最近，蒋锴忙着给私人银行部门培训对冲基金的知识。他现在任上海艾方资产管理有限公司总裁兼投资总监一职。前不久，他的首个对冲基金产品4000万元资金已到位，8月初开始交易，且准备8月底再次打开申购。

recent，Jiang Kai busy for the private banking department training of the knowledge of the hedge funds。He now for Shanghai YiFang asset management Co., LTD, President and chief investment officer position。Not long ago，His first hedge fund 40 million yuan capital already in place products，Early August to begin trading，And by the end of August to open explain buy again。

　　与私人银行等渠道交流后，他明显察觉到，追求稳定持续绝对回报的本土对冲基金，正逐步受到高净值人群的青睐。这一趋势也为银行业人士所感知，7月初招行行长马蔚华在分析财富管理新趋势时就曾表示，对冲基金在内的另类投资开始受追捧。

And private Banks after the channel such as communication，He was obviously aware of it，Absolute returns for stable and sustainable local hedge funds，Gradually the favour of people by high net worth。This trend also for bankers perceive，In early July MaWeiHua governor in her wealth management new trend analysis when they had said，Hedge funds, the alternative investment began to more popular。

　　本期报告将选择20多家采用对冲策略的私募产品，分析其业绩的情况，并引导投资者如何选择雨后春笋般涌现的本土对冲基金。

This report will choose more than 20 hedge strategy by the private home products，Analysis of the performance of the situation，How to choose and guide investors have sprouted emerging local hedge funds。

　　25%产品净值翻番 25% net products double

　　2010年4月16日，沪深300股指期货面世，A股多空对冲工具横空出世。同年，融资融券也启动试点。不少投资者将2010年称为中国对冲基金元年。

April 16, 2010，Csi 300 stock index futures to surface，A shares empty d-will hedge tools。In the same year，Margin also start pilot。Many investors will be in 2010 called China's hedge fund first year。

　　这一发展趋势从产品成立的数量分布上得到体现。本报不完全统计23只正在运行、采用对冲策略的私募基金发现，2011年是对冲基金爆发年，共有12只产品成立，占比超5成；2010年及之前仅4只；2012年以来共成立7只。

The development trend of the number of products from established distribution be reflected。Our newspaper incomplete statistics and only is running、The hedge strategy of private equity found，2011 is the outbreak of hedge funds，A total of 12 was only products，Than super 5 into account for；2010 years before and only 4 only；Since founded in 2012 with seven。

　　产品结构设计方面，2011年7月信托可以开股指期货帐户前，多采用有限合伙模式运作，后来也有基金通过信托嵌入有限合伙的模式运作。

The product structure design，In July 2011 the trust can open stock index futures account before，Use more limited partnership operation mode，Later also have funds through the trust embedded limited partnership operation mode。

　　蒋锴的首期产品也采用有限合伙的模式，不过他发现私人银行渠道对这种模式的风险有顾虑，往往不愿意合作，所以也正跟信托公司洽谈，后续产品也会采用信托的模式。

The Kai jiang period production also USES limited partnership model，But he found that private banking channel to this model the risk have concerns，Often don't want to cooperate，So also is to trust company to discuss，Subsequent product by the trust will also mode。

　　常见的阳光私募产品虽也追求绝对收益，但股票型私募基金的手段仅能做“选股”和“择时”，遇到类似去年单边下跌行情时，表现不如人意；对冲基金则可通过使用衍生工具，多空双向操作。

Common sunshine private products, although there pursuit is absolutely gains，But stock type of private equity fund means can only do“Choose a”and“an”，Last year a similar unilateral downturns，Performance not satisfied；Hedge funds may be through the use of derivatives，Empty two-way operation。

