績效的持續性一直是投資人關心的重要議題之一，本文以Hsu, Hsu and Kuan (2010) 的逐步預測力優劣檢定法(stepwise test for superior predictive ability, SSPA test)及Kosowski, Teimmermann, Wermers and White (2006) 的橫截面拔靴檢定法(cross-sectional alpha bootstrap)在控制資料探勘偏誤之下，檢定避險基金異常報酬是否具持續性。
本文發現，以因子模型Alpha估計值的t值當統計量，分別以SSPA test與cross-sectional alpha bootstrap篩選出表現優異的基金投資組合，其異常報酬具有一年、兩年及三年的持續性；即使將報酬資料予以去平滑化之後，異常報酬仍具有持續性。

Performance persistence is one of investors’ major concerns. This thesis adopts Hsu, Hsu and Kuan’s (2010) stepwise test for superior predictive ability (SSPA test) and Kosowski, Teimmermann, Wermers, and White’s (2006) cross-sectional alpha bootstrap as its major approaches. Minimizing the impacts of data-snooping bias, it aims to examine the persistence in abnormal hedge fund returns.
This study shows that, using standardized alpha in factor models as test statistics, outperforming fund portfolios identified by the SSPA test and cross-sectional alpha bootstrap tend to show performance persistence for one-year, two-year and three-year holding periods. Even if we unsmooth the original return data, the conclusion remains consistent.

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