证券对冲策略研究与产品设计从统计套利到期现行业中性多alpha开发

1、 2012 8 10 gg Alpha 2011 Alpha 儎yangj S1010510120029亴1 APT Alpha 仾 Beta 亴 f f 仾f Alpha 2 wangw11.ü仾儈2012.8.62. . 2012.6.113. . 2011.8.174.Alpha . 2011.7.125. . 2010.10.266. A 2010.8.47.2010.8.28.仈2010.6.259. 300 2010.5.1910. 仈 130/302010.4.1512. 2008.8.1213. üü2008.5.2914. 仈 2008.4.2享

2、 仾1仾 300 2 300 仾儈3 Alpha 1儈 23 300 300 Alpha 1 300 2007 2012 5 12.5% 11.5% 11.3% 07 16.5% 58%儈 50%2儈 60bp 35bp 2011 35bp 122享仾3üü4Alpha 5仍5儈6儈俆 120 78 1 v.s. 300 1 2 1 33 42010 12 31 300 3 52011 12 31 300 3 62010 72011 4 4 85 95 105 11 v.s. 300 6 12 6 137 147 158 168 1亴2 2 Alpha 5 3 Alpha

3、6 47 58 68 78 89 99 109 119 12 9 2011 A A 儈 300 仾 alpha 300 仈 300 alpha 仾 alpha 仁仍 Alpha 300 12 Alpha 13% 1.8 58% 2007 2012 6 2011 4% 1 v.s. 300 2 4.002.30HS300Long StrategyAlpha3.502.103.001.902.501.702.001.501.501.301.001.100.500.900.00 2011 8 10 070104070404070704071004080104080404080704081004090

4、1040904040907040910041001041004041007041010041101041104041107041110041201041204040701040704040707040710040801040804040807040810040901040904040907040910041001041004041007041010041101041104041107041110041201041204041 APT仾 alpha 仾 beta rs s s1 f1 s 2 f2 s3 f3 s alpha fn 仾 sn s 仾 n f 1. f 2. f s f f f w

5、s f s frP wsrs ( f s f )rs ( f s f ) s fn ( f s f ) sn f1 ( f s f ) s1 f2 ( f s f ) s2 ssssss ( f s f ) s ( f s f )( s ) f , f ws ( s ) ws ( s )sss ws 0s ws 0仈亴 A 1 1人人 2 1 1 1 亴 3 仾仾 alpha alpha 2011 8 10 2 3 4.00 3.503.002.502.001.501.000.500.00 享仾 300 仾 A 300 45 2010 12 31 27% 2011 12 31 31% 300

6、A 亴 67 2010 儈30% 2011 20% 300 仾 Alpha 仾 仾 300 儈 42010 12 31 300 52011 12 31 300 18.0%16.0%14.0%12.0%10.0%8.0%6.0%4.0%2.0%0.0%25.0%20.0%15.0%10.0%5.0%0.0% 2011 8 10 0701040703050704250706220708140710110712030801250803250805200807110809020810310812230902230904160906110908030909230911231001141003151005

7、07100702100824101026101216110215110411110602110726110916111115120109120307120504 伏侞 佀侞伏侞 佀侞 3 62010 72011 120%40%90%20%60%0%30% 20%0% 40% 30% 60% 60% 90% 80% üü 1 8 儈2 9 儈 俆 S(i,j) i j i i R(i,j) j R(i,j) 10 j 10 i j 10 300 儈 300 儈仁 5 2011 8 10 伏侞 佀侞 佀侞伏侞 4 8 9儎 10 Alpha Alpha 僔 300 仁 300

8、仍 800 2 2 Alpha 300仍 800 300 10 仁5 仁 15bp120 2011 8 10 50002000002050000007869004100000030030100 300 156.6 6.08 300 2007 2012 5 12.5% 11.5% 1.8 11.3% 07 16.5% 58%儈 50% 09 10 10 0708 0607 06 11 v.s. 300 12 4.002.30HS300Long StrategyAlpha3.502.103.001.902.501.702.001.501.501.301.001.100.500.000.90 3 A

9、lpha Sharpe 200701042007122812.1%5.8%12.7%16.5%200705232007102654.1%200801022008123115.4%7.7%11.8%11.7%200803112008062058.9%200901052009123129.2%23.8%11.2%3.6%200905262009063064.8%20100104201012318.8%10.7%11.0%6.4%201009152010102056.6%20110104201112303.9%5.4%10.2%7.9%201111172011122257.4%20120104201

10、206155.7%15.6%11.3%3.7%201203212012033057.0%200701042012061513.0%11.5%11.3%16.5%200705232007102658.0% 儈儈仁 4 60bp 35bp 2011 35bp 2011 8 10 070104070404070704071004080104080404080704081004090104090404090704091004100104100404100704101004110104110404110704111004120104120404070104070404070704071004080104

11、0804040807040810040901040904040907040910041001041004041007041010041101041104041107041110041201041204046 13 1420.0%18.0%16.0%14.0%12.0%10.0%8.0%6.0%4.0%2.0%0.0% 2.0%18.0%62.0% LHS RHSSharpe() LHS RHS24.0%16.0%60.0%22.0%14.0%12.0%20.0%58.0%10.0%18.0%8.0%56.0%16.0%6.0%54.0%4.0%14.0%2.0%52.0%12.0%0.0%10

12、.0% 2.0%50.0%0510 15 20 25 3035 40455055600510 1520 2530 35 4045 50 5560 4BPSharpe017.8%15.5%14.7%60.0%516.1%14.2%15.3%59.4%1014.6%12.8%15.9%58.5%1513.0%11.5%16.5%58.0%2011.5%10.2%17.1%57.7%259.9%8.8%17.6%56.9%308.4%7.5%18.2%56.4%356.9%6.2%18.8%56.0%405.5%4.9%19.4%55.4%454.0%3.6%19.9%54.3%502.6%2.3%

13、20.5%54.2%551.2%1.0%21.1%53.6%60-0.2%-0.2%21.7%53.2% 儈俆 1516 30 240 120 2011 8 10 7 15 1618.0%20.0%14.0%58.5%18.0%16.0%12.0%58.0%16.0%14.0%10.0%14.0%12.0%57.5%12.0%8.0%10.0%10.0%57.0%8.0%6.0%8.0%6.0%56.5%6.0%4.0%4.0%4.0%56.0%2.0%2.0%2.0%0.0%0.0%0.0%55.5%306090120150180210240306090120150180210240 5Sh

14、arpe3010.5%8.4%12.4%12.6%56.6%6011.3%9.6%11.6%15.3%57.1%9012.7%10.9%11.4%16.4%57.9%12013.0%11.5%11.3%16.5%58.0%15013.2%11.2%10.9%12.9%57.2%18012.6%10.2%10.9%15.2%57.0%21012.9%10.4%10.7%15.6%58.1%24013.1%11.0%10.7%17.4%57.2% 6 Sharpe 200701042007122873.9%23.0%36.5%8.69%20080102200

15、8123159.9%22.2%38.0%4.8%200807312008082661.0%200901052009123150.2%26.6%36.4%2.4%200908122009082562.3%201001042010123122.8%10.7%34.1%8.7%201003152010050752.5%201101042011123022.1%13.9%33.2%3.8%201107212011081153.7%201201042012062115.9%23.3%29.7%2.6%201201122012011857.7%200701042012062140.8%20.0%35.2%8.67% 7 Sharpe 200701042007122876.7%24.4%31.9%6.90%200801022008123180.5%28.4%33.1%5.22%200901052009123162.1%33.9%34.5%2.3%200904222009050762.7%20100