摘要
由於避險基金在巧妙運用多空部位下可以規避市場風險的影響，因此是以追求絕對報酬為目標，故其績效指標並非大盤，通常是以無風險利率來衡量。Fung and Hsieh (2001) 指出採行順勢交易策略之避險基金，其報酬型態會與買進跨式選擇權相同，若使用為單一數值的無風險利率作為其績效指標會缺乏彈性，故本文從「保本」角度切入，將基金拆解成保本與投機兩部分，試圖建立較合理之績效指標。在考量交易成本後，發現績效獎金對績效指標有很大的影響，因此針對避險基金之激勵條款作更深入的探討，建立模型並求得績效獎金及投資人價值之封閉解，以此提供基金經理人及投資者評價避險基金的方法。
並列摘要
The purpose of a hedge fund is to earn a positive return, which totally different from beating a standard market benchmark. To achieve its objective, fund manager takes long and short position to eliminate market risk. The benchmark for absolute-return investing usually is risk-free rate. Because Fung and Hsieh (2001) stated that trend-following strategy has the same payout as straddle, it is inappropriate to use a single-valued benchmark. In this thesis, we decompose the fund into capital-guaranteed part and speculative part and try to establish a more exible benchmark. After taking transaction costs into consideration, performance fee has a great impact on our benchmark. Therefore, we provide closed-form solutions to performance fee and investor's claim that can be applied to the valuation of hedge fund.
參考文獻
陳徵輝。2004年。對沖基金投資的理念、策略、報酬及風險之探討。國立台灣大學
Black, F., and M. Scholes. 1973. The Pricing of Options and Corporate Liabilities. Journal of Political Economy 81:637-654.
Fung, W., and D. A. Hsieh. 2001. The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers. The Review of Financial Studies 14:313-341.
Goetzmann, W. N., J. Ingersoll, Jonathan E., and S. A. Ross. 2003. High-Water Marks and Hedge Fund Management Contracts. The Journal of Finance 58:1685-1717.
Jaeger, R. A. 2003. All about Hedge Funds: The Easy Way to Get Started. McGraw-Hill.