　　那么，这类产品提供的回报如何？累计净值看，5只产品净值在1以下，在20只公布最新净值的产品中占比25%。以2011年成立的3款为例，平均亏损幅度为5.2%。累计取得正收益的产品中，净值增长幅度在10%以内的有9款，占比为45%；10%-100%之间的仅1款。但增长幅度超过100%的产品有5款，占比达25%（图1，2）。

so，This kind of product provide returns？Accumulative total net worth watching，5 products in the net only 1，In 20 of the latest net value products released only accounts for more than 25%。Founded in 2011 by the 3 paragraph for example，Average loss rate of 5.2%。Accumulated a positive income of products，Net value increasing rate in nine within 10% of the money，Accounting for 45% than；Between 10% and 100% of only 1。But the growth rate of more than 100% of the products have 5，More than 25% of（Figure 1，2）。

　　从这三组数据看出，对冲产品业绩分化非常明显。

From the three groups that data，Hedge product performance is very apparent differentiation。

　　净值表现较好者：如陕西创赢投资旗下的创赢2号，成立于2010年4月，基金经理是崔军，累计净值2.1516。私募排排网数据显示，今年以来该产品收益率36.68%，近两年收益率是109.91%，同期沪深300指数分别是4.94%和-3.96%。

Net value disciplines background.over 1 performance：Such as shaanxi and win, a subsidiary of investment and win no. 2，Was established in April 2010，Fund manager CuiJun is，Accumulative total net worth 2.1516。Private row by row nets data shows，Since this year the product yield 36.68%，Nearly two years to yield 109.91%，Csi 300 index over the same period, are 4.94% and 3.96%。

　　崔军近日表示，在产品对冲策略中，股指期货和股票的比例是3：7，也就是用30%期货对冲70%的股票风险。

CuiJun recently said，In product hedge strategies，Stock index futures and the proportion of shares is 3：7，Also is to use 30% 70% of the stock futures to hedge risk。

　　以其去年斩获的48%收益为例，其中60%-70%是股指期货和对冲贡献的收益，剩余30%左右来自股票收益。

With its last year 48% of the income gained ground as an example，60%-70% is stock index futures and hedge contribution benefits，Remaining from the stock returns of about 30%。

　

　四大遴选标准 Four big selection standards

　　业绩差距如此大，在眼花缭乱的产品池中，投资者该如何挑选？蒋锴的建议是，从四个方面判断（图4）。

Performance gap so big，In the dazzling product pool，Investors about how to choose the？Jiang Kai suggestion is，Judging from four aspects（Figure 4）。

　　首先是对冲基金管理团队的从业背景、过往业绩及市场下行时的风控能力。对冲产品在海外已很成熟，但A股与海外实际情况有一定差异，所以最好选有海外从业背景和本地市场经验结合的团队。

First is a hedge fund management team's business background、Past performance and the market down the wind when control ability。Hedge products in overseas already very mature，But A shares and overseas have different actual situation，So had better choose overseas business background and experience in the local market of the combination of the team。

　　其次，关注产品策略设计。国内对冲基金策略主要有两类：市场中性策略和宏观对冲策略。市场中性策略是多空同时操作，进而对冲掉组合中的系统性风险；宏观对冲则是投资标的物涵盖股票、商品期货、股指期货、利率产品等衍生产品（图3）。

second，Focus on product strategy design。Domestic hedge fund strategies basically has two kinds：Market neutral strategy and macro hedge strategy。Market neutral strategy is empty and operation，And then to develop the combination systemic risk；Macro hedge is the subject matter covered stock investment、Commodity futures、Stock index futures、Interest rate derivatives products, etc（Figure 3）。

　　成立于2011年4月的梵基一号基金就采用宏观对冲策略，不仅投资股指期货，还利用商品期货来对冲，目前累计净值达121.1947。

Established in April 2011, the Vatican number one fund use macro hedge strategy，Not only investment stock index futures，Also use the commodity futures to hedge，At present accumulative total net value of 121.1947。

　　但总体来说，应避免选择单一策略的产品，比如仅做定向增发策略及股指期货套现策略的产品。因为A股市场变化速度很快，某类套利策略在发行时有效，但成立后机会就有可能消失。比如股指套现策略2010年能赚钱，但2011年单边下跌市就很难做。

