中国私募基金发展前景和当前问题研究

RESEARCHREPORT121·································································································································································································································································································································································································································································································································································································································································1200342200220023privatelyofferedinvestmentcompanyprivatefund,privatelyofferedfundhedgefundmutualfund4(3)hedgefundmutualfund(1)hedgefundhedgefund1231investorword.comAfund,usuallyusedbywealthyindividualsandinstitutions,whichisallowedtouseaggressivestrategiesthatareunavailabletomutualfunds,includingsellingshort,leverage,programtrading,swaps,arbitrage,andderivatives.Hedgefundsareexemptfrommanyoftherulesandregulationsgoverningothermutualfunds,whichallowsthemtoaccomplishaggressiveinvestinggoals.2hedgeCo.netHedgefundsnormallydonotregisterwiththeSEC.HedgeFundsaredesignedaspartnerships,withthegeneralpartnertypicallybeingthehedgefund'smanager.3hedgefundcenterAhedgefundisaprivateinvestmentlimitedpartnershipthatinvestsinavarietyofsecurities.Therearetwotypesofpartnersinahedgefund,ageneralpartnerandlimitedpartners.Thetermhedgefundismisleadinginthatahedgefunddoesnotnecessarilyhavetohedge.Thetermhedge42005VanHedgeFundAdvisorInternational200412:1120%50%142:12:1(AggressiveGrowth)20%60%20(emergingmarket)20%50%30EquityMarketNeutral15%50%35EventDriven15%60%25Income3530%35(Macro)1030%60(MarketNeutralArbitrage)10%25%65(MarketTiming)55%35%10(Multi-Stragegy)10%50%40(Opportunistic)10%6030(ShortSelling)30%4030value20%602020%50302005VanHedgeFundAdvisorInternational,LLCand/oritslicensor,Nashville,TN,USAfundnowmeansanytypeofprivateinvestmentpartnership.45(2)mutualfundlicensedmutualfund)hedgefundmutualfund5ETF6··AlfredWinslowJones194962070·(MichaelSteinhardt)·(JulianRobertson)·(GeorgeSoros)2090194919682001984686207209019881712VanHedgeFundAdvisorInternational200420041219881988137342020038000800015520VanHedgeFund20049500VanHedgeFund2005200514,0001819881543000120510320035602004110020057106200656658029130071720051028349419981120043318SECRule502(c)(LimitedSolicationorAdvertising)Rule502(c)(Pre-ExistingRelationship)SEC(1)(2)(3)(4)9ThomasSchneeweis,RichardSpurgin,andVassiliosN.Karavas(2000)11LBABILehmanBrothersAggregateBondIndexS&P500IndexAEMFMorningstarAverageEquityMutualFundIndexMSCIWEIMSCIWorldEquityIndexVanU.S.HedgeFundIndex22SHARPE4122Sharpe10VanU.S.HedgeFundIndex*17.7%1.79.2%MSCIWorldEquityIndex6.3%0.416.3%S&P500Index12.4%0.715.4%MorningstarAverageEquityMutualFundIndex10.0%0.6%15.9%LehmanBrothersAggregateBondIndex8.4%1.54.3%*FundofFundVanHedgeFundAdvisorsInternational,LLCand/oritsaffiliates,Nashville,TN31133CSFB/Termont9.544.9318.8919.753.346.364.1913.7312.2611.3250015.0910SHARPESharpRatioR/R11·A·200413(highwatermark)SECfulcrumfeebenchmark0.5%5002%0.1%5002%0.1%2030%hurdlerateAA5%25%AA200045%(45%5%)25%=10%142000100AA2000123114510135AA2001AA20%200110813580%2002AA200AA10820%102002AA85200210885%20%5%120%25%15.93200(85%5%)25%4015.934055.93(108200)1.8555.93513.87207.8768%2002308(85%5%)25%=61.661.6-55.935.6712%200315JanusCapitalGroupFranklinTempleton12LeggMasonRoyce&AssociatesFunds10050PutnamInvestments2005(StatementsofAdditionalInformation)1144Janus93.3BridgewayMorganStanleyTIAA-CREF1121641Janus933,000059Royce877,0000613Artisan712,000014AmericanFunds597,000009T.RowePrice471,0001627Fidelity444,00010739Vanguard393,0003320Wasatch389,000017MFS379,0003112TCW322,0002012Putnam249,0004222FranklinTempleton226,0005023AllianceBernstein193,0006215Oppenheimer187,0009220Riversource153,0008020AmericanCentury136,00011032Federated104,00013019Bridgeway69,0006011MorganStanley/VKAC66,00021036TIAA-CREF10,00017024(1)500060%(2)10%5%2%(3)10%200627.70.94%171313ETF18SEC31231919401933DRegulationDoftheSecuritiesActof193319401933D201421SEC100SEC(1)2223119403(c)(1)3(c)(7)GrandfatherFundA3(c)(1)19403(c)(1)1001003(c)(1)(A)Look-throughProvision10%(votingsecurities)23153(c)(1)100100B3(c)(7)19963(c)(7)193342D144A500500C3(c)(7)3(c)(1)1996913(c)(1)3(c)(7)(i)100(ii)1001996913(c)(1)3(c)(7)2accreditedinvestor1510%(votingsecurities)10%1996NationalSecuritiesMarketImprovementAct24qualifiedpurchaser1933DRegulationDoftheSecuritiesActof1933(InstitutionalInvestor)(i)(ii)(iii)(iv)(InvestmentCompanyActof1940)(v)(vi)2(InvestmentAdvisersof1940)(PrivateBusinessDevelopmentCompany)3SEC4(ExecutiveOfficer)(GeneralPartner)Rule501(f)(President)(VicePresident)(PolicyMaking)56SEC7Rule506(b)(2)(ii)258(EquityOwner)(LimitedPartner)32(a)(51)(A)15002500163iiisettlor4250017(1)(2)16221726(3)2000200327200228292001700020066AB1375417920063.85111820061830(endowments)(foundations)520002005FreemanandCompany5(%)(%)2000200520002005200020052.34.02875734783.580.35.010.013439