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研究生:黃昭蕙
研究生(外文):Chao-Hui Huang
論文名稱:以資產配置觀點探討評量避險基金之績效-使用Mean-VarianceSpanning
論文名稱(外文):An Asset Allocation Perspective of Hedge Fund Performance by Using Tests of "Mean-Variance Spanning"
指導教授:陳安行陳安行引用關係
指導教授(外文):An-Shing Chen
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2006
畢業學年度:95
語文別:英文
論文頁數:162
中文關鍵詞:效率前緣夏普指數華德檢定量概似比朗冠吉係數投資組合資產配置均數-變異數避險基金
外文關鍵詞:Likelihood ratioLagrange multiplierWald testF tetsinvestment portfolioAsset AllocationMean-VarianceHedge FundSharpe RatioGMM Wald testefficient frontier
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此論文係以"Mean-Variance"來探討投資人是否可藉由避險基金提升投資機會.
本篇論文用以檢測"Mean-Variance"之統計檢定方式分別為finite sample likelihood ratio test (F test), Lagrange multiplier (LM), Likelihood Ratio (LR), Wald tests (W test), GMM Wald test (Wa test).
資料係由CISDM所取得, CISDM所提供之月報酬資料起迄日為1972年3月至2005年11月,本文之實證結果發現避險基金可以提升mean-variance之效率前緣(意即避險基金可為投資人之投資選擇)
In this thesis, we examine whether investors can improve their investment opportunity sets through the addition of a hedge fund portfolio to a set of benchmark portfolios that are sorted by firm size and book-to-market ratio by using “mean-variance spanning”. We present various approaches that can be used to test whether the mean-variance frontier of an asset spans or intersects the frontier of a larger set of assets. The approaches we used to test the mean-variance spanning are the finite sample likelihood ratio test, Lagrange multiplier, likelihood ratio, Wald tests and the GMM Wald test. Using monthly returns of hedge funds investments from CISDM from March 1972 to November 2005, we conclude that hedge fund portfolios improve the mean-variance frontier set.
CONTENTS
ABSTRACT I
ACKNOWLEDGEMENTS II
CONTENTS IV
APPENDIX VI
LIST OF TABLES VII
LIST OF FIGURES IX
1. INTRODUCTION 1
1.1 BACKGROUND 1
1.2 MOTIVATION AND OBJECTIVE 2
1.3 ORGANIZATION OF THE THESIS 4
2. LITERATURE REVIEW 5
2.1 LITERATURES OF HEDGE FUND 5
2.2 MEAN-VARIANCE SPANNING 8
2.3 HEDGE FUND STUDIES BY USING MEAN-VARIANCE SPANNING 10
3. DATA AND METHODOLOGY 11
3.1 DATA 11
3.2 HEDGE FUND CLASSIFICATION 12
3.3 DESCRIPTIVE STATISTICS 12
3.4 METHODOLOGY 14
4. EMPIRICAL RESULTS 21
4.1 FULL SAMPLE RESULTS 21
4.2 HEDGE FUND PORTFOLIOS SORTED BY FUND TYPE FOCUS 22
4.3 HEDGE FUND PORTFOLIOS SORTED BY FUND STRATEGY AND INDEX TYPE FOCUS 22
4.4 HEDGE FUND PORTFOLIOS SORTED BY SPECIFIC FUND FACTOR FOCUS 25
4.4.1 Redemption Frequency 26
4.4.2 Onshore/Offshore 27
4.4.3 Management Fee Percentage 27
4.4.4 Incentive Fee Percentage 28
4.5 HEDGE FUND PORTFOLIOS SORTED BY SPECIFIC HEDGE FUND STRATEGIES AND FUND FACTOR STYLES:EMERGING MARKETS 30
4.5.1 “Emerging Markets” by “Redemption Frequency” 30
4.5.2 “Emerging Markets” by “Onshore/ Offshore” 31
4.5.3 “Emerging Markets” by “Management Fee Percentage” 31
4.5.4 “Emerging Markets” by “Incentive Fee Percentage” 32
4.6 SHARPE RATIO ANALYSIS 33
5. CONCLUSIONS 35
5.1 CONCLUSIONS OF EMPIRICAL RESULTS 35
5.2 SUGGESTIONS OF THE DATA 36
REFERENCES 38



