2008/03/25 막횸웚믵퇐뺿쾵쇐 뷰죚릤돌 쳗웚놣횵ퟮ병쪱믺톡퓱 막횸웚믵퇐뺿쾵쇐횮쪮냋 쿠맘퇐뺿 ꆶ막횸웚믵퇐뺿쾵쇐1-17ꆷ 짨볆뗍럧쿕Alpha닟싔샭닆닺욷폐솽듳튪쯘ꎬ튻쫇톰헒폐뎬뛮쫕틦뗄쿖믵ꆶ막횸웚믵믺릹춶헟쫖닡ꆷ 닺ꎻ뛾쫇폐킧뛔돥쾵춳럧쿕ꆣ막횸웚믵뗄췆돶캪뛔돥쾵춳럧쿕쳡릩쇋솼ꆶ돌탲뮯붻틗닟싔퇐뺿쾵쇐1-3ꆷ 뫃뗄뷰죚릤뻟ꎬ떫캪쏖늹웚믵잱퓚뿷쯰뛸풤쇴뗄쿖뷰뛔Alpha닟싔뗄ퟮ훕 쫕틦폐ퟅ늻뿉뫶쫓뗄쾡쫍펰쿬ꎬ쯹틔쳡룟웚믵춷듧뗄럧쿕뛔돥킧싊뛔쳡룟 Alpha닟싔ퟩ뫏쫕틦뫜폐뇘튪ꆣ ퟮ뎣볻뗄럧쿕뛔돥닟싔캪췪좫쳗웚놣횵ꎬ벴퓚헻룶닺욷짺쏼훜웚쪼훕췪좫 뢲룇쿖믵춷듧뗄쾵춳럧쿕ꎬ떫웚돵풤쇴뗄쿖뷰뇈샽췹췹럇뎣듳ꎬ듓뛸떼훂 쿖믵닺뗄Alpha쫕틦놻퇏훘쾡쫍ꆣ 캪뷢뻶췪좫쳗웚놣횵듦퓚뗄뛔돥뗍킧컊쳢ꎬ놾놨룦짨볆쇋솽훖럧쿕뛔돥닟싔ꎬ럖뇰쫇늻췪좫쳗웚놣횵뫍퓱믺쳗웚놣횵ꆣ웤훐ꎬ늻췪좫쳗웚놣횵쫇퓚돐쫜튻뚨잱퓚뿷쯰뗄잰쳡쿂룹뻝쫐뎡늨뚯싊풤맀쾵춳럧쿕럖늼틔놣횤퓚듳룅싊쿂횻뛔돥늻샻쾵춳럧쿕ꎬ볲떥살쮵ꎬ퓚짨뚨뗄럧쿕돐쫜쓜솦쿂퓊탭늿럖쿖믵춷듧럧쿕놩슶ꎻ퓱쪱쳗웚놣횵퓲죏캪쫐뎡뻟폐쟷쿲탔쳘헷ꎬ쟷쫆쓜퓚튻뛎쪱볤쓚뗃틔놣돖ꎬ춨맽뛔샺쪷탐쟩탅쾢뗄볆쯣릹붨퓱쪱횸뇪뷸탐훷뚯뗄웚믵춷듧싲싴틔뛔돥쾵춳럧쿕ꆣ 놾놨룦톡퓱뮪쿄듳엌막욱믹뷰ퟷ캪Alpha닟싔ퟩ뫏뗄쿖믵닺ꎬ뛔뇈쇋틔짏죽훖럧쿕뛔돥닟싔쿂룃Alpha닟싔ퟩ뫏뗄쫕틦싊ꎬ쪵횤웚볤캪2007쓪7 퓂2ꎭ2008쓪3퓂19죕ꎬ릲176룶붻틗죕ꎬ웚믵탐쟩닉폃뮦짮300쿖믵 횸쫽살듺쳦ꎬ늢ퟔ탐짨볆쇋쟷쫆탔퓱쪱횸뇪LHEMꎬ쪵횤뇭쏷늻췪좫쳗웚 놣횵뫍퓱믺쳗웚놣횵뗄럧쿕뛔돥킧싊튪룟폚췪좫쳗웚놣횵ꆣ 퓚듋쪵횤웚볤ꎬ쿖믵닺뮪쿄듳엌뗄뎬뛮쫕틦캪%ꎬ췪좫쳗웚놣횵쿂 룃Alpha닟싔ퟩ뫏뗄쫕틦싊캪%ꎬ늻췪좫쳗웚놣횵쿂룃Alpha닟싔ퟩ 뫏뗄쫕틦싊캪ꎥꎬ뛸틀뻝퓱쪱횸뇪LHEM뷸탐훷뚯럧쿕뛔돥뗄닟싔 쫕틦싊퓲룟듯%ꎬ풶룟폚췪좫쳗웚놣횵뫍늻췪좫쳗웚놣횵쿂뗄닟싔쫕 틦싊ꎬ춬쪱룃닟싔튲폅폚떥뒿뗄쿖믵춷듧퓱쪱싲싴ꆣ 퓱쪱쳗놣닟싔뗄룟쫕틦훷튪뗃틦폚퓱쪱횸뇪LHEM퓚쪵횤웚볤뇈뷏쏷쿔뗘 뇪힢쇋뮦짮300횸쫽짏퇯뫍쿂뗸뗄럖뷧쇫ꎬ쪹뗃룃Alpha닟싔ퟩ뫏볈쳡좡 쇋쿖믵닺늿럖뗄뎬뛮쫕틦ꎬ뮹쿭쫜쇋듳엌짏퇯듸살뗄쫕틦ꆣ늻맽샻폃샺 쪷쫽뻝릹붨쟷쫆샠퓱쪱횸뇪듦퓚퓱쪱뗄훍뫳탔ꎬ횻폐쫐뎡쟷쫆쓜캬돖쟒뎤 웚퓋폃룃횸뇪ꎬ룃횸뇪닅쓜랢믓ퟷ폃ꆣ죧맻듳엌늨럹뫜킡ꎬ믲헟냑룃횸뇪 폃폚뛌웚춶믺ꎬ헢샠퓱쪱횸뇪뚼믡쪧쇩ꆣ 럖 컶 쪦 췵뫬뇸 (0755) 8249 2185 wanghb@ 뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 1 / 10
