEGU)DEYINGXIANGRUSHOU。HONGGUANDUICHONGKEYITONGGUODUOKONGPEIDUI,PINJIEGEGEHONGGUANZICHANHEWEIGUANZICHAN,ZHONGSUZIJIDESHIJIE。SUOYIZAIJIAOYISHANGHUIHUIBIYONGJIJIAOYI,CONGERBUZHUODAOQITARENKANBUDAODEalpha。CONGZHANGZHOUQIKAN,HONGGUANDUICHONGHESUOYOUZICHANXIANGGUANXINGJIEJINYU0,SHIZHENZHENGDEalphaZHIYI。 

                  SAN、DINGLIANGFENXI

                  CONGDINGLIANGDEJIAODU,HONGGUANDUICHONGJUBEIJIGEDIANXINGTEZHENG:

                7298棋牌游戏大厅  HONGGUANDUICHONGDEYEJIZHANGQIKEYICHUANYUEJINGJIZHOUQI,YUGELEIZICHANCHENGDIbetaSHENZHI0 XIANGGUANXINGTEZHENG。DADUOSHURENYIWEISorosWEIDAIBIAODEHONGGUANDUICHONGYINWEIJIAOYIGAOBetaZICHAN,ZHEZHONGQUSHIJIAOYI,SUOYIXIANGDANGRANDIRENWEIHONGGUANDUICHONGSHIGAOBetaCELVE。SHISHIWANQUANXIANGFAN,HONGGUANDUICHONGJINGGUOSHIJIANHEJINGJIZHOUQIDEXILI,QISHISHIDIBetaCELVE。JUCredit Suisse,Prisma, Research AffiliateTONGJI,HONGGUANDUICHONGDUIYUCHUANTONGTOUZIDEBetaXIANZHUDIYUQITAZICHANHECELVE,JIHUQUJINYU0。

                7298棋牌游戏大厅  WOMENZIJIDEHONGGUANDUICHONGSHIPANYEJIHEGU,ZHAI,FADASHICHANG,XINXINGSHICHANG,DAZONGSHANGPIN,FANGDICHANXINTUODENGZICHANBetaDOUSHI0,YEYANZHENGLESHANGMIANDETONGJI。 

                  LAIYUAN:Credit Suisse/Tremont

                  GENJURUISHIXINDAIDEJIYU1994-2008DESHUJUTONGJI,HONGGUANDUICHONGDE6GEYUEGUNDONGYEJIZAIMSCI World IndexZHANGDIEQINGKUANGXIA,DOUSHIXIANZHENGSHOUYI,CHENGFEIXIANXINGGUANXI。

                7298棋牌游戏大厅  GENJUResearch AffiliatesDEYANJIU,JIYU1989-2016DESHUJUTONGJI,HFRIQUANQIUHONGGUANCELVEDEYEJIHEBIAOPU500,BAKELAIZHAIQUANZHISHU,MEIYUANZHISHU,BloombergDAZONGSHANGPINZHISHU,BAOCHIJIDIDEXIANGGUANXING(JUEDUIZHIXIAOYU0.3)。 

                  2. HONGGUANDUICHONGZAIJINGJI/JINRONGWEIJIHUOHEITIANEZHONGYIBANSHIXIANZHENGSHOUYI,YOUJIQIANGDEWEIBUFENGXIANGUANLINENGLI。

                7298棋牌游戏大厅  SI、RUHEZHENBIEHONGGUANDUICHONGJIJIN

                  XIAMIANWOMENJULISHUOMINGRUHEZHENBIEHONGGUANDUICHONGJIJIN:XUANQULE3JIAGUONEIDETOUGUZUOWEIYANGBEN。

                  首先,我们把国内的宏观对冲基准指数设计为(1/3中证800+1/3南华商品指数+1/3十年(170.6897, 0.03, 0.02%))。从统计中我们看出,基金A和C都和基准指数保持了较高的beta(大于0.5),和基准指数de1上行相关性略低,但下行相关性较高(大于0.4),而且skewness都为负数,证明金融危机或抗黑天鹅风险能力较低。从定量的角度,我们也许可以说,基金A和C并不是严格意义上的宏观基金,或者至少需要更长时间的观察。

