加值指數型基金和市場中立型避險基金投資策略之研究

Application of Enhanced Index Fund and Equity Market Neutral Hedge Fund Strategies in Taiwan

林逸偉(Yi-Wei Lin)

指導教授 ： 邱顯比

國立臺灣大學/管理學院/財務金融學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.10170

摘要

本研究探討兩種基金─加值指數型基金和市場中立型避險基金的操作策略。首先例用過去十年間台灣股市的資料，從基本分析著手，搭配價值型變數和成長型變數找出相對價值低估和相對價值高估的投資組合，再進行買低賣高的動作並調整β值，以建構出β值為零的市場中立型投資組合。研究結果顯示，由於避險基金能夠同時搭配做多和放空策略，其績效表現能超越一般放空受到限制的共同基金，尤其在空頭市場時，避險基金更能為投資人創造絕對的正報酬。基金投資組合的績效可以不受市場波動的影響，這便是市場中立的精神所在。

另外本文嘗試找出可以穩定追蹤並打敗大盤的方法，這就是加值指數型基金運用的策略。最常見的便是用指數期貨來模擬指數現貨，再利用期貨保證金的槓桿特性，拿一成的資金購買期貨，剩下九成的資金可投資於固定收益證券，或同樣進行多空操作的市場中立型投資，以達到顯著的加值效果。雖然目前台灣的共同基金仍受到操作衍生性商品和信用交易等釵h限制，相信不久的將來會逐步開放，加值指數型基金和市場中立型避險基金必定會在市場上佔有一席之地。

關鍵字

加值指數型基金 ； 市場中立 ； 避險基金

並列摘要

In this study we explore strategies of equity market neutral hedge funds and enhanced index funds. From the past decade of Taiwan stock market, we choose three value-style variables and three growth-style variables by fundamental analysis to form undervalued and overvalued portfolios, and then construct equity market neutral hedge funds by long / short strategy to neutralize systematic risk. We can find obviously that performance of equity market neutral portfolio is much superior to that of only long strategy portfolio. Equity market neutral hedge funds emphasize especially on pursuing consistent return despite fluctuation of the market.

Moreover, we intend to develop strategies of enhanced index funds which not only can track but beat index. Two of many approaches are used in this study: futures plus cash enhancement and futures plus equity market neutral. We take 10% capital to buy index futures and the remaining 90% to hold fixed income security or adopt equity market neutral investing. The main idea of both approaches is to replicate market return pattern by index futures and utilize the leverage characteristics of futures to reach the goal of enhancing index. Although there is no hedge fund or enhanced index fund in Taiwan due to regulation, it is quite possible that they would be permitted and become popular in the near future.

並列關鍵字

Enhanced Index Fund ； Equity Market Neutral ； Hedge Fund

參考文獻

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