막횸웚믵퇐뺿쾵쇐횮쪮냋ꎺ쳗웚놣횵ퟮ병쪱믺톡퓱 Mar-2008 쒿 슼 튻ꆢ죽훖럧쿕뛔돥닟싔ꎺ쫕틦폫럧쿕뗄좨뫢................................................3 뛾ꆢ췪좫쳗웚놣횵닟싔ꎺ듳뇈샽쿖뷰풤쇴쾡쫍뎬뛮쫕틦..............................4 죽ꆢ늻췪좫쳗웚놣횵ꎺ퓊탭늿럖럧쿕뿉뿘뗘놩슶.........................................4 쯄ꆢ퓱쪱쳗웚놣횵ꎺ릹붨쟷쫆횸뇪훷뚯퓱쪱................................................7 뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 2 / 10
막횸웚믵퇐뺿쾵쇐횮쪮냋ꎺ쳗웚놣횵ퟮ병쪱믺톡퓱 Mar-2008 쒿잰쫐뎡짏뗄뗍럧쿕샭닆닺욷훷튪폐듲탂막ꆢ햮춶틔벰놣놾탍맒릳샭닆닺욷뗈뗈ꎬ닺욷쿟뇈뷏떥놡ꎬ쯦ퟅ막횸웚믵췆돶ꎬ샻폃막횸웚믵뾪랢뗄뗍럧쿕alpha닟싔닺욷붫듳듳럡뢻헢튻욷쿟ꆣ뗍럧쿕alpha닟싔뗄돉릦좡뻶폚솽듳틲쯘ꎬ튻쫇뻟폐뎬뛮쫕틦뗄쿖믵ퟩ뫏ꎬ뛾쫇폐킧뗄쾵춳럧쿕뛔돥ꎬ솽헟뛔닟싔뗄쯰틦뚼붫폐뻶뚨탔뗄펰쿬ꎬ뛸듓쪱볤살뾴ꎬ럧쿕뛔돥맡뎹헻룶춶맽돌ꎬ닙ퟷ웰살룼캪뢴퓓ꆣ 놾놨룦훷튪퇐뺿죧뫎룄짆럧쿕뛔돥뗄킧싊틔쳡룟alpha닟싔뗄쫕틦쮮욽ꎬ톡퓱뮪쿄듳엌막욱믹뷰ퟷ캪폅훊쿖믵닺살믱좡뗍럧쿕alpha쫕틦ꎬ늢짨볆쇋죽훖럧쿕뛔돥닟싔ꎬ늻춬닟싔뗄닮틬붫퓚닟싔뗄뷰탨쟳맦쒣ꆢ햼폃뷰쫕틦싊뗈횸뇪짏쳥쿖돶살ꆣ평폚뮦짮300횸쫽웚믵럂헦탐쟩쪧헦퇏훘ꎬ맊닉폃뮦짮300쿖믵횸쫽듺쳦쪵횤훐뗄웚믵횸쫽ꎬ놣횤뷰뇈샽캪10ꎥꎬ쪵횤웚볤캪2007쓪7퓂2ꎭ2008쓪3퓂19죕ꆣ 튻ꆢ죽훖럧쿕뛔돥닟싔ꎺ쫕틦폫럧쿕뗄좨뫢 평폚춶막횸웚믵쪵탐놣횤뷰맜샭ꎬ쯹틔alpha닟싔뗄쪵쪩쫗쿈탨뷢뻶웚믵뗄쿖뷰맜샭컊쳢ꎬ쿖뷰훷튪폃살횧뢶돵쪼놣횤뷰ꆢힷ볓뗄놣횤뷰ꆢ쏖늹웚믵춷듧뿷쯰ꎬ쿖뷰맜샭풤쇴뗄뷰맦쒣뻍돉쇋뻶뚨alpha닟싔쫕틦룟뗍뗄훘튪틲쯘ꎬ쯹틔럧쿕뛔돥닟싔뗄짨볆튲뻍캧죆헢룶쒿뇪햹뾪ꎬ벴퓚뿘훆뫃럧쿕뗄잰쳡쿂뺡뿉쓜뗘붵뗍웚돵풤쇴뷰맦쒣ꆣ ퟮ볲떥뗄럧쿕뛔돥닟싔쫇췪좫쳗웚놣횵ꎬ퓚헻룶샭닆맽돌췪좫뛔돥쾵춳럧쿕ꎬ헢훖닟싔ퟮ뎣볻ꎬퟮ낲좫ꎬ떫캪펦뛔늻샻탐쟩풤쇴뗄뷰췹췹튲쫇ퟮ뛠ꆣ 