                7298棋牌游戏大厅  JIJINBSUIRANHEJIZHUNZHISHUBAOCHIDIbeta,DIXIAXINGXIANGGUANXING,YIJISkewnessWEIZHENG,XIANGDUIYUZHONGGUOZICHANTIXIANLEHENHAODEFENGXIANFENSANHEXIAXINGBAOHUGONGNENG,DANYOUYU(JUSHUO)ZHUYAOFUGAIGUOWAIZICHAN,YULINGWAILIANGJIABUJUBEIKEBIXING。RUGUOYAOZUOGENGKEXUEDEPINGGU,XUYAOGENGYIXIANDEDIAOYAN,HEQIFUGAIDEZICHANZUOBIJIAO。 

                  由于(股+债+商品)的基准指数是混合的资产,基准指数的子资产之间的波动不同步隐藏了一些风险,所以研判宏观基金更科学的做法是—— 对同一只基金,我们也要拆借它和各个大类资产的相关性。比如上面样本中一家基金,我们发现和(3184.469, 25.69, 0.81%)(3184.4696, 25.69, 0.81%)和南华商品指数都保持了较高的相关性。这显然与前面Research Affiliates 研判的宏观基金与股,债,商品等各个资产之间的相关性都低于0.3还有一段差距。

                7298棋牌游戏大厅  LINGWAI,WOMENBINGBUSHIFOUDINGSHANGSHUCELVE,TAMENDOUYOUZIJIDUDAODEYOUSHIHEalpha。WOMENDEFENXIMUDEZAIYU,ZUOWEIFOFYAOQINGCHUZHIDAOZIJIDICENGDEZICHANDEbetaFENGXIANZAINALI,alphaLAIYUANYOUZAINALI,FANGZHIZIYUANCUOPEIHUOFENGXIANDIEJIA。

                7298棋牌游戏大厅  ZONGSHANGSUOSHU,WOMENRENWEI,ZHISHAOMUQIANZAIGUONEI,ZHENZHENGDEHONGGUANDUICHONGJIJINHAIFENGMAOLINJIAO。WOGERENRENWEI,YEXUYOUYUYIXIAYUANYIN:

                  GUONEIJINRONGGONGJUBUQIQUAN,YOUQISHILILV,HUILVHERONGQUANGONGJU;

                7298棋牌游戏大厅  DANHONGGUANGONGJUQUESHAOBINGBUSHIZHUYIN,GUANJIANZAIYUSIWEIMOSHI:GUONEITOUZIZHEBIJIAOXIGUANYUDUOTOUSIWEI,PAICHIKONGTOUSIWEI,DAOZHIXIANXINGSIWEINANYIDUANQINEINIZHUAN;

                7298棋牌游戏大厅  GUONEIZHENGCEGANRAOJIAODUO,YULUNBANGJIADEHUANJINGBULIYUKONGTOUSHISHIXIAOZHENGDALEIZICHANGUZHIDECUOWU。BIRU2018NIANHONGGUANJIJINJINGLIDADUOYUPANCHUJINGJIHEJINRONGSHICHANGDEKUNJING,DANGUANDIANQUEBEIYULUN(BAOKUOTOUZIJIE)PAICHI;

                  HONGGUANDUICHONGYAOQIUJIJINJINGLIBAOCHIDULISIKAO,YUANLIRENYUNYIYUN —— ZHEIYUJINQIANNIANDEDAYITONGSIWEIWENHUABEIJINGXIANGBEI。 

                  SHUJULAIYUAN:Wind,WaterWisdom

                7298棋牌游戏大厅  WU、HONGGUANDUICHONGDUIFOFPEIZHIDEZHANLVEYIYI

                7298棋牌游戏大厅  TOUZIZHE,YOUQIFOF,ZAIZHUIXINGHONGGUANDUICHONGHUOZHUIZHULIRUNZHIQIAN,SHOUXIANYINGGAIMINGBAIWEISHENMEYAOPEIZHIHONGGUANJIJIN?