But overall，Should avoid to choose a single strategy of products，Such as just doing directional secondary strategy and stock index futures to cash strategy of products。Because the A share market change very quickly，Some kind of arbitrage strategy at the launch effective，But after the establishment of the opportunity he may disappear。Such as stock index to cash strategy in 2010 can make money，But in 2011, it is very difficult to do the unilateral fall。

　　2-3个策略组合比较合适，这样更容易给产品提供较稳定的盈利回报，但如达到8-10个，就过于广泛。

2-3 strategy combinations is more appropriate，It is easier to give products provide a stable profit in return，But such as up to eight to 10，Is too wide。

　　再者是衡量收益风险比是否高，这是投资者最值得关注的。与海外情况不同，现阶段选择国内对冲基金的投资者，基本上是风险偏好低，追求稳定回报的人群。若年化收益率太低，仅有5%-6%，与信托等固定收益类产品相比就毫无吸引力。但对冲基金也有市场波动风险，如业绩波动幅度过大，与股票型基金就没有差异。

Moreover it is to measure income than whether high risk，This is the most investors is worth to pay close attention to。And the overseas the situation is different，At present domestic hedge fund investors choice，Basically is low risk preference，Pursuit of stable return crowd。If change yield years is too low，Only 5%-6%，And the trust and fixed income products than unattractive。But hedge fund also has a market volatility risk，Such as performance fluctuation range is too big，And stock fund is no difference。

　　所以，衡量过往业绩，只需看管理团队的年化收益率即可。可用夏普比率（Sharpe Ratio）来衡量，将基金年化收益率减去当时市场实际资金成本，再除以收益的波动率，得出的结果就是衡量收益风险比最好的指标。但由于各家基金公开信息披露不充分，本报无法给出详细比率对比，投资者应自行索要分析。

so，Measure past performance，Just look at the management team of the year can change yield。Available sharp ratio（Sharpe Ratio）To measure，Will change yield fund year minus the actual cost of capital market at that time，Divided by earnings volatility，The results from the measure income is less than the best indicators of risk。But because of his public funds inadequate disclosure of information，Our newspaper is unable to provide detailed contrast ratio，Investors should be to ask for analysis。

　　即使采用了对冲策略，基金也完全可能亏损。所以投资者以及银行、信托等销售渠道从风控考虑，更关心的是止损线设置。普通阳光私募产品，止损线平均0.7左右。

Even if one USES the hedge strategy，Funds also entirely possible losses。So investors and bank、Trust and sales channel from wind accused of consideration，Are more concerned with stop loss line Settings。Ordinary sunlight private products，Stop line about an average of 0.7。

　　海集方1期股指期货套利投资信托计划的最新净值是0.9738，它的止损线是0.92元，预警线设为0.94。但如此严格的设置也在一定程度上捆住基金管理人的手脚。

The sea set party QiGu 1 futures arbitrage investment trust the net value of the latest plan is 0.9738，It stop line is 0.92 yuan，Income set to 0.94。But so strict set in a certain extent also tied the hands of the fund manager。

　　不同的对冲策略风险点不尽相同。譬如，股指期货与期现的套利，只要坚持到每月的合约结算日，最终价差会收敛，其中的风险在于是否有足够保证金以防被期货公司强制平仓。

Different hedge strategy at risk are not the same。For example，Stock index futures and period of now arbitrage，As long as we persist to monthly contract day of reckoning，The price will eventually converge，The risk is that whether enough margin in case by futures companies forced liquidated。

　　反之，如果做风险套利，博的是盈亏的概率，就应设置止损线。业内人士表示，净值0.9是投资者和基金管理人双方一般能接受的止损线。

and，If do risk arbitrage，Bo is the probability of profit and loss，Should place stop loss line。People in the industry say，Net worth 0.9 is investors and funds managers both sides can accept general stop line。