| dc.description.abstract | Abstract
In recent years, Hedge Fund had pervasively fascinated by investors and grew dramatically in the whole world. Hedge Fund usually constructs short position to eliminate the relationship between their portfolios and the index, and they always have complicated positions included in their portfolio. The most important goal of Hedge Fund is that it pursues for absolute returns. No matter what circumstance the market is, however, for Hedge Fund it will utilize any opportunity to earn the excess returns. In this essay, first of all, we discuss various kinds of Hedge Fund strategies in detail, and then review some past documents to examine the performance and returns of Hedge Fund. Finally, we create strategies in our own domestic stock market as by using the same concept. We construct four Hedge Fund portfolios and examine the implement performance of those portfolios in domestic market. The four strategies are as follow: Equity-market-neutral strategy (construct the long position of the most attractive underlying stock in any industry, and short position of the most distressed underlying stock in the same industry), convertible bond arbitrage strategy (long the mis- or underpricing convertible bond, and also create short position of underlying stock), Equity-market-opportunity strategy (construct the long position of the best potential growth ability underlying stock in the market, and create relative market exposure position), short selling strategy (construct the short position of the overvalued underlying stock in the market), by observing and analyzing this four kinds of strategies synthetically, the statistics show that all of their performance is superior than index. It represents that through constructing the strategies in our own domestic market by the same concepts of the Hedge Fund will generate excess return, indeed. In addition, this also shows that it is not an efficient market to hedge fund market. | en_US |