죧맻alpha닟싔뗄춶뺭샭쓜돐쫜튻뚨뗄뿉쓜뿷쯰ꎬ쓇쎴뛔돥닟싔뿉짨볆돉늻췪좫쳗웚놣횵ꎬ늻췪좫쳗웚놣횵늻뇘뛔웚믵춷듧뷸탐ퟣ뛮엤훃ꎬ퓚듳엌짏퇯쪱룃닟싔쓜늿럖쿭쫜듳엌짏퇯듸살뗄쫕틦ꎬ떫튲붫돐쫜듳엌쿂뗸듸살뗄쯰쪧ꎬ늻맽평폚쫂쿈짨뚨럧쿕놩슶쮮욽ꎬ맊럧쿕튲쿠뛔뿉뿘ꆣ 뗚죽훖럧쿕뛔돥닟싔늢늻ퟅ퇛폚웚믵춷듧뗄쫽솿ꎬ뛸쫇ퟅ퇛폚럧쿕뛔돥뗄쪱믺ꆣ쒳훖틢틥짏막횸웚믵쫇춶헟쪵쿖퓱쪱춶럇뎣폐킧뗄릤뻟ꎬ횻쫇뫳쫐뗄퇝틯듦퓚뫜듳뗄늻좷뚨탔ꎬ쓇쎴쳗웚놣횵쪱믺뗄톡퓱뻍듦퓚럧쿕ꆣ뗚죽훖럧쿕뛔돥닟싔뻍쫇웚췻춨맽퓱쪱횸뇪뗄짨볆훷뚯뷸탐럧쿕뛔돥ꎬ맊뿉돆캪퓱쪱쳗놣ꆣ 횱맛짏ꎬ죽훖닟싔뗄럧쿕폫쫕틦쟩뿶죧뇭1쯹쪾ꎬ췪좫쳗놣ퟮ컈붡ꎬ퓱쪱쳗놣ퟮ벤뷸ꎬ떫춨맽짮죫퇐뺿폫닟싔쒣탍뾪랢ꎬ컒쏇랢쿖벤뷸뗄럧쿕뛔돥닟싔볈쓜믱좡뷏룟뗄쫕틦튲쓜뛔돥늻샻뗄쫐뎡늨뚯ꆣ뷓쿂살컒쏇럖뇰닉폃헢죽훖닟싔살믱좡뮪쿄듳엌믹뷰훐뗄뎬뛮쫕틦ꆣ 뇭1ꆢ죽훖럧쿕뛔돥닟싔 뛔돥닟싔 쫕틦럧쿕췪좫쳗웚놣횵 뗍뗍늻췪좫쳗웚놣횵 훐훐퓱쪱쳗웚놣횵 룟룟쇏살풴ꎺ솪뫏횤좯퇐뺿쯹 뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 3 / 10
막횸웚믵퇐뺿쾵쇐횮쪮냋ꎺ쳗웚놣횵ퟮ병쪱믺톡퓱 Mar-2008 뛾ꆢ췪좫쳗웚놣횵닟싔ꎺ듳뇈샽쿖뷰풤쇴쾡쫍뎬뛮쫕틦 퓚2007쓪7퓂2ꎭ2008쓪3퓂19죕웚볤ꎬ릲폐176룶붻틗죕ꎬ뮪쿄듳엌뫍뮦짮300횸쫽뗄ퟟ쫆죧쿂춼1쯹쪾ꎬ뮪쿄듳엌뎬뛮쫕틦캪%ꆣ 춼1ꆢ뮪쿄듳엌믹뷰폫뮦짮300횸쫽뗄ퟟ쫆 %100%쫕틦싊ꎨꎩ90%뮪쿄듳엌30080%뮦짮횸쫽70%60%50%40%30%20%10%0%쇏살풴ꎺ솪뫏횤좯퇐뺿쯹 퓚헻룶웚볤듳엌ퟮ듳헇럹%ꎬ웚믵춷듧랢짺뿷쯰ꎬ뫳퇩살뾴퓚웚돵캪웚믵춷듧풤쇴뗄뷰뇈샽ꎨ쿠뇈쿖믵춷듧ꎩ펦룃캪죧쿂릫쪽뇭쪾ꎺ 웚돵쿖뷰풤쇴뇈샽ꎽ돵쪼놣횤뷰뇈샽ꎫퟮ듳ힷ볓놣횤뷰뇈샽ꎫퟮ듳뿷쯰뇈샽 ꎽ10ꎥꎫꎥꇁ10ꎥꎫ% ꎽ% 뾼싇ퟮ듳햼폃뷰ꎬ쿖믵춷듧쫕틦싊뗄쾡쫍뇈샽캪ꎥꎨ1/%ꎩꎬ룃alpha닟싔쫕틦싊듓%붵뗍캪%ꎨ%/%ꎩꆣ쇭췢ꎬ평폚헻룶웚볤췪좫쳗놣ꎬ뫏풼뗄햹웚럧쿕쫇췪좫놩슶뗄ꎬ헢뛔ퟮ훕쫕틦튲쫇늻킡뗄펰쿬ꆣ 듓짏쏦럖컶살뾴ꎬ췪좫쳗웚놣횵ퟮ듳뗄뇗뛋쫇듳뇈샽웚믵늿캻뷰햼폃뛔ퟮ훕쫕틦뗄퇏훘쾡쫍ꎬ폈웤떱쿖믵닺alpha뷏뗍쪱룃샭닆닺욷듦퓚쫕틦맽뗍쓋훁뿷쯰뗄럧쿕ꎬ닺맜샭뗄쓑뛈튲쯦횮퓶듳ꆣ 죽ꆢ늻췪좫쳗웚놣횵ꎺ퓊탭늿럖럧쿕뿉뿘뗘놩슶 뷢뻶췪좫쳗웚놣횵뗄컊쳢뗄뛔닟캪ꎺ퓊탭쫊떱럧쿕놩슶ꎬ뚯첬뗷헻웚믵춷듧ꎬ샠쯆폚Delta뛔돥ꆣ늻췪좫쳗웚놣횵탨튪컒쏇뛔캴살듳엌뗄욯틆뫍늨뚯싊뷸탐럖컶ꎬ춨맽쏉쳘뾨싞쒣쓢늻샻쫐뎡탐쟩ꎬ듓뛸뚯첬뗷헻웚믵춷듧뗄쫽솿ꆣ 