自二十世紀以來,金融自由化與國際化已是不可避免的趨勢,而這樣的趨勢在二十一世紀可說是更加的蓬勃發展,特別是金融創新活動一日千里,像ETFs、連動型商品、保本型商品等新金融商品迅速崛起充斥市場。這其中,以獲取絕對報酬的避險基金(hedge fund)在全球金融市場快速成長,這中間的過程造就了不少震撼國際的大事,像東亞金融風暴,LTCM的倒閉,在在都使大家不能忽視避險基金這股強大力量存在的事實,不少私募基金也採取類似的操作策略,很多人的投資組合裡都少不了避險基金這一塊,相信在往後避險基的影響力將越來越大。在眾多避險基金中,管理期貨基金是績效最好的避險基金之一,本文以 Man Investments Corporation 旗下的招牌基金:Man AHL Diversified Futures Ltd,(以下簡稱AHL基金 )作為研究對象,本文主要是要研究哪些因素是影響AHL基金報酬率的主要因素,研究的結果顯示:美元指數、CRB指數、SP500股價指數、天然氣價格的波動幅度和AHL基金報酬率有正向影響;有關Fed政策的影響層面,研究結果顯示:美國聯邦基金利率的變動量和AHL基金報酬率關係不顯著,美元強力貨幣的變動率對AHL基金報酬率有正向影響;多頭市場或空頭市場對管理期貨基金報酬率的影響不顯著,凸顯AHL基金是絕對報酬基金的特色,其報酬率不受景氣波動的影響;當大部分的商品的波動都很小時,AHL基金將遭受很大的損失,其最大的損失幅度很少超過6.25%;用實證模型來預測管理期貨基金報酬的方向,每三次會有兩次正確的機會,越短期的預測越正確,長期的預測誤差較大。
Since 20th century , financial liberalization and globalization have been inevitable trends, which aggravate in century. Financial innovation ,such as ETFs, capital protected products, and structured products, makes great progress as time goes by. Among much financial innovation , hedge funds noted for absolute return get rapid growth in the global financial market. However, east Asia financial crisis and LTCM event revealed the notorious power of hedge funds. Much private equity also adopted strategies of hedge funds .Besides, more and more investors have hedge funds in their investment portfolio. We will see the growing influence of hedge funds. One of the best-performed hedge funds is managed futures funds. This thesis tries to find out the determinants of the return of managed futures funds. We adopted AHL fund as the material of the study. The result of the examination shows the volatility of dollar index, CRB index, SP500 index, and gas prices have positive influence on the return of AHL fund. As we consider the effect of Fed monetary policy, no significant relationship is found between the change of Fed fund rate and the return of AHL fund. The change of high-powered money of US dollar has positive influence on the return of AHL fund. Whether the stock market is bull market or bear market doesn’t influence the performance of AHL fund. The result revealed AHL fund is an absolute-return fund , therefore the return of AHL fund doesn’t fluctuate with business cycle. When the volatility of most futures products is very small, AHL fund suffers huge loss, which is seldom worse than 6.25%. According to the model for predicting the direction about the return of AHL, we succeed twice every three times of prediction.