避險基金指數是否能夠提供風險分散效果？- 利用均異擴張檢定

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張雲岳(Yun-Yueh Chang) 查詢紙本館藏

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財務金融學系

論文名稱

避險基金指數是否能夠提供風險分散效果？- 利用均異擴張檢定
(Do Hedge Fund Indices Provide Diversification Benefits? Application of Using Mean-Variance Spanning Test)

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摘要(中)

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。

摘要(英)

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.

關鍵字(中)

★ 不動產投資信託指數
★ 逐步檢定法
★ 避險基金指數
★ 均異擴張檢定

關鍵字(英)

★ Hedge Funds Indices
★ Mean-Variance Spanning Test
★ Step-down Test
★ REITs

論文目次

一、緒論 1
1-1研究背景與動機 2
1-2研究目的 5
1-3研究方法設計 7
1-4研究流程與論文架構 8
二、文獻探討 10
2-1 避險基金的績效 10
2-2 避險基金不同投資風格的績效 11
2-3 避險基金的報酬特性及系統風險 13
2-4 避險基金績效表現的持續能力 16
2-5 避險基金與共同基金 16
2-6 避險基金的流量 17
2-7 避險基金的費用 17
2-8 避險基金的退出機率 (attrition rate) 和清償風險 18
2-9 避險基金資料庫的常見的偏誤 (bias) 及其他資料庫研究議題 19
三、研究方法 23
3-1 均異擴張檢定方法 (Mean-Variance Spanning Test) 24
3-2 統計檢定方法 26
3-3 逐步檢定法 (Step-down test) 29
3-4 衡量風險分散效果 (Measurement of diversification benefits) 32
3-5 相關應用文獻探討 36
四、資料來源 39
4-1 避險基金指數 (Hedge Fund indices) 39
4-1-1瑞士信貸/Tremont 避險基金 40
4-1-2 美國芝加哥的避險基金研究公司（Hedge Fund Research) 42
4-2 標的資產 (Benchmark Asset) 47
4-3不動產投資信託指數 (REITs index) 47
五、實證結果 50
5-1 敘述統計(Summary Statistics) 50
5-1-1 CSFB/Tremont避險基金指數(樣本期間1994/1~2008/12) 50
5-1-2 HFRI避險基金指數(樣本期間1990/1~2008/12) 53
5-1-3 HFRX避險基金指數(樣本期間1998/1~2008/12) 55
5-2 均異擴張檢定 (Mean-Variance Spanning Test) 57
5-3 逐步檢定法 (Step-Down Test) 59
5-3-1 CSFB/Tremont避險基金指數(樣本期間1994/1~2008/12) 59
5-3-2 HFRI避險基金指數(樣本期間1990/1~2008/12) 61
5-3-3 HFRX避險基金指數(樣本期間1998/1~2008/12) 63
5-3-4 小結 64
5-4目標資產加入不動產信託投資之均異擴張檢定 67
5-4-1原本目標資產加入不動產信託投資之均異擴張檢定 67
5-4-2目標資產加入不動產信託投資之均異擴張檢定 68
5-5目標資產加入不動產信託投資之逐步檢定法 69
六、結論與建議 70
6-1 研究結論 70
6-2 未來研究建議 71
參考文獻 74
中文部份 74
英文部份 74
網站部份 78
附錄(目錄見本文後)

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網站部份
http://www.hedgefundresearch.com/
http://www.hedgeindex.com/

指導教授

葉錦徽(Jin-Huei Yeh)

審核日期

2009-7-15

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