郭同学2021-12-16 12:37:19
郭同学对冲基金收益率outfperfprmS&pP,且return的波动率只有其一半，到底是什么时间？1987-1996，还是2000-2001？
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Adam2021-12-16 13:48:01
Adam同学你好是2000-2001
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那这里不准确？
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同学你好，是我记错了
1987-1996对冲基金表现都是优于大盘的。同时标准差是SP的一般。
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但高老师的讲义里又说是2000后啊？困惑了
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同学你好，准确的如下图：
原版书：
Figure 9.2 shows that for the first time since 1996, the cumulative performance of hedge funds (as measured by the DJCSI and the HFRI) exceeded that of the SNP index. Not only had hedge funds outperformed the SNP index, their return standard deviations were just over half of the SNP index's return standard deviation.
脚注：Over the period 1996-2001, the cumulative performance of DJCSI HFRI and SNP index were respectively 207. 20%, 209.30%, and 204. 41%The corresponding annualized standard deviations were 9.81%, 8.80% and 16.91%。
是从1996-2001整个这段期间才是：表现高于大盘，同时标准差是大盘的一半
这是第一段。【即从整体看199-2001】
第二段是2002-2010
Cumulative performances over this period (2002-2010)were 72.64%,69.82%,and 38.18% for the DJCSI,HFRI and HFRFOFI respectively. In contrast,the SNP index returned only 13.50%.
The annualized standard deviations of returns are 5.84%,6.47%,5.51%,and 16%, respectively for the DJCSI, HFRI, HFRFOFI and SNP index。
即这段表现也是优于大盘。标准差是1/3
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感谢老师！
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