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    题名: 投資組合加入避險基金之效益分析-以夏普指數與絕對報酬衡量
    作者: 龔曉薇
    贡献者: 吳啟銘
    龔曉薇
    关键词: 避險基金
    絕對報酬
    投資組合
    夏普指數
    hedge fund
    absolute return
    portfolio
    sharpe ratio
    日期: 2007
    上传时间: 2009-09-18 19:53:02 (UTC+8)
    摘要: 在投資無國界的全球化金融市場下，國際市場的開放與整合平台的建立，使國內投資人可選擇更多的金融工具。傳統的投資項目多為股票、債券或平衡型商品，在獲利狀況不甚理想下，便開始尋求其他國際的投資管道或是金融商品加入其資產配置中，希望獲取穩定的報酬下，又能降低所承擔的投資風險將投資所需承擔的風險減低。
    近年避險基金的投資績效及資產規模成長搶眼，挾著法令寬鬆與靈活運用的操作策略，以及投資範疇廣與市場連動性低等特性，創造出日益壯大的規模。我國積極致力於金融改革，除了監督管理制度面的改善，對於新興金融工具的開放，也是國內投資環境必須跟進的方向。未來在台灣若能開放設立避險基金之前，國內投資人與監管機關所擔負職責，皆應該對此種金融工具有深入的認識。
    本研究透過四個概念的架構，去評估避險基金加入投資組合後，是否可以幫助投資人達成降低風險以及增加報酬之目標，以及身為資產管理者如何將避險基金納入其資產配置決策等相關考量；對國內金融主管機關而言，避險基金的開放或是投資限制的放寬是否是正確的金融政策方向，才能配以完善的監理機制與法令規範，使國內投資大眾在投資理財工具上更加完備。
    實證結果分析發現，在研究期間避險基金的確可以幫助投資組合之效益提升，但是加入總體情境時，其對投資組合的幫助卻不一致，只有在空頭期間的效果明顯。另外發現沒有避險基金相關之投資限制下的投資組合，其夏普指數高於有限制的投資組合；在避險基金限制放寬下，效率前緣往左上角移動，推論放寬避險基金限制該是正確的金融政策。最後，本研究也發現以機構投資法人而言，避險基金加入投資組合能幫助達到絕對報酬。
    Under the global financial market, which has broken the boundaries between nations, domestic investors now have more choices of financial instruments than they did before. Therefore, besides traditional domestic investment vehicles, such as stocks or mutual funds, domestic investors have started seeking other instruments to enhance their portfolio, pursuing better risk-return profile.
    In recent years, hedge fund’s performance and assets size have both grew impressively by capitalizing on deregulations and various trading strategies of its own. Besides the improvement in financial supervision system, deregulation and capitalizing on newly innovated financial instruments are also important to the reformation of Taiwan’s financial market. Before hedge funds can be legally raised in Taiwan, both domestic investors and market supervisors should equip themselves with adequate knowledge about this important instrument.
    By analyzing the four concepts in the third chapter, the research intends to evaluate whether investors can enjoy better risk-return profile by adding hedge funds into their portfolios. Also, the research objective is to provide suggestions to fund managers as they consider their assets allocation. Finally, we want to evaluate whether it is correct for Taiwan to open up to hedge funds, therefore the government can establish feasible supervision system to protect domestic investors’ rights.
    The research has found that hedge funds could indeed benefit the portfolio during the time period under consideration. However, hedge funds did not have significant effect on the portfolio as macroeconomic scenario was taken into consideration. In the scenario, hedge funds have significantly positive effect on the portfolio only under a bearing market. Furthermore, the research found that the portfolios with less limitation on hedge fund investment can enjoy better Sharp Ratios than those with striker limitation on hedge fund investment. Since the efficiency frontier moved upper left as we reduced the limitation on hedge fund investment in the research, we may conclude that an open-up to hedge funds should be the correct direction for our financial policy. At last, the research also found that institutional investors can get absolute return by adopting hedge funds in their portfolios.
