本研究主要探討避險基金之最佳投資組合，將逐步預測力優劣檢定法(stepwise SPA test)所篩選出表現良好之基金，使用三種方法形成投資組合，以Fung and Hsieh 所提出的七個系統風險因子(seven-factor model)作為檢定模型，檢定其是否存在超額報酬，績效持續性又如何? 並看此三種投資組合是否能擊敗避險基金指數，最終何者能成為最佳避險基金投資組合?
實證結果顯示不論是不含組合式基金之四大類投資組合，或者是含組合式基金之五大類投資組合均確實存在超額報酬，且績效能持續於樣本外期間一至三年，而三種投資組合中，唯有平均權重投資組合能同時於四大類與五大類投資組合中擊敗避險基金指數，故平均權重投資組合乃成為本研究最終探討之最佳避險基金投資組合。

In this paper, we study the portfolio optimization of hedge funds. We employ the stepwise SPA test to screen outperforming funds, which are then formed into a portfolio under three different methods. The seven-factor model is adopted to benchmark the portfolio’s performance, which is compared against the corresponding database hedge fund index. Via doing this across different holding periods, we want to test whether the relatively good performance of the screened portfolio persists over time and discover which of the three methods to decide on the weights of the component funds will lead to the best result.
Our results suggest that, based on the five types of funds irrespective of the exclusion of the fund of funds, the screened portfolios do manifest statistically significant abnormal returns. These abnormal returns tend to persist across time in terms of the one-, two-