떱좻늻췪좫쳗놣닟싔훷튪좡뻶폚alpha닟싔닺욷놾짭짨볆뗄럧쿕돐쫜쓜솦ꎬ벴캴살ퟮ듳쯰쪧뿘훆퓚뛠듳횮쓚ꎬ샽죧퓚80%뗄쟩뿶쿂ퟮ듳쯰쪧늻뎬맽-5ꎥꎬ헢퇹뗄짨볆쪹뗃쿖믵춷듧뿉틔쿭쫜늿럖럧쿕놩슶듸살뗄뿉쓜쫕틦ꎬ벸룶맘볼닎쫽탨뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 4 / 10 2008-03-112008-02-262008-02-052008-01-222008-01-082007-12-212007-12-072007-11-232007-11-092007-10-262007-10-122007-09-212007-09-072007-08-242007-08-102007-07-272007-07-132007-06-30
막횸웚믵퇐뺿쾵쇐횮쪮냋ꎺ쳗웚놣횵ퟮ병쪱믺톡퓱 Mar-2008 튪짨뚨ꎺ 1ꆢ뿉돐쫜뗄ퟮ듳쯰쪧쮮욽ꎻ 2ꆢ틔룅싊뇭쪾뗄럧쿕뿘훆쓜솦ꎻ 3ꆢ웚믵춷듧뗷헻욵싊ꎻ 4ꆢ컞럧쿕쫕틦싊쮮욽ꎻ 5ꆢ뇪뗄횸쫽늨뚯싊ꆣ 헢샯닉폃죕욵싊뗷헻웚믵춷듧ꎬ퓚죎튻뗷헻쪱뗣뚼웚췻폐90ꎥ뗄냑컕냑웚쒩쯰쪧뿘훆퓚5%횮쓚ꎬ듳엌늨뚯싊좡40죕쓪뮯늨뚯싊ꆣ춶뮪쿄듳엌믹뷰뗄돵쪼맦쒣캪50000쫖ꎬ웚돵맦쒣캪췲풪ꆣ 퓚늻췪좫쳗웚놣횵닟싔훐ꎬ뮹탨볓죫쫕틦놣쿕닟싔ꎬ벴냑듳엌짏퇯듸살떱웚헽쫕틦뗄50%뷸탐놣쿕ꎬ뛸웤폠50%퓲폃폚퓶잿닟싔뗄뾹럧쿕쓜솦ꆣ 쿂춼2캪쳗놣ퟩ뫏쫕틦싊뇤뮯틔벰쎿죕폃살뛔돥뗄웚믵쫽솿ꎬ웤훐쳗놣ퟩ뫏쫕틦싊캪쿖믵뫍웚믵떱웚뻸뛔쯰틦뇈ퟮ듳뷰햼폃ꎬ웚쒩룃닟싔뗄쫕틦싊캪%ꎬ룟폚췪좫쳗웚놣횵닟싔쫕틦싊ꆣ 춼2ꆢ뾼싇ퟮ듳뷰햼폃뗄alpha닟싔쫕틦싊벰뛔돥폃웚믵춷듧쫽솿 쇏살풴ꎺ솪뫏횤좯퇐뺿쯹 2007쓪쿂냫쓪쫐뎡뮹쫇캬돖얣쫐ꎬ퓚헢퇹쫐뎡뮷뺳쿂늻췪좫쳗웚놣횵닟싔쫇뇈뷏폐킧뗄ꎬ쓇쎴퓚럇얣쫐뮷뺳쿂ꎬ늻췪좫쳗웚놣횵닟싔뗄킧맻죧뫎쓘ꎿ 2005쓪뮦짮300횸쫽쿂뗸%ꎬ뮪쿄듳엌믹뷰뺻횵믹놾놣횵ꎬ뎬뛮쫕틦캪ꎥꎬ컒쏇냑ퟮ듳뿉돐쫜뗄쯰쪧짨뚨캪5%ꎬ웚췻웚쒩쯰쪧뿘훆퓚5ꎥ뗄룅싊뚨캪90%ꆣ 뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 5 / 10 Hedge Portfolio YieldFuture Number
