中国股票多头私募证券投资基金的风险因子研究

Empirical Study on Risk Factors for Long-Only Equity Hedge Funds in China

摘要: 本文利用多因子模型来甄别影响中国私募证券投资基金行业中股票多头基金业绩的风险因子。这些因子包括资产风格因子、流动性因子、市场情绪因子和宏观因子四类。除了经典OLS模型，本文还采用Stepwise和LASSO模型为每个基金样本选取有效因子组合。研究结果表明这些因子对大部分股票多头私募证券投资基金产品业绩的解释度(Adj R2)超过50%，而且不同基金的有效因子组合存在差异。同时，从统计显著性(|t|>2)来看，股票多头私募证券投资基金业绩受资产风格因子、市场情绪因子和宏观因子三类因子影响的样本比例分别为88%、64%和41%，而只有13%左右基金受流动性因子影响。

Abstract: This paper utilizes the multi-factor model to identify risk factors of long-only equity hedge funds in China. These factors cover asset based style factors, liquidity factor, sentiment factors and macro factors. In addition to the conventional OLS model, this paper also employs Stepwise and LASSO regression models to select the subset of effective factors for each hedge fund sample. The results show that these factors can explain over 50% of the return variations of most long-only equity hedge funds in terms of adjust R2s with different sets of effective factors. Meanwhile, from the perspective of statistical significance (|t| > 2), about 88%, 64% and 41% of long-only equity hedge funds are characterized mainly by the asset-based style factors, sentiment factors and macro factors respectively, whereas about 13% of hedge funds are explained significantly by the liquidity factor.