| 摘要: | 中文摘要 近年來，避險基金廣為投資者所熱愛，且全球避險基金與日俱增，無疑是因為避險基金帶給投資人的絕對報酬優於市場上大部分共同基金的績效。避險基金與一般共同基金最大的差異在於操作的手法，避險基金通常透過多空部位的操作，來降低基金投資組合與市場的連動性，以追求絕對報酬為最大目標。不同於一般共同基金則是選定標的後，以買進持有策略進行投資。因此，避險基金不論市場行情的好壞，都會把握獲利機會。本研究首先闡述各種避險基金操作策略，透過文獻檢驗回顧過去績效表現，並以國內股市為例，建立4種避險基金策略在國內施行的績效探討。策略如下：市場中立策略(做多產業中最具吸引力的股票，放空最不受青睞的股票)、可轉債策略(買入價格錯估可轉換債券，放空標的股票)、股票避險策略(買入最具潛力股，並建立相對避險部位)、放空策略(建立被高估股票的空頭部位)，綜合觀察分析此4種操作策略，統計結果顯示皆具有績效優於大盤的表現，代表透過上述策略的操作，的確可以獲取超額報酬。此外，這也顯示國內市場並非是一個有效率的市場。 Abstract In recent years, Hedge Fund had pervasively fascinated by investors and grew dramatically in the whole world. Hedge Fund usually constructs short position to eliminate the relationship between their portfolios and the index, and they always have complicated positions included in their portfolio. The most important goal of Hedge Fund is that it pursues for absolute returns. No matter what circumstance the market is, however, for Hedge Fund it will utilize any opportunity to earn the excess returns. In this essay, first of all, we discuss various kinds of Hedge Fund strategies in detail, and then review some past documents to examine the performance and returns of Hedge Fund. Finally, we create strategies in our own domestic stock market as by using the same concept. We construct four Hedge Fund portfolios and examine the implement performance of those portfolios in domestic market. The four strategies are as follow: Equity-market-neutral strategy (construct the long position of the most attractive underlying stock in any industry, and short position of the most distressed underlying stock in the same industry), convertible bond arbitrage strategy (long the mis- or underpricing convertible bond, and also create short position of underlying stock), Equity-market-opportunity strategy (construct the long position of the best potential growth ability underlying stock in the market, and create relative market exposure position), short selling strategy (construct the short position of the overvalued underlying stock in the market), by observing and analyzing this four kinds of strategies synthetically, the statistics show that all of their performance is superior than index. It represents that through constructing the strategies in our own domestic market by the same concepts of the Hedge Fund will generate excess return, indeed. In addition, this also shows that it is not an efficient market to hedge fund market. |