막횸웚믵퇐뺿쾵쇐횮쪮냋ꎺ쳗웚놣횵ퟮ병쪱믺톡퓱 Mar-2008 춼3ꆢ2005쓪뮪쿄듳엌폫뮦짮300횸쫽ퟟ쫆 뮦짮300횸쫽뮪쿄듳엌믹뷰 050100150200250쪱볤(2005쓪)쇏살풴ꎺ솪뫏횤좯퇐뺿쯹 뮦짮300횸쫽퓚2005쓪볤ퟮ듳헇럹 %ꎬ췪좫쳗웚놣횵뗄웚돵쿖뷰풤쇴뇈샽캪ꎥꎬ쓇쎴닉좡췪좫쳗놣뗄alpha닟싔쫕틦캪%ꆣ뛸닉폃늻췪좫쳗웚놣횵뗄alpha닟싔뗄쫕틦싊뇤뮯죧쿂춼4쯹쪾ꎬퟮ훕쫕틦싊캪%ꎬ뿉틔랢쿖닉폃늻췪좫쳗웚놣횵늢쎻폐뛱뮯럧쿕뛔돥킧맻ꆣ 춼4ꆢ뾼싇ퟮ듳뷰햼폃뗄alpha닟싔쫕틦싊벰뛔돥폃웚믵춷듧쫽솿 쇏살풴ꎺ솪뫏횤좯퇐뺿쯹 놾훊짏붲ꎬ늻췪좫쳗웚놣횵쫇룹뻝쫐뎡늨뚯싊뛔쾵춳럧쿕럖늼ퟷ럖컶틔놣횤퓚듳룅싊쿂쓜뛔돥늻샻쾵춳럧쿕ꎬ듓쪵횤살뾴헢쫇튻훖폐킧뗄랽램ꆣ늻맽짏쏦뗄늻췪좫쳗놣닟싔횻쫇뾼싇쇋듳엌늨뚯ꎬ죧맻쓜뛔듳엌뗄욫틆쮮욽쓜폐풤볻탔쓇쎴룃닟싔뗄쫕틦싊믡룼룟ꆣ 뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 6 / 10 샛볆쫕틦싊Hedge Portfolio YieldFuture Number
막횸웚믵퇐뺿쾵쇐횮쪮냋ꎺ쳗웚놣횵ퟮ병쪱믺톡퓱 Mar-2008 쯄ꆢ퓱쪱쳗웚놣횵ꎺ릹붨쟷쫆횸뇪훷뚯퓱쪱 듓쒳훖틢틥짏붲막횸웚믵쫇춶헟쪵쿖퓱쪱춶뗄럇뎣폐킧뗄릤뻟ꎬ쳗웚놣횵횮쯹틔놻돆캪쮫죐붣뻍쫇틲캪늻샻쪱믺뗄쳗웚놣횵쓜췌쫉쿖믵춷듧뗄쫕틦ꎬ쯹틔쪵쿖폐킧퓱쪱튲쫇쳗웚놣횵뗄ퟮ듳쓑뗣ꆣ퓚죧뫎퓱쪱랽쏦ꎬVIX쫇늻뗃늻쳡떽뗄횸뇪ꎬVIX 평쏀맺횥볓룧톡퓱좨붻틗쯹 (CBOE) 폚1993 쓪쯹췆돶ꎬ캪튻횸쫽톡퓱좨틾몬늨뚯싊볓좨욽뻹뫳쯹뗃횮횸쫽ꎬ쒿잰틑뺭뗃떽맣랺뗄쪹폃ꆣ VIX 뎣놻폃캪에뛏쫐뎡뛠뿕뗄쓦쫆횸뇪ꎬ룃횸뇪랴펳쇋톡퓱좨쫐뎡닎폫헟뛔폚듳엌뫳쫐늨뚯돌뛈뗄뾴램ꆣ떱VIX 폺룟쪱ꎬ뇭쪾쫐뎡닎폫헟풤웚뫳쫐늨뚯돌뛈붫믡룼볓뻧쇒ꎬ튲춬쪱랴펳웤늻낲뗄탄샭ힴ뿶ꎻ쿠랴뗘ꎬ죧맻VIX 폺뗍쪱ꎬ퓲랴펳쫐뎡닎폫헟뛔폚뫳쫐볛룱늨뚯펦믡쟷폚뫍뮺뗄풤웚ꎬ튲틲듋ꎬVIX 폖놻돆캪춶죋뿖믅횸뇪 (The investor fear gauge)ꆣ퓚횸쫽돖탸쿂뗸쪱ꎬVIX 춨뎣믡늻뛏짏짽ꎬ뛸퓚횸쫽돖탸짏퇯뗄춬쪱ꎬVIX 춨뎣믡돖탸ퟟ뗸ꎻ떫듓쇭튻룶뷇뛈살쿫ꎬ떱VIX 틬뎣뗄룟믲뗍쪱ꎬ뿉쓜듺뇭쫐뎡닎폫헟쿝죫벫뛈뿖믅뛸늻볆볛룱뗘싲뷸싴좨ꎬ믲쫇춸슶쫐뎡닎폫헟맽뛈샖맛뛸늻ퟔ횪ꎬ헢췹췹튲뚼폐뿉쓜쫇랴탐쟩떽살뗄쪱뿌ꆣ 웤볆쯣랽쪽쫇톡좡S&P 100 횸쫽톡퓱좨횮뷼퓂럝벰듎퓂럝ퟮ뷓뷼볛욽뗄싲좨벰싴좨릲냋룶탲쇐ꎬ붫웤틾몬늨뚯싊럖뇰볆쯣횮뫳퓙폨틔볓좨욽뻹ꎬ뛸뗃돶튻룶횸쫽ꆣ룃횸쫽퓚2003 쓪뻅퓂럝쪱뷸탐쇋튻쿮탞헽ꎬ룃탞헽붫톡좡뗄뇪뗄횸쫽톡퓱좨평S&P 100 룄캪S&P 500ꎬ늢붫톡좡뗄싲좨벰싴좨뗄룷룶탲쇐평ퟮ뷓뷼볛욽뗄탲쇐룄캪쯹폐탲쇐ꎬ춸맽닉좡룼캪맣랺뗄뇪뗄컯믹뒡ꎬ틔벰늻횻톡좡볛욽탲쇐뗄랽쪽ꎬ틔웚쓜쳡릩쫐뎡닎폫헟튻룶룼쓜랴펳듳엌헻쳥ퟟ쫆뗄횸뇪ꆣ VIX쯤좻폐킧떫맺쓚평폚좱랦웚좨샠뷰죚퇜짺닺욷뛸컞램볆쯣ꎬ맺쓚뿉믱좡뗄쫽뻝횻폐샺쪷뗄탐쟩쫽뻝ꆣ컒쏇죏캪쒿잰뗄쫐뎡뻟폐쟷쿲탔쳘헷ꎬ쟷쫆쓜퓚튻뛎쪱볤쓚뗃틔놣돖ꎬ뛔쳗웚놣횵살쮵헢훖쟷쿲탔뿉짨볆돉퓱쪱횸뇪틔쳡릩볤뷓뗄퓱쪱에뛏ꆣ 컒쏇샻폃샺쪷뗄돉붻솿ꆢ쫕엌볛ꆢퟮ룟볛틔벰ퟮ뗍볛뗈탅쾢릹붨쟷쫆탔퓱쪱컒쏇샻폃샺쪷뗄돉붻횸뇪LHEMꎬ늢폃살뻶뚨뿕춷쳗웚놣횵뗄쪱믺ꆣLHEMퟛ뫏뾼싇볛룱폫돉붻솿뗄솿ꆢ쫕엌볛ꆢퟮ룟볛틔뇤뮯ꎬ죏캪쫐뎡짏짽쟷쫆쿂뷏짙돉붻솿뻍쓜쿲짏췆짽막볛ꎬ쿂붵쟷쫆쿂뷏짙뗄돉벰ퟮ뗍볛뗈탅쾢릹붨쟷붻솿뻍쓜쿲쿂췆뗍막볛ꎬ뛸퓚욽뫢쟷쫆쿂솿볛닅쓜뷏뫃뗘엤뫏ꆣ 쫆탔퓱쪱횸뇪LHEM 죔좻틔2007쓪7퓂2훁2008쓪3퓂19죕웚볤믱좡뮪쿄듳엌믹뷰Alpha닟싔캪샽ꎬ떱짨볆뗄퓱쪱횸뇪횸쪾ퟶ뿕쪱ꎬ컒쏇뷸탐췪좫쳗웚놣횵ꎬ떱룃퓱쪱횸뇪횸쪾ퟶ뛠쪱ꎬ컒쏇욽닖뗴쯹폐웚믵뿕춷춷듧ꎬ웚돵쿖믵닺맦쒣죔좻캪췲풪ꆣ 퓚헻룶웚볤룃퓱쪱횸뇪횸쪾뗄쳗웚놣횵쪱뗣죧춼5쯹쪾ꎬ컒쏇뿉틔랢쿖ꎬ퓚뷗뛎쿂뗸쟷쫆횮돵룃횸뇪뾪쪼랢돶ퟶ뿕탅뫅ꎬ쯤좻쇩쏴뛈폐듽볓잿ꎬ떫죔뇈뷏쏷쿔뗘뇪힢쇋뮦짮300횸쫽짏퇯뫍쿂뗸뗄럖뷧쇫ꆣ 웚볤웚믵춷듧ퟮ듳뷰햼폃캪췲풪ꎬ쿠뛔쿖믵춷듧웚돵쿖뷰풤쇴뇈샽붵뗍캪%ꎬ뛸췪좫쳗웚놣횵쿂룃뇈샽캪%ꎬ뿉볻춨맽훷뚯퓱쪱ꎬ늻뷶폐킧쟸럖쇋짏퇯뫍쿂뗸탐쟩ꎬ뛸쟒쿖뷰맜샭뗄맦쒣튲뗃떽붵뗍ꎬ뷰쪹폃킧뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 7 / 10
막횸웚믵퇐뺿쾵쇐횮쪮냋ꎺ쳗웚놣횵ퟮ병쪱믺톡퓱 Mar-2008 싊쳡룟ꆣ 춼5ꆢ쳗웚놣횵쪱믺벰뛔돥폃뗄웚믵춷듧쫽솿 650030300뮦짮횸쫽600025뛔돥뗄웚믵춷듧5500205000154500104000c5350030000쇏살풴ꎺ솪뫏횤좯퇐뺿쯹 뾼싇ퟮ듳뷰햼폃뗄닟싔쫕틦싊뇤뮯죧쿂춼6쯹쪾ꎬ평폚훷뚯퓱쪱뛔늻샻탐쟩뷸탐쇋벰쪱맦뇜ꎬ룃닟싔볈놣돖쇋쿖믵닺늿럖뗄뎬뛮쫕틦ꎬ뛸쟒쿭쫜쇋듳엌짏퇯듸살뗄쫕틦ꎬ쯹틔웚쒩쫕틦싊뇈뷏뿉맛ꎬ듯떽%ꎬ풶룟폚췪좫쳗웚놣횵뫍늻췪좫쳗웚놣횵뗄닟싔쫕틦싊ꆣ 춼6ꆢ뾼싇ퟮ듳뷰햼폃뗄닟싔쫕틦싊 3090%%뛔돥뗄웚믵춷듧80%25ퟮ듳뷰햼폃쫕틦싊70%2060%50%1540%1030%20%510%00%쇏살풴ꎺ솪뫏횤좯퇐뺿쯹 죧맻춶헟늻웚췻쪹폃웚믵춷듧뛔돥럧쿕ꎬ뛸쫇횱뷓룹뻝퓱쪱횸뇪LHEM뷸탐쿖믵닖캻뗷헻ꎬ벴LHEM횸쪾ퟶ뿕쪱췪좫돶쟥쿖믵춷듧ꎬ떱LHEM횸쪾ퟶ뛠쪱퓙싺닖릺죫뮪쿄듳엌믹뷰ꆣ헢퇹뗄닙ퟷ뿉틔늻뇘풤쇴쿖뷰ꎬ쿖뷰맜샭뇈뷏볲떥ꎬ춶죫뷰뗄쫕틦싊췪좫평LHEM뗄퓱쪱탔쓜뻶뚨ꎬ늻맽죧듋닙ퟷ붫컞램쿭쫜뮪쿄듳엌믹뷰퓚쫐뎡쿂뗸쪱뗄뎬뛮쫕틦ꎬ폈웤떱쿖믵닺뻟폐폅탣뗄뎬뛮쫕틦믱좡쓜솦쪱헢훖퓱쪱닖캻뗷헻닟싔뗄쫕틦싊붫뗍폚퓱쪱쳗웚놣횵닟싔ꎬ쪵횤훐튲횤쪵쇋헢튻뗣ꎬ죧춼7쯹쪾ꎬ퓱쪱닖캻뗷헻닟싔뗄쫕틦싊캪%ꎬ뗍폚퓱쪱쳗놣쫕틦싊ꆣ 뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 8 / 10 2007-06-302007-06-302007-07-122007-07-122007-07-252007-07-252007-08-072007-08-072007-08-202007-08-202007-08-312007-08-312007-09-132007-09-132007-09-262007-09-262007-10-162007-10-162007-10-292007-10-292007-11-092007-11-092007-11-222007-11-222007-12-052007-12-052007-12-182007-12-182008-01-022008-01-022008-01-152008-01-152008-01-282008-01-282008-02-152008-02-152008-02-282008-02-282008-03-122008-03-12
막횸웚믵퇐뺿쾵쇐횮쪮냋ꎺ쳗웚놣횵ퟮ병쪱믺톡퓱 Mar-2008 춼7ꆢ퓱쪱닖캻뗷헻닟싔폫퓱쪱쳗놣닟싔쫕틦싊뇈뷏 90%%80%Alpha닟싔ퟩ뫏쫕틦싊퓱쪱닖캻뗷헻쫕틦싊70%60%50%%40%30%20%10%0%쇏살풴ꎺ솪뫏횤좯퇐뺿쯹 늻맽샻폃샺쪷쫽뻝릹붨쟷쫆샠퓱쪱횸뇪듦퓚쳬짺뗄좱쿝ꎬ벴퓱쪱뗄훍뫳탔ꎬ횻폐떱쟷쫆쓜캬돖튻뛎쪱볤ꎬ룃횸뇪닅쓜랢믓ퟷ폃ꎬ죧맻듳엌늨럹뫜킡ꎬ쓇헢샠뗄횸뇪뚼믡쪧쇩ꆣ쇭췢헢킩쟷쫆탔퓱쪱ힼ좷탔늻쫇냙럖횮냙뗄ꎬ뎤웚쪹폃닅쓜폐샻폚alpha닟싔ꎬ탒뫃튻냣뗄Alpha닟싔ퟩ뫏듦탸웚뚼뇈뷏뎤ꎬ늻뇘쫜뛌웚퓱쪱뗄삧죅ꆣ죧맻냑헢훖쟷쫆탔퓱쪱횸뇪퓋폃폚뛌웚좨횤춶믺쫐뎡ꎬ쓇뇘뚨쫕틦짵캢뛸쟒뫜뿉쓜쫇뿷쯰ꆣ 뮹폐튻뗣횵뗃힢틢ꎬ쮲쾢췲뇤뗄쫐뎡뛔퓱쪱횸뇪뗄컈붡탔쫇튻룶퇏뻾뗄뾼퇩ꎬ쯹틔퓱쪱횸뇪뗄닎쫽뻍펦룃룹뻝쫐뎡뗄뇤뮯뚯첬뗷헻ꎬ랽쓜쪵쿖듳룅싊ힼ좷퓱쪱ꆣ 뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 9 / 10 2007-06-302007-07-112007-07-232007-08-022007-08-142007-08-242007-09-052007-09-172007-09-272007-10-162007-10-262007-11-072007-11-192007-11-292007-12-112007-12-212008-01-042008-01-162008-01-282008-02-142008-02-262008-03-072008-03-19