APPENDIX

APPENDIX 1 GLOSSARY OF TERMS 44
APPENDIX 2 TRADITIONAL INVESTMENTS VS. HEDGE FUND STRATEGIES 45
APPENDIX 3 DEFINITION OF CTA AND CPO 46
APPENDIX 4 DEFINITION OF MAIN HEDGE FUND STRATEGIES 47
APPENDIX 5 CISDM INDEX DESCRIPTIONS 50
APPENDIX 5.1 CISDM HEDGE FUND INDEX DESCRIPTIONS 50
APPENDIX 5.2 CISDM CTA & CPO INDEX DESCRIPTIONS 54
Appendix 5.2.1 Asset Weighted Indexes 54
Appendix 5.2.2 Equal Weighted Indexes 56
APPENDIX 6 RETURNS OF EMERGING MARKET REPORTED BY MSCI 60


LIST OF TABLES
TABLE 1 MONTHLY MEAN RETURNS AND STANDARD DEVIATIONS OF HEDGE FUND PORTFOLIOS AND BENCHMARK PORTFOLIOS 61
PANEL A HEDGE FUND 61
PANEL B BENCHMARK 61
TABLE 2 DESCRIPTIVE STATISTICS FOR MONTHLY CISDM HEDGE FUND RETURNS 62
PANEL A HEDGE FUND INDUSTRY 62
PANEL B COMMODITY POOL OPERATOR (CPOS) 62
PANEL C COMMODITY TRADING ADVISOR (CTAS) 63
PANEL D FUND OF FUNDS (FOFS) 63
PANEL E HEDGE FUNDS 64
PANEL F INDEXES 65
TABLE 3 DESCRIPTIVE STATISTICS FOR MONTHLY CISDM HEDGE FUND AUMS 66
PANEL A HEDGE FUND INDUSTRY 66
PANEL B COMMODITY POOL OPERATOR (CPOS) 66
PANEL C COMMODITY TRADING ADVISOR (CTAS) 66
PANEL D FUND OF FUNDS (FOFS) 67
PANEL E HEDGE FUNDS 67
PANEL F INDEXES 68
PANEL G SUMMARY OF THE UNREPORTED AUM NUMBERS:NUMBER OF MONTHLY RETURN OBSERVATIONS 68
TABLE 4 DESCRIPTIVE STATISTICS FOR MONTHLY LIVED HEDGE FUND NUMBERS FROM MARCH 1972 TO NOVEMBER 2005 69
TABLE 5 SUMMARY OF AGE DISTRIBUTION FOR CISDM HEDGE FUND SAMPLES FROM MARCH 1972 TO NOVEMBER 2005 BY FUND TYPE 70
TABLE 6 SUMMARY OF AGE DISTRIBUTION FOR CISDM HEDGE FUND SAMPLES BY FUND TYPE AND STRATEGY 72
PANEL A HEDGE FUND INDUSTRY 72
PANEL B COMMODITY POOL OPERATOR (CPOS) 73
PANEL C COMMODITY TRADING ADVISOR (CTAS) 73
PANEL D FUND OF FUNDS (FOFS) 74
PANEL E HEDGE FUNDS 75
PANEL F INDEXES 76
TABLE 7 MEAN-VARIANCE SPANNING TESTS OF HEDGE FUNDS INVESTMENT PORTFOLIOS 77
TABLE 8 MEAN-VARIANCE SPANNING TESTS OF HEDGE FUND PORTFOLIOS SORTED BY FUND TYPE 78
TABLE 9 MEAN-VARIANCE SPANNING TESTS OF HEDGE FUND PORTFOLIOS SORTED BY FUND STRATEGIES/ INDEX TYPE 79
PANEL A COMMODITY POOL OPERATOR (CPOS) 79
PANEL B COMMODITY TRADING ADVISOR (CTAS) 79
PANEL C FUND OF FUNDS (FOFS) 80
PANEL D HEDGE FUNDS 81
PANEL E INDEXES 83
TABLE 10 MEAN-VARIANCE SPANNING TESTS OF HEDGE FUND PORTFOLIOS SORTED BY SPECIFIC FACTOR 84
PANEL A REDEMPTION FREQUENCY 84
PANEL B ONSHORE/OFFSHORE 84
PANEL C MANAGEMENT FEE PERCENTAGE 84
PANEL D INCENTIVE FEE PERCENTAGE 85
TABLE 11 MEAN-VARIANCE SPANNING TESTS OF SPECIFIC HEDGE FUND STRATEGIES BY HEDGE FUND FACTOR:EMERGING MARKETS (EMS) 86
PANEL A REDEMPTION FREQUENCY 86
PANEL B ONSHORE/OFFSHORE 86
PANEL C MANAGEMENT FEE PERCENTAGE 86
PANEL D INCENTIVE FEE PERCENTAGE 87
TABLE 12 SUMMARY OF SHARPE RATIO FOR BENCHMARK PORTFOLIOS AND BENCHMARK PORTFOLIOS PLUS HEDGE FUND PORTFOLIO BY CATEGORIES 88
PANEL A HEDGE FUND INDUSTRY 88
PANEL B COMMODITY POOL OPERATOR (CPOS) 88
PANEL C COMMODITY TRADING ADVISOR (CTAS) 88
PANEL D FUND OF FUNDS (FOFS) 89
PANEL F HEDGE FUNDS 89
PANEL G INDEXES 90
