Hedge Fund Strategies And Its Application In A-Stock Market

Hedge funds as an alternative investment product plays an important role on financial market in recent years, with its AUM reaching 2.5 trillion USD in 2014. Although Hedge fund business in China is still at the initial stage, with further innovation and reform of financial market, it is attracting more attentions from investors and its market share has also been promptly increasing, especially after 2010 when Index future and stocks loan trading was approved by CSRC. Therefore, how to guide the development of hedge fund industry has become an important issue to be resolved in mainland China.Since the research of hedge fund has been mostly popular in overseas markets during the past, it is meaningful to examine the current situation of hedge funds in China, together with the study of its future development and influence on domestic stock market.This thesis consists of seven chapters. The first chapter introduces the research background and purpose, and summaries relevant overseas and domestic research about hedge fund. The first part of second chapter studies the history of hedge fund industry overseas and analyzes its influence to the financial market; the second part discusses the difference between hedge funds and mutual funds; and the last part introduces the classifications of hedge funds. Chapter three studies the domestic private equity fund and its current situation. By analyzing the development of domestic stock market and domestic private offered equity funds and discussing the differences between domestic private offered equity fund and overseas hedge funds, the chapter allows readers to have a better understanding of the private offered equity funds in Mainland China. The fourth chapter introduces the basic theory of hedge fund management strategies, including the GET and APT theory with its applications. Chapter five discusses the risks of hedge funds and measurement methods. The sixth chapter presents an empirical study of applications of hedge fund strategies in domestic market, which is the core of this thesis. This thesis selects the index arbitrage and fundamental multifactor alpha strategy to verify the profitability of hedge funds in China. The last chapter summarizes the limitations and prospect of further developing domestic hedge funds and provides suggestions about future innovative exploration of the industry.