Empirical Analysis And Performance Evaluation Of Large Chinese Stock Hedge Funds

With the increase of the number and scale of Chinese hedge fund market,more and more high net worth individuals are considering about the investment of hedge funds.However,because of the limited public information resources,it is extremely difficult for individuals even professional institutions to evaluate portfolio managers’ performances and to pick “the right one” from the non-transparent private funds pool.Only a few of academic papers are focused on the hedge fund in China and performance reviews commonly look into historical rate of return,fluctuation ratio,sharp ratio,and etc.Research institutions published different rankings based on their own subjective adjustments.In this paper,the efficiency of stock hedge fund quantitative evaluation indicators will be discussed.Firstly,according to the comparison and analysis of Wind stock hedge fund index and market index,we will find out the distinct advantage of stock hedge fund index versus market index in return indicators,risk indicators and Sharpe ratio.The extreme situation in bear and bull market will also be discussed separately and possible reason will be provided.Secondly,we will evaluate the collected sample data,which chosen from good-sized hedge fund firms and compare the various evaluation indicators of sample and wind stock hedge fund index,to find out the better difference indicator,continuity indicator and predictive indicator.In the application part,we use the indicator ranking method to show the performance of top ranked sample and value the obvious difference of sample and market index to show the importance of chosen good-sized and fine performance stock hedge fund products.