根據投資組合理論我們可以知道，藉由投資在與自身持有資產組合沒有完全相關的資產上，可達到風險分散的好處，增加投資機會，也就是利用額外加入新風險性資產來改進舊有資產投資組合的效率前緣。因此本研究將針對避險基金指數，使用均異擴張檢定法來檢定投資者是否可以藉由投資避險基金使他們原有的投資組合獲得改進，並利用逐步檢定法來觀察避險基金所帶來的經濟價值為何，究竟是使得原有效率前緣的切點投資組合還是最小變異投資組合獲得改善。本研究利用瑞士信貸/Tremont 避險基金以及美國芝加哥的避險基金研究公司 (Hedge Fund Research) 所提供的避險基金指數納入傳統股票投資組合進行實證研究分析，研究時間涵蓋1990 年01 月01 日至2008 年12 月31 日。實證結果發現，加入避險基金後之投資組合之效率前緣有明顯擴張，Sharpe ratio皆提高，風險也降低。從逐步檢定法可以發現，避險基金加入標的資產後效率前緣的擴張多發生在最小變異數投資組合。整體而言，避險基金在加入投資組合之後的效果是來自於分散原有投組的風險，在提升其整體投組的報酬上相對並不明顯；換句話說，除了那些對最小變異投資組合有興趣的投資者之外(也就是喜愛風險分散甚於對報酬提升者)，我們不能完全的斷定避險基金對所有的投資者都帶來了風險分散的效果。最後我們還將不動產投資信託指數納入標的資產中，我們發現加入不動產投資信託指數並不會明顯稀釋避險基金風險分散的效果，證實了避險基金可為資產多元化帶來顯著效益。 According to portfolio theory, we can gain diversification benefits by investing in assets that have low correlation with the portfolio we hold. In other words, one is often interested in finding out whether one set of risky assets can improve the investment opportunity set of another set of risky assets. In this paper, we use mean-variance spanning test to see if investors can improve the efficient frontier by adding hedge funds to their portfolios. Moreover, using step-down procedure to test the spanning hypothesis, it can help us to know whether the rejection comes from the difference of tangency portfolios or global minimum-variance portfolios. By using monthly returns data for 55 hedge fund indices in the CSFB/Tremont and Hedge Fund Research database from 1990/01/01 to 2008/12/31, our empirical result shows that we can gain diversification benefits by adding hedge fund indices to our benchmark portfolio; meanwhile, we have higher Sharpe ratio. And following step-down procedure, we can know diversification benefits come mostly from the difference of global minimum-variance portfolios. We also add REITs to our benchmark assets to see whether REITs will dilute diversification benefits from hedge fund investments. From our empirical results, we can’t any find significant evidence that REITs dilutes the diversification benefits from hedge funds.