TABLE 13 SUMMARY OF SHARPE RATIO FOR BENCHMARK PORTFOLIOS AND BENCHMARK PORTFOLIOS PLUS HEDGE FUND PORTFOLIO BY RANKING 91


LIST OF FIGURES
FIGURE 1 GROWTH TREND OF HEDGE FUND INVESTMENT UNIVERSE FROM MARCH 1972 TO NOVEMBER 2005 93
FIGURE 2 SPECIFIC FUND FACTOR STYLE 94
FIGURE 2.1 LOCKUP PERIOD 94
FIGURE 2.2 REDEMPTION FREQUENCY 94
FIGURE 2.3 MANAGEMENT FEE FREQUENCY 94
FIGURE 2.4 MANAGEMENT FEE PERCENTAGE 94
FIGURE 2.5 INCENTIVE FEE PERCENTAGE 95
FIGURE 2.6 ACTIVE/GRAVEYARD FUND 95
FIGURE 2.7 ONSHORE/OFFSHORE 95
FIGURE 2.8 OPEN US INVESTOR/OPEN OFF SHORE INVESTOR 95
FIGURE 2.9 MARKET FOCUS 96
FIGURE 2.10 SUBSCRIPTION FREQUENCY 96
FIGURE 2.11 PRIVATE/PUBLIC 96
FIGURE 3 MEAN-VARIANCE FRONTIERS OF BENCHMARK ASSETS AND BENCHMARK ASSETS PLUS HEDGE FUND PORTFOLIO 97
FIGURE 4 MEAN-VARIANCE FRONTIERS OF BENCHMARK ASSETS AND BENCHMARK ASSETS PLUS HEDGE FUND PORTFOLIO BY FUND TYPE 98
FIGURE 4.1 COMMODITY POOL OPERATOR (CPOS) 98
FIGURE 4.2 COMMODITY TRADING ADVISOR (CTAS) 98
FIGURE 4.3 FUND OF FUNDS (FOFS) 99
FIGURE 4.4 HEDGE FUNDS 99
FIGURE 4.5 INDEXES 100
FIGURE 5 MEAN-VARIANCE FRONTIERS OF BENCHMARK ASSETS AND BENCHMARK ASSETS PLUS HEDGE FUND PORTFOLIO BY STRATEGIC/INDEX TYPE 101
FIGURE 5.1 COMMODITY POOL OPERATOR (CPOS) 101
FIGURE 5.2 COMMODITY TRADING ADVISOR (CTAS) 102
FIGURE 5.3 FUND OF FUNDS (FOFS) 103
FIGURE 5.4 HEDGE FUNDS 107
FIGURE 5.5 INDEXES 118
FIGURE 6 MEAN-VARIANCE FRONTIERS OF BENCHMARK ASSETS AND BENCHMARK ASSETS PLUS HEDGE FUND PORTFOLIO BY SPECIFIC FUND FACTORS 121
FIGURE 6.1 REDEMPTION FREQUENCY 121
FIGURE 6.2 ONSHORE/OFFSHORE 123
FIGURE 6.3 MANAGEMENT FEE PERCENTAGE 125
FIGURE 6.4 INCENTIVE FEE PERCENTAGE 128
FIGURE 7 MEAN-VARIANCE FRONTIERS OF BENCHMARK ASSETS AND BENCHMARK ASSETS PLUS HEDGE FUND PORTFOLIO BY SPECIFIC HEDGE FUND STRATEGIC AND HEDGE FUND FACTOR:EMERGING MARKETS 133
FIGURE 7.1 EMERGING MARKETS BY REDEMPTION FREQUENCY 133
FIGURE 7.2 EMERGING MARKETS BY ONSHORE/OFFSHORE 135
FIGURE 7.3 EMERGING MARKETS BY MANAGEMENT FEE MANAGEMENT 136
FIGURE 7.4 EMERGING MARKETS BY INCENTIVE FEE MANAGEMENT 137
FIGURE 8 BAR CHART OF W AND WA TEST STATISTICS BY HEDGE FUND TYPE 141
FIGURE 9 BAR CHART OF W AND WA TEST STATISTICS BY FUND STRATEGY AND INDEX TYPE FOCUS 142
FIGURE 9.1 COMMODITY POOL OPERATOR (CPOS) 142
FIGURE 9.2 COMMODITY TRADING ADVISOR (CTAS) 142
FIGURE 9.3 FUND OF FUNDS (FOFS) 143
FIGURE 9.4 HEDGE FUND 144
FIGURE 9.5 INDEXES 145
FIGURE 10 BAR CHART OF W AND WA TEST STATISTICS BY SPECIFIC FUND FACTOR 146
FIGURE 10.1 REDEMPTION FREQUENCY 146
FIGURE 10.2 ONSHORE/OFFSHORE 146
FIGURE 10.3 MANAGEMENT FEE PERCENTAGE 147
FIGURE 10.4 INCENTIVE FEE PERCENTAGE 147
FIGURE 11 BAR CHART OF W AND WA TEST STATISTICS OF SPECIFIC HEDGE FUND STRATEGIES BY HEDGE FUND FACTOR:EMERGING MARKETS 148
FIGURE 11.1 EMERGING MARKETS BY REDEMPTION 148
FIGURE 11.2 EMERGING MARKETS BY ONSHORE/OFFSHORE 148
FIGURE 11.3 “EMERGING MARKETS” (EMS) BY “MANAGEMENT FEE PERCENTAGE” 149
FIGURE 11.4 “EMERGING MARKETS” (EMS) BY “INCENTIVE FEE PERCENTAGE” 149
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