對沖基金投資的理念、策略、報酬及風險之探討

Study of the Theory, Strategy, Return and Risk for Hedge Fund Investment

陳徵輝(Jeng Huei Chern)

指導教授 ： 李賢源

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.2004.01843

摘要

對沖基金的投資理念自50年代興起後，在歐美地區成長迅速，市場規模不斷擴大。反觀亞洲至今仍處於起步階段；對台灣的投資人而言，對沖基金更是一項神秘而不易了解的投資產品。本論文即嘗試從投資人的觀點，有系統的闡述對沖基金的整體觀念。

論文首先以傳統評估投資績效所採用的相對報酬概念，引申出對沖基金所強調的絕對報酬概念；並深入探討對沖基金的特性及其與傳統共同基金的區別。

在強化對沖基金投資的正當性方面，從介紹對沖基金的歷史、演變及發展過程，進而澄清一般大眾對投資對沖基金的疑惑與誤解。

本論文的重點在闡述對沖基金投資的各種策略及相關的報酬與風險分析，並說明基金經理人藉由策略的運用與風險控管如何為投資人提供較佳的報酬與較低的波幅。

論文結尾前，以投資人的角度，說明將對沖基金納入投資組合的理由及應如何選擇適合的基金策略與客觀評比基金績效，並以一實例來驗證對沖基金投資的整體架構。

論文最後以香港發展對沖基金的經驗，建議台灣金融當局應加速金融創新、開放市場，早日制定對沖基金投資的管理條例，讓對沖基金在台灣能有健全而穩定的發展。

關鍵字

對沖基金 ； 傳統共同基金 ； 絕對報酬概念

並列摘要

It has been over 50 years since the idea of hedge fund investment was introduced in the market. The investment volume of hedge fund in the U.S.A. and European countries is expanded remarkably but, however, the Asian market is still in the initial stage. Especially in Taiwan, hedge fund is regarded as a mysterious investment product as in fact, not too many people knows what the hedge fund is all about. This thesis is trying to elaborate the whole concept of hedge fund from the investors point of view.

Initially, we use Relative Return approach, a traditional way for evaluating investment performance, to compare with so-called Absolute Return approach, a core idea for hedge fund investment. Also, we discuss in details the special features of hedge fund and its differences from the traditional mutual fund.

To justify the rationale behind the hedge fund investment, we introduce the past history, changes and developments of the hedge fund. We specifically clarify some misunderstandings about investing the hedge funds among investors.

This thesis is particularly emphasized on the discussion of investment strategies of hedge fund together with their return and risk analyses. We also involve how the fund managers are able to generate better return with low volatility by using different hedge fund strategies and risk control processes.

Before the ending of the thesis, we illustrate the reasons why investors should add hedge funds into their investment portfolio. Besides, we give certain guidelines for selecting proper hedge funds as well as the performance evaluation criteria followed by a real case as an example.
Lastly, by applying the experience learned from Hong Kong government for developing hedge fund investment, we recommend Taiwan government expedite the open market policy with fast financial market renovation timetable to creat a new environment for hedge fund investment in Taiwan.

並列關鍵字

Absolute Return approach ； Hedge Fund ； the traditional mutual fund

參考文獻

3. Alexander M. Ineichen, 2002 “Absolute Returns : The Risk and Opportunities of Hedge Fund Investing”, John Wiley & Sons, Inc.

7. Gordon de Brouwer, 2001 “Hedge Funds in Emerging Markets”, Cambridge University Press.

8. Nick P. Calamos, 2003 “Convertible Arbitrage ; Insights and Techniques for Successful Hedging”, John Wiley & Sons, Inc.

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