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研究生:彭覺民
研究生(外文):Chueh-Min Peng
論文名稱:對沖基金績效持續性檢定之比較─貝氏估計法vs.拔靴抽樣法
論文名稱(外文):Comparing the Performance Persistence Tests of Hedge Funds─the Bayesian Approach versus the Bootstrap Approach.
指導教授:許英麟許英麟引用關係
學位類別:碩士
校院名稱:國立中興大學
系所名稱:應用數學系所
學門:數學及統計學門
學類:數學學類
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:62
中文關鍵詞:對沖基金七因子模型逐步真實性檢定貝氏估計法績效持續性
外文關鍵詞:Bayesian approachhedge fundperformance persistenceseven-factor modelstepwise reality check
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許多的對沖基金管理者對於他們擁有優異的異常報酬,是因為來自於他們傑出的投資策略,而並非是運氣所造成的。本篇文章將針對HFR資料庫的對沖基金做研究,採用1994年9月至2008年8月的月報酬率為樣本資料,利用Fung and Hsieh (2004)的七因子模型做線性迴歸,透過逐步真實性檢定和貝氏估計法找出對沖基金優異的異常報酬,並檢定其績效是否具有持續性,以比較逐步真實性檢定和貝氏估計法之檢定力優劣。最後,我們發現利用逐步真實性檢定和貝氏估計法所挑選出之績效顯著為正的基金,其投資組合之績效持續性檢定,檢定結果顯示基金具有績效持續性。而兩者之中又以逐步真實性檢定所挑選出之基金投資組合較為優異。
Most of hedge fund managers claimed that they owned outstanding abnormal returns, because of their excellent investment strategies, not just of luck. In this paper, we draw data from the HFR hedge fund database and the sample period is from Sep. 1994 to Aug. 2008. We also apply Fung and Hsieh’s seven-factor model to get the alpha value. Moreover, we adopt Romano and Wolf’s stepwise reality check (SRC) and Pástor and Stambaugh’s alpha Bayesian approach to select outperforming and underperforming of hedge funds, and test performance persistence of these outperformers and underperformers. Lastly, we compare these two methods to see which is more powerful.
目錄
中文摘要.........................................................................................................................i
Abstract..........................................................................................................................ii
目錄...............................................................................................................................iii
附表目錄........................................................................................................................v
附圖目錄......................................................................................................................vii
第一章 緒論..................................................................................................................1
第二章 文獻探討..........................................................................................................3
第一節 資料探勘偏誤(data-snooping bias)...................................................3
第二節 真實性檢定(reality check).................................................................4
(一) 拔靴法(bootstrap)......................................................................4
(二) 拔靴真實性檢定(bootstrap reality check)................................4
第三節 貝氏估計法(Bayesian approach).......................................................5
第四節 績效持續性檢定................................................................................6
(一) 同一類別基金的整體績效持續性檢定....................................7
(二) 不同基金投資組合的個別絕對績效或相對績效檢定............7
第三章 資料..................................................................................................................8
第四章 研究方法........................................................................................................12
第一節 對沖基金七因子模型 (Fung-Hsieh''s Seven-factor model)............12
第二節 逐步真實性檢定 (stepwise reality check 或簡稱SRC)................13
(一) SRC演算程序..........................................................................13
(二) 臨界值 的計算方法.............................................................14
第三節 貝氏估計法(Bayesian approach).....................................................15
(一) 近似無關資產(The seemingly unrelated assets)規則.............15
(二) 貝氏架構.................................................................................16
第四節 績效持續性檢定..............................................................................17
第五章 研究結果........................................................................................................19
第一節 逐步真實性檢定─績效持續性檢定之探討..................................20
第二節 貝氏估計法─績效持續性檢定之探討..........................................21
第六章 結論................................................................................................................36
第一節 結論..................................................................................................36
第二節 未來研究建議..................................................................................36
附錄A...........................................................................................................................38
附錄B...........................................................................................................................54
附錄C...........................................................................................................................57
參考文獻......................................................................................................................60

附表目錄
表1.1不同過程其檢定力之比較..................................................................................5
表2.1 HFR資料庫分類之資料策略...........................................................................11
表3.1樣本期間每兩年之顯著基金個數....................................................................24
表3.2樣本期間每三年之顯著基金個數....................................................................25
表3.3樣本期間每四年之顯著基金個數....................................................................26
表3.4樣本期間每五年之顯著基金個數....................................................................27
表3.5樣本期間每六年之顯著基金個數....................................................................28
表3.6樣本期間每七年之顯著基金個數....................................................................29
表4.1逐步真實性檢定優異投組之績效持續性檢定─樣本期間每四年...............31
表4.2逐步真實性檢定優異投組之績效持續性檢定─樣本期間每五年...............31
表4.3逐步真實性檢定優異投組之績效持續性檢定─樣本期間每六年...............32
表4.4逐步真實性檢定優異投組之績效持續性檢定─樣本期間每七年...............32
表5.1貝氏估計法及傳統迴歸分析優異投組之績效持續性檢定(每兩年).............33
表5.2貝氏估計法及傳統迴歸分析優異投組之績效持續性檢定(每三年).............33
表5.3貝氏估計法及傳統迴歸分析優異投組之績效持續性檢定(每四年).............34
表5.4貝氏估計法及傳統迴歸分析優異投組之績效持續性檢定(每五年).............34
表5.5貝氏估計法及傳統迴歸分析優異投組之績效持續性檢定(每六年).............35
表5.6貝氏估計法及傳統迴歸分析優異投組之績效持續性檢定(每七年).............35
表B.1貝氏估計法及傳統迴歸分析拙劣投組之績效持續性檢定(每兩年).............54
表B.2貝氏估計法及傳統迴歸分析拙劣投組之績效持續性檢定(每三年).............54
表B.3貝氏估計法及傳統迴歸分析拙劣投組之績效持續性檢定(每四年).............55
表B.4貝氏估計法及傳統迴歸分析拙劣投組之績效持續性檢定(每五年).............55
表B.5貝氏估計法及傳統迴歸分析拙劣投組之績效持續性檢定(每六年).............56
表B.6貝氏估計法及傳統迴歸分析拙劣投組之績效持續性檢定(每七年).............56
表C.1貝氏估計法及傳統迴歸分析優異投組和拙劣投組差異之績效持續性檢定(每兩年).........................................................................................................57
表C.2貝氏估計法及傳統迴歸分析優異投組和拙劣投組差異之績效持續性檢定(每三年).........................................................................................................57
表C.3貝氏估計法及傳統迴歸分析優異投組和拙劣投組差異之績效持續性檢定(每四年).........................................................................................................58
表C.4貝氏估計法及傳統迴歸分析優異投組和拙劣投組差異之績效持續性檢定(每五年) ........................................................................................................58
表C.5貝氏估計法及傳統迴歸分析優異投組和拙劣投組差異之績效持續性檢定(每六年) ........................................................................................................59
表C.6貝氏估計法及傳統迴歸分析優異投組和拙劣投組差異之績效持續性檢定(每七年) ........................................................................................................59

附圖目錄
圖1所有基金各樣本期間之顯著基金個數...............................................................23
圖2 Rye Select Broad Market Fund, LP基金之時間序列圖......................................30
圖3 Growth Management Limited基金之時間序列圖..............................................30
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