                  WOGERENLIJIE:

                7298棋牌游戏大厅  HONGGUANDUICHONGSHIZHANGZHOUQISHANGDEalphaLAIYUAN,LAZHANGSHIJIANKAN,ZAISUOYOUDELINGLEICELVEZHONG,CHULEGAOPINZUOSHI,YEXUZHIYOUHONGGUANDUICHONGSHIZHENZHENGDEDIbeta,GAOalpha (HONGGUANDUICHONGHESHICHANGZHONGXINGCONGDINGLIANGDEJIAODUZHUYAOQUBIEZAIYU,HONGGUANDUICHONGDEDUANZHOUQIrolling betaYIBANJIAODA,SHENZHIJIEJINYU1;DANLAZHANGSHIJIANDAO1NIANYISHANG,HUOJINGGUOYILUNJIAODADEZHANGDIEZHOUQI,HONGGUANDUICHONGDEbetaYIBANQUJINYU0。ERSHICHANGZHONGXINGYIBANDUANZHOUQIrolling betaXIAO,SHENZHIJIEJINYU0;DANBASHIJIANLAZHANGHUOJINGGUOYILUNJIAODADEZHANGDIEZHOUQI,SHICHANGZHONGXINGDEbetaTONGCHANGJIAODA,SHENZHIJIEJINYU1)。NEIMEHONGGUANDUICHONGSHOUXIANJIFOFTIGONGLEYIGEFENSANbetaFENGXIAN,JIANGDIFOFYEJIYUJINGJIZHOUQIXIANGGUANXINGDEGONGNENG —— ZHEIYESHIFOFZHISUOYICUNZAIDECHUSHIMUBIAOZHIYI;

                  YOUYUHONGGUANDUICHONGJUBEIZAIXIONGSHIZHONGHUOHEITIANEZHONGCHUANGZAOZHENGSHOUYIDETEXING,TAYOUKEYIJIFOFTIGONGYIGEXIAXINGBAOHU;ERQIEYOUYUTAZAINIUSHIZHONGYEKEYISHIXIANZHENGSHOUYI,HONGGUANDUICHONGSHIJIJIZICHANPEIZHIZHETIGONGLEYIGENEIHANLIANJIADEKANDIEQIQUANDEXUANXIANG —— ZAINIUSHIZHONGBUDAFUTUOLEIFOFZUHE,ZAIXIONGSHIZHONGYOUKEYIZENGJIASHOUYI,YOUHUAFOFDESkewness —— KANGHEITIANENENGLI。

                  GENJUResearch Affiliates(1989-2016)HEPrisma(1990-2012)DEYANJIU,ZAICHUANTONG60GU+40%ZHAIDEZUHEZHONGFENBIEJIARU10%,20%,30%DEHONGGUANDUICHONGCELVEZHIHOU:

                  NIANHUASHOUYIKEYITIGAO9%,19%,29%;

                7298棋牌游戏大厅  BODONGLVKEYIJIANGDI7%,13%,18%;

                7298棋牌游戏大厅  XIAPUBILVKEYITIGAO20%,40%,50%,

                7298棋牌游戏大厅  SkewnessXIANZHUYOUYI —— ZUHEKANGHEITIANEHUOXIONGSHINENGLIBEIJIAQIANG。 

                  ZONGSHANG,WORENWEI,HONGGUANDUICHONGDUIYUFOFZUHEYOUQIZHANLVEYIYI:JIANGbetaHEGUANLIWEIBUFENGXIAN,YITIGAOFOFZUHEDEalpha。TOUZIZHEGUANCHAHONGGUANDUICHONG,YINGZHANZAISHIJIANZHOUQIHEHONGGUANFENGXIANPEIZHIDEZHIGAODIANQULIJIE,ERBUYAOMANGMUBATADANCHUNDANGZUOYIZHONGTIDAIGANGDUIDEZICHAN。

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