避險基金之績效評估

對於一般投資人而言，他們最關注的乃是如何在投資期間賺取一合理的報酬。所以基金績效評估即著重在報酬率的衡量。然而，報酬率的高低往往是伴隨著風險程度而來，故以報酬率衡量基金績效時，應考慮投資者本身承擔的風險，才能具備客觀之比較基準。而避險基金與共同基金最大的不同為，避險基金追求絕對報酬，而共同基金追求相對報酬。這隱含著避險基金必有正報酬交付給投資人，而共同基金只要打敗大盤指數即可，而其報酬率可能為負數。本研究樣本的選取，以香港某基金交易平台銷售之避險基金作為研究的標的。分別以台灣股票加權指數及MSCI世界指數做為本研究的市場投資組合，透過夏普比率(Sharpe ratio)、Jensen’s Alpha指標及崔納比率(Treynor ratio)對香港某基金交易平台銷售之避險基金做一績效評估分析。實證結果最重要的發現是避險基金績效的表現是否優於市場投資組合，並非跟避險基金的操作策略有關，而應該跟基金經理人之專業操作技術及經驗有關。

關鍵字

避險基金；績效評估

並列摘要

For common investors, a reasonable return would be their main concerns. That is, the evaluation of the fund performance would rely on the rate of return. However, the rate of return often highly relates to the degree of risks. Accordingly, when one uses the rate of return to assess the fund performance, the risks that investors may assume should be considered for a justifiable comparing basis. The major difference between hedge funds and mutual funds would be that: the former pursues absolute return while the latter seeks relative return. This implies that hedge funds seek to yield a positive return to investors. Mutual funds, with the rate of return might be negative,aim at beating the market . In this study, a hedge fund of funds exchange platform in Hong Kong was taken as the sample. Taiwan Stocks weighted price index and MSCI World Index are chosee as the market portfolio. Three indicators: Sharpe ratio, Jensen’s Alpha index and Treynro ratio are chosee to analyze the fund performance of the target hedge fund when it is compared with the portfolio performance. The empirical finding, most importantly, indicates that the fund performance of the hedge fund depends on the fund managers’ professional expertise and experiences rather on operating strategies ascribed to the hedge fund.