솪뫏횤좯막욱움벶뇪ힼ 퓶 돖 캴살6룶퓂쓚막볛뎬풽듳엌10%틔짏 훐 탔 캴살6룶퓂쓚막볛쿠뛔듳엌늨뚯퓚-10% 훁10%볤 복 돖 캴살6룶퓂쓚막볛쿠뛔듳엌쿂뗸10%틔짏 솪뫏횤좯탐튵움벶뇪ힼ 탐튵막욱횸쫽뎬풽듳엌 퓶 돖 탐튵막욱횸쫽믹놾폫듳엌돖욽 훐 탔 탐튵막욱횸쫽쏷쿔죵폚듳엌 복 돖 짮 ? 짏 몣 짏몣웖뚫슽볒ퟬ뚫슷161 뫅헐짌뻖듳쿃34 닣 짮?싞뫾짮쓏뚫슷5047뫅짮?랢햹틸탐듳쿃10닣 폊헾뇠싫ꎺ200121 폊헾뇠싫ꎺ518001 TEL: (86-21) 5840 6452 FAX: (86-21) 5840 6254 TEL: (86-755) 8249 2080 FAX: (86-755) 8249 2062 E-MAIL: lzrd@ E-MAIL: lzrd@ 뿍뮧럾컱죈쿟(+86-755) 8249 3836 쏢퓰짪쏷 놾퇐뺿놨룦뷶릩솪뫏횤좯폐쿞퓰죎릫쮾ꎨ틔쿂볲돆“솪뫏횤좯”ꎩ뿍뮧쓚늿붻쇷쪹폃ꆣ놾놨룦쫇믹폚컒쏇죏캪뿉뾿쟒틑릫뾪뗄탅쾢ꎬ컒쏇솦쟳떫늻놣횤헢킩탅쾢뗄ힼ좷탔뫍췪헻탔ꎬ튲늻놣횤컄훐맛뗣믲돂쫶늻믡랢짺죎뫎뇤룼ꆣ컒쏇믡쫊쪱룼탂컒쏇뗄퇐뺿ꎬ떫뿉쓜믡틲쒳킩맦뚨뛸컞램ퟶ떽ꆣ 놾놨룦쯹퓘탅쾢뻹캪룶죋맛뗣ꎬ늢늻릹돉쯹짦벰횤좯뗄룶죋춶붨틩ꎬ튲캴뾼싇떽룶뇰뿍뮧쳘쫢뗄춶쒿뇪ꆢ닆컱ힴ뿶믲탨쟳ꆣ뿍뮧펦뾼싇놾놨룦훐뗄죎뫎틢볻믲붨틩쫇럱럻뫏웤쳘뚨ힴ뿶ꆣ놾컄훐쳡벰뗄춶볛룱뫍볛횵틔벰헢킩춶듸살뗄쫕죫뿉쓜믡늨뚯ꆣ쒳킩붻틗ꎬ냼삨잣짦웚믵ꆢ웚좨벰웤쯼퇜짺릤뻟뗄붻틗ꎬ폐뫜듳뗄럧쿕ꎬ뿉쓜늢늻쫊뫏쯹폐춶헟ꆣ 솪뫏횤좯쫇튻볒뢲룇횤좯뺭볍ꆢ춶틸탐ꆢ춶맜샭뫍횤좯톯뗈뛠쿮튵컱뗄좫맺탔ퟛ뫏샠횤좯릫쮾ꆣ컒릫쮾뿉쓜믡돖폐놨룦훐쳡벰릫쮾쯹랢탐뗄횤좯춷듧늢뷸탐붻틗ꎬ뮹뿉쓜캪헢킩릫쮾쳡릩믲헹좡쳡릩춶틸탐ꆢ닆컱맋컊믲뷰죚닺욷뗈쿠맘럾컱ꆣ 컒쏇뗄퇐뺿놨룦훷튪틔뗧ퟓ냦탎쪽럖랢ꎬ볤믲튲믡뢨틔펡쮢욷탎쪽럖랢ꆣ컒쏇쿲쯹폐뿍뮧춬쪱럖랢뗧ퟓ냦퇐뺿놨룦ꆣ ©냦좨쯹폐2008쓪 솪뫏횤좯폐쿞퓰죎릫쮾퇐뺿쯹 캴뺭쫩쏦쫚좨ꎬ놾퇐뺿놨룦뗄죎뫎늿럖뻹늻뗃틔죎뫎탎쪽뢴훆ꆢ랢믲릫뾪뒫능ꆣ죧폻틽폃믲퓘놾컄쓚죝ꎬ컱뇘솪싧솪뫏횤좯퇐뺿쯹뿍뮧럾컱늿ꎬ늢탨힢쏷돶뒦캪솪뫏횤좯퇐뺿쯹ꎬ쟒늻뗃뛔놾컄뷸탐폐풭틢뗄틽폃뫍즾룄ꆣ
