本研究主要探討黃金與避險基金對投資組合的避險效果。本研究以MSCI 中列出全球發展中與已開發國家的股票市場的大盤,並從中選取出台灣大盤指數、台灣公債指數、美國道瓊指數、紐約黃金與避險基金為研究對象。本研究的資料選取期間由2005年1月1日至2010年6月30日,資料來源是來自Datastream 資料庫。本研究以平均數-變異數投資組合為研究工具,利用效率前緣、資本市場線、VaR風險值、資本風險、報酬風險與T分配檢定進行統計分析。主要獲得以下結果: 1.本研究發現將黃金加入基本投資組合(道瓊指數、台灣加權指數、台灣公債指數)中,發現黃金具有良好風險分散效果。 2.本研究發現避險基金對基本投資組合(道瓊指數、台灣加權指數、台灣公債指數)的資本風險沒有幫助,且會增加報酬風險的風險。 3.本研究將B投資組合((黃金、道瓊指數、台灣加權指數、台灣公債指數)與C投資組合(避險基金、道瓊指數、台灣加權指數、台灣公債指數)相比較,發現含有黃金的B投資組合對報酬風險具有良好的風險分散效果。 4.發現在所有的投資組合中,含有黃金的投資組合對其資本風險與報酬風險具有明顯改善的效果。含有避險基金的投資組合對其資本風險與報酬風險不具有明顯的風險分散效果。
This study focused on gold and hedge funds to the effect on portfolios. The broader stock market in the global developing and the developed countries are listed from the MSCI, and Taiwan market index, Taiwan government bond index, Dow Jones index in the U.S., New York Spot Gold and hedge funds are selected for this study. The period data is selected from January 1st, 2005 to June 30th, 2010 from Datastream database. In this study, mean - variance portfolio is a research tool, the efficient frontier, capital market line, VaR risk value, capital risk, reward risk, and T distribution test are used for statistical analysis. The results are as following: 1.Gold is good with risk diversification effect as adding it to the basic portfolio (the Dow Jones index, TAIEX, Taiwan government bond index), we found that. 2.The hedge funds do not help with the capital risk for the basic portfolio (the Dow Jones index, TAIEX, Taiwan government bond index) and will increase the risk of return risk. 3.Comparing with B portfolio (gold, the Dow Jones index, TAIEX, Taiwan government bond index) and C portfolio (hedge fund, Dow Jones Index, TAIEX, Taiwan government bond index), B portfolio, with gold, has a good return on the risk diversification effect. 4.In all of the portfolios, the portfolio with gold has a significantly improved on the capital risk and reward risk. Hedge fund portfolio does not have a significant effect on risk diversification.