存眷对冲基金的净值谋划方法Hedge Funds Under Spotlight最新学术探讨呈现，某些对冲基金经理在对他们持有的那些交易不活泼的证券谋划代价时年夜略会选用对他们有利的代价，以便让基金的业绩看上去更好。投资者对此应该
标签：基金,对冲基金,代价,投资者,证券,波尔,回报率,吃亏,经理,净值,公司,经纪,报告,两只,差别,学术探讨,市场,信贷,指数,债券
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基金净值计算,基金净值如何计算,基金净值计算器,基金净值计算公式,基金净值计算方法,基金净值的计算,基金赎回 净值计算,基金净值怎样计算,基金仓位计算 净值,对冲基金 计算
正文：
存眷对冲基金的净值谋划方法Hedge Funds Under Spotlight最新学术探讨呈现，某些对冲基金经理在对他们持有的那些交易不活泼的证券谋划代价时年夜略会选用对他们有利的代价，以便让基金的业绩看上去更好。
投资者对此应该引起警觉，探讨发觉，这种做法年夜略会让本来吃亏的某个月变成有获利的一个月。
跟着对冲基金数量的激增(如今已超出7,500家)，对基金经理而言，要吸引并留下投资者的钱，对高涨月数和下跌月数的统计正变得越来越紧张。
近几个月，在信贷市场一片冷落的同时，如何给难以谋划净值的证券订价成了华尔街的热点话题。
偶然，对一些不凡是交易或交易报价差距较年夜的债券来说，要让银行、经纪公司和对冲基金精确确定它们的代价是件很难的事。
近来，在对冲基金计价题目上最驰名的一个案例是Ellington Capital Management，它是一家专门从事债券投资的对冲基金公司，旗下办理着52亿美元的资产。
Ellington在9月30日给客户的信中说，因为信贷市场产生动荡，它持有的两只债券受到波及，旗下两只基金将平息赎回。
信中说，无法在对要赎回基金的投资者和仍留在基金里的投资者都保存刚正的前提下确定资产净值。
异国任何迹象表明Ellington有什么不当行动。
信中说，公司的做法不是为了回应投资者发起的赎回哀告、追缴包管金或其他任何题目。
Ellington讲话人拒绝公告评论。
该公司的活动在《纽约邮报》(New York Post)上有报导。
如今，投资者、审计部分和监禁机构都在存眷银行和经纪公司是如何评判这些证券的代价。
不过近来有探讨呈现，对冲基金年夜略更值得人们注意。
学术探讨发觉，在任何一个月中，报告有小量高涨的基金流派与报告有小量下跌的基金流派之间存在很年夜差距。
对从事滚动性较差的证券交易的基金来说，这个差距最为明显。
而在紧张交易股票或期货合约的基金中间，则不存在如许的悬殊。
股票或期货合约市场活泼，并且很简单订价。
这也意味着，某些基金有年夜略假造结果。
探讨报告作者保伦(Nicolas P.B.Bollen)和波尔(Veronika K.Pool)说，对冲基金经理年夜略故意编造其投资配合的代价，以便遁藏向投资者报告吃亏。
保伦是范德比特年夜学(Vanderbilt University)金融学副教授，波尔是印地安那年夜学(Indiana University)金融学助教。
他们在报告中写道，如果然呈现伪造的环境，那么投资者年夜略会对将来的潜伏吃亏估计不敷，另有年夜略对基金经理的本领估计过高。
这项探讨采取了马萨诸塞年夜学(University of Massachusetts)的一个对冲基金数据库，分析了4,268家差别投资风致的对冲基金在1994-2005年间的月回报率数据。
眼下，市场已从八月份的信贷危机中渐渐平复下来。
为化抒难机，美国联邦储蓄委员会(Fed)9月份将联邦基准利率下调了50个基点。
对冲基金顾问公司Hennessee Group LLC周一表现，它们式样的对冲基金指数8月份下跌了近1%，9月份高涨了2.26%。
中断9月底，该指数本年的涨幅已超出10%，同期，道琼斯产业股票均匀代价指数和标普500指数别离高涨了11.5%和7.7%。
有关弱滚动性证券的订价题目第一次进入年夜家视野是在本年春天，当时，贝尔斯登(Bear Stearns)的两只基金出了年夜麻烦。
此中一家基金起初公告4月份吃亏了6.5%，但几周后投资者得知，该基金当月实际下跌了20%。
该基金对投资者表现，这个变化是因为对不易估价证券的估计代价做了向下调整所导致的。
基金经理在判别这类证券是盈是亏方面有很年夜的伶俐空间。
举例来说，只要他们前后保存同等，他们可以选择是采取一只证券的买入报价还是卖出报价来谋划投资配合的代价，而这两个代价偶然悬殊很年夜。
他们还可以选择差别经纪公司报出的差别代价作为标价。
如果一家对冲基金估计某个月年夜略呈现吃亏，那么基金经理年夜略会针对某些证券抉择比较乐不雅的代价，从而使基金总体不会下跌，而不会去思虑那些放年夜吃亏的代价。
因为银行和经纪公司是年夜家交易机构，是以他们采取的这些估值凡是要面对投资者及审计机构的检察。
近来的市场动荡更是促使监禁部分对经纪公司采取的代价倡导了深切查看。
而对冲基金则不会受到外界的同样审视。
他们年夜多并未在美国证券交易委员会(Securities and Exchange Commission)注册，并且很多对冲基金乃至是在开曼群岛等离岸避税地注册。
别的，一些基金每年只接纳一次审计，也便是说月度估计值偶然会被外部审计方检察到。
过去的探讨发觉，在连续变化的经济局势下，各种对冲基金都能获得较安稳的回报。
保伦和波尔近来公告的论文也在这方面做了探讨，但结论却有所差别。
他们的论文指出，基金司明白把回报率向上圆整，以包管基金是略微高涨的，而不会将升值和吃亏都隐瞒失落。
凡是来说，对冲基金的回报率会表现出一种人们熟悉的正态漫衍曲线，其高点会落在略微高涨的地区。
对股票持中性计谋的交易(不论估计股价会下跌还是高涨)其回报率会有如许的表现，而针对弱滚动性证券的计谋则不会如此。
论文指出，这年夜略并不奇怪：
当经理们阐扬自立能动性的机遇比较年夜的时候，歪曲回报率就比较简单做到了。
David Reilly/Gregory Zuckerman New academic research suggests that some hedge-fund managers may cherry-pick flattering prices when valuing securities that don't actively trade in an effort to improve the performance of their funds.Investors should take heed because this massaging can help make the difference between awinning or losing month,the research found.For hedge-fund managers,such statistics on the number of winning and losing months have grown increasingly significant as thePRINTED BAG(PARIS)&PRINTED BAG(penguin)number of hedge funds has exploded--to more than 7,500--and managers vie to attract and retain investor capital.How to price hard-to-securities has become ahot-button topic on Wall Street in recent months as debt markets froze up.This made it difficult at times for banks,brokers and hedge funds to determine accurate prices for some debt securities that trade infrequently or have wide gaps between offers to buy and sell.The most recent known case of hedge-fund pricing issues occurred at Ellington Capital Management,a$5.2 billion debt-focused hedge fund,which said in aPRINTED BAG(portrait)Sept.30 letter to clients that it would temporarily suspend withdrawals from two of its funds because of upheaval in the credit markets that affected its holdings of illiquid securities.'There is no way to determine net asset sthat would be simultaneously fair both to investors redeeming from these funds and to investors remaining in theProcess Pipefunds,'the firm said in the letter.There have been no suggestions that Ellington has done anything improper.The letter said the firm's actions aren't in response to pending withdrawal requestsProduction Line,margin calls or any other issues.A spokesman for the firm declined to comment.The move by Ellington was reported in the