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研究生:蔡安俐
研究生(外文):An-Li Tsai
論文名稱:避險基金指數風險暴露之研究
論文名稱(外文):Risk Exposure in Hedge Fund Indices
指導教授:董澍琦董澍琦引用關係
學位類別:碩士
校院名稱:國立中興大學
系所名稱:財務金融系所
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:2009
畢業學年度:97
語文別:中文
論文頁數:72
中文關鍵詞:避險基金四因子模型分量迴歸市場風險溢酬信用利差
外文關鍵詞:Hedge fundFour-factor modelQuantile regressionMarket risk premiumCredit spread
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本研究以西元1994年1月至2009年2月,於Credit Suisse/Tremont資料庫中所計算編製之十四檔不同策略之避險基金指數為研究對象,探討八項風險因子對於不同策略之避險基金的影響性。過去的文獻多著重於個體因子(如基金規模、年齡及激勵費用)對避險基金績效的影響,較少文獻探討避險基金風險暴露的總體因子議題。本文即針對該議題,採用分量迴歸的計量模型,來探討風險暴露與避險基金超額報酬之間的非線性關係。其中,屬於股票市場的風險因子採用的是Carhart 四因子模型。而債券市場的風險因子則是和到期日及違約風險有關。另外兩項系統風險因子為匯率及波動率。研究結果顯示 :
一、股票及債券一般風險因子在避險基金領域適用性高,且並非只有股權類型策略適用。
二、整體而言,市場風險溢酬及信用利差為兩項影響最大之系統風險因子。顯示股票市場的風險因子及債券市場的風險因子對避險基金的影響也很大。
三、平均而言,瑞士信貸避險基金指數、可轉債套利策略、股票市場中立策略、風險套利策略、全球宏觀策略、股票對沖策略及多重策略之經理人選股能力佳,能幫投資人賺取Jensen''s alpha。
四、雖然在一般市場狀態下,事件導向或是套利類型避險基金的策略波動性較小,但這些策略仍舊會受到極端值的影響且損失慘重。因此投資人在做資產分配時,不能期望這類策略在遭逢如LTCM事件時能夠提供分散風險的效果或是提供下方保護。
五、由分量迴歸可發現,各風險因子對超額報酬的影響多為非線性。其中,對違約風險因子最敏感的主要是集中在報酬表現最差的20%。
This thesis explores the risk factors of 14 different hedge fund strategy indices from the database of Credit Suisse/Tremont since 1994 Jan to 2009 Feb, trying to find that how eight risk factors effect different hedge fund strategy indices. Most of the previous literatures in the hedge fund focused on micro factors such as fund size, fund age and incentive fee. Investigations in macro factors were fewer. I apply Quantile regression to investigate the non-linear relationship in risks exposure and excess returns of hedge funds. This research has four stock-market factors . Two bond-market factors are related to maturity and default risks. Besides, there are two other systematic risk factors: exchange rate and volatility. The empirical results show that
1.The common risk factors on stocks and bonds are adapted to hedge fund return. Not only equity style strategies but also other strategies.
2.Market risk premium and credit spread are two risk factors that influence hedge fund returns most. They show that the stocks and bonds risk factors play important roles in hedge fund returns.
3.On average, the manager of hedge fund, convertible arbitrage, hedge market neutral, risk arbitrage, global macro, long/short equity and multi strategies have superior security-selection ability, and earn the Jensen''s alpha for investors.
4.On average, event-driven style strategies have low volatility. However, they still suffer serious losses during extreme event. Therefore, investors can’t expect that this kind of strategies can provide risk diversification or down-side protection during extreme events.
5.The Quantile regression results indicate the non-linear relationship between risks exposure and excess returns of hedge funds. The lowest 20% returns are sensitive to the credit spread risk factor most.
目錄
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究架構 4
第二章 避險基金簡介 5
第一節 避險基金策略簡介 5
第二節 避險基金發展現況 10
第三章 文獻探討 12
第四章 研究方法及資料 14
第一節 資料來源及選取 14
第二節 研究方法 14
第五章 實證結果及分析 19
第一節 瑞士信貸避險基金指數 (CREDIT SUISSE/TREMONT HEDGE FUND INDEX) 19
第二節 可轉債套利 (CONVERTIBLE ARBITRAGE) 20
第三節 股票放空 (DEDICATED SHORT BIAS) 21
第四節 新興市場 (EMERGING MARKETS) 21
第五節 股票市場中立 (EQUITY MARKET NEUTRAL) 22
第六節 事件導向 (EVENT DRIVEN) 22
第七節 債務危機證券 (DISTRESSED SECURITIES) 23
第八節 事件導向多重策略 (EVENT DRIVEN MULTI-STRATEGY) 23
第九節 風險套利(RISK ARBITRAGE) 24
第十節 固定收益套利 (FIXED INCOME ARBITRAGE) 24
第十一節 全球宏觀 (GLOBAL MACRO) 25
第十二節 股票對沖 (LONG/SHORT EQUITY) 25
第十三節 管理期貨 (MANAGED FUTURES) 26
第十四節 多重策略 (MULTI-STRATEGY) 26
第六章 結論與建議 28
参考文獻 30
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