    參考文獻: 中文參考資料
    1. 簡司凱，「利用動態投資組合轉換加強風險控制與提升報酬效率」，朝陽科技大學財務金融系碩士班碩士論文，民國九十三年。
    2. 陳徵輝，「對沖基金投資的理念、策略、報酬及風險之探討」，台灣大學財務金融學系碩士班碩士論文，民國九十二年。
    3. 楊健民，「本國金融業發展境外財富管理業務」，中央大學財務金融學系碩士在職專班碩士論文，民國九十三年。
    4. 黃玉芳、陳若暉，「組合型基金下方風險與績效評估-以修正後Sharpe和Jensen指標為證」，中原企管評論，第五卷，第一期，2007年6月，頁88-90。
    5. 張素蓉，「以標準差與β值為基金核心投資組合引進避險基金後之效率分析」，逢甲大學經營管理碩士在職專班碩士論文，民國九十三年。
    6. 陳俊宏、張松露、李春金，「國際避險基金與全球投資」，網路社會學通訊期刊，第四十八期，2005年6月。
    7. 杜玉振、宋孝聖，「台灣股市投資組合選取與績效評估之研究－Var形式 sharpe指標之推導與應用」，管理與系統，第十卷，第三期，2003年7月，頁343-364。
    網站資料
    中央銀行網站http://www.cbc.gov.tw/
    投信投顧公會網站http://www.sitca.org.tw/
    保險事業發展中心網站http://www.iiroc.org.tw/
    Credit Suisse/Tremont避險基金指數網站http://www.hedgeindex.com/
    普羅財經網http://www.fundwatch.com.tw/
    英文參考資料
    1. Ackermann, Carl, Richard McEnally, and David Ravenscraft (1999), “The Performance of Hedge Funds:Risk, Return, and Incentives”, Journal of Finance,Vol.54, No.3, pp.833-874.
    2. Amin, Gaurav S. and Harry M. Kat (2003), “Hedge Fund Performance 1990-2000: Do the Money Machines Really Add Value?”, Journal of Financial and Quantitative Analysis, Vol. 38, No. 2, pp.251-273.
    3. Andrew, W. Lo (2002), “The statistics of Sharpe ratios”, Financial Analysts Journal, Vol.58, No.4, pp.36-53.
    4. Brinson, G. P., L. R. Hood, and G. L. Beebower(1986), “Determinants of Portfolio Performance”, Financial Analysts Journal, July-August, pp. 39-44
    5. Brinson,G. P., B. D.Singer, and G. L. Beebower(1991), “Determinants of Portfolio Performance Ⅱ ： An Update＂, Financial Analysts Journal, May-June, pp. 40-48.
    6. Chen, Z.P and C.E. Zhao (2002), “Is the MV Efficient Portfolio Really that Sensitive to Estimation Error?”, Asia-Pacific Journal of Operational Research, Vol.25, pp.123-130.
    7. Durn, A. and D.M. Reeb (2002), “International Diversification and Analysts Accuracy and Bias”, The Accounting Review, Vol.77, No.2, pp.415-433.
    8. Fung, H. G.., X. E. Xu, and J. Yau (2002), “Global Hedge Funds：Risk, Return, and Market Timing”, Financial Analysts Journal,Vol.58, No.6, pp.19-31.
    9. Goldman Sachs & CO. and Financial Risk Management Ltd. (1999), “The Hedge Fund Industry and Absolute Return Funds”, Journal of Alternative Investment, Vol.1, No.4, pp.11-27.
    10. Leibowitz, M. L. and R. D. Henriksson (1989), “Portfolio Optimization with Shortfall Constrains: A Confidence-Limit Approach to Managing DownsideRisk,” Financial Analysts Journal, Vol.45, Iss.2, pp. 34 - 41.
    11. Liang, Bing (1999), “On the Performance of Hedge Funds”, Financial Analysts Journal, Vol.55, No.4, pp.72-85.
    12. LuBochinsky, Catherine, M. Desmond Fitzgerald, and Lee McGinty (2002), “The Role of HF in International Financial Markets”, Economic Notes by Banca Monte dei Paschi di Siena SpA, Vol.31, No.1, pp.33-57.
    13. Malkiel, Burton G and Atanu Saha (2005), “Hedge Funds: Risk and Return”, Financial Analysts Journal, Vol.61, No.6, pp.80-88.
    14. McCarthy, David and Richard Spurgin (1998), “A Review of Hedge Fund Performance Benchmarks”, Journal of Alternative Investment, Vol.1, No.1, pp. 18-28.
    15. Stefanini, Filippo, Investment Strategies of Hedge Funds, Chichester, England ; Hoboken, N.J. : John Wiley, 2006.
    16. Tepla, Lucie (2000), “Optimal Portfolio Policies with Borrowing and Shortsale Constraints” , Journal of Economic Dynamics and Control, Vol.24, Issues 11-12, pp.1623-1639.
    17. Waring, M. Barton and Laurence B. Siegel (2006), “The Myth of the Absolute-Return Investor”, Financial Analysts Journal, Vol.62, No.2, pp.14-20.
    描述: 碩士
    國立政治大學
    企業管理研究所
    93355025
    96
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0093355025
    数据类型: thesis
    显示于类别:[企業管理學系] 學位論文

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