New York Post.So far,investors,auditors and regulators have focused on the way banks and brokers these securities.But the new research suggests hedge funds may be an even bigger area of concern.The academic resear ch found asignificant difference in the number of funds reporting aslight gain compared with aslight loss in any given month.That differenceProfessional Brushwas most pronounced for funds that trade illiquid securities；it didn't show up in funds that primarily trade stocks or futures contracts,which have active markets and easily obtained prices.This suggests that some funds could be fudging results.'Hedge-fund managers purposefully avoid reporting losses by marking up the of their portfolios,'according to the authors of the study,Nicolas P.B.Bollen,an associate finance professor at Vanderbilt University,and Veronika K.Pool,an assistant financePromotion penprofessor at Indiana University.If that is the case,the authors wrote,investors may'underestimate the potential for losses in the future and may overestimate the ability of hedge-fund managers.'The study used ahedge-fund database from the University of Massachusetts to analyze monthly returns from 4,268 hedge funds with varying investment styles between 1994 and 2005.Markets have settled down since the August credit crunch,thanks in part to the half-percentage-point interest-rate cut in September by the Federal Reserve.Hedge-fund adviser Hennessee Grou pLLC said yesterday that its hedge-fund index rose 2.26%in September after anearly 1%decline in August.That index was up more than 10%for the year through the end of September,compared with an 11.5%gain for the Dow Jones Industrial Average and a7.7%rise for thePruning ShearsStandard&Poor's 500-stock index.Valuation of infrequently traded securities first sprang to public view as an issue this spring when two Bear Stearns Cos.hedge funds blew up.One of the funds initially reported a6.5%loss for April.A few weeks later,investors learned that the fund was actually down about 20%for that month.The fund told investors that the change was because of downward revisions in the price estimates it received for hard-to-securities.Fund managers can have alot of leeway in determining whether such securities have lost or gained money.As long as they remain consistent,they can,for example,choose whether to use thePUFFpultruded rodbid or offer price of asecurity,which can sometimes vary widely,or pick among different quotes offered by competing brokers.So if ahedge fund is looking at apossible loss for amonth,a manager could pick the more optimistic prices for some securities to push the fund into positive territory while ignoring those that could exacerbate losses.Because they are publicly traded,banks and brokers typically face scrutiny over the estimates they use,from both investors and auditors.The recent market turmoil also prompted regulators to pore over the valuations being used by brokers.Hedge funds don't operate under the same sort of spotlight.Most aren't registered with the Securities and Exchange Commission,and many are domiciled in offshore tax havens such as the Cayman Islands.Finally,some funds are audited only on an annual basis,meaning monthly valuations don't necessarily get checked by an outside auditor.Previous academic research has found that avariety of hedge-fund strategies generate smoother returns than the underlying economics might justify.The recent pa per by Mr.Bollen and Ms.Pool builds on this work but is different in that it suggests amanager'is going to round up returns to make sure they're slightly positive'rather than smoothing out both gains and losses,Mr.Bollen said.Typically,hedge-fund returns should fall along afamiliar bell-curve pattern with apeak that is likely to be in slightly positive territory.That is how the returns play out for equity-neutral strategies,which bet on stocks either rising or falling in.But that doesn't happen for strategies that deal with illiquid securities.'This is perhaps no surprise：
Distorting returns is more feasible when the opportunity for exerting managerial discretion is higher,'the *** said.
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2007年10月10日...日期：2007年10月10日 15:21 来源：和讯网 作者： [字体： 大 中 ... 某些对冲基金经理在对他们持有的那些交易不活跃的证券计算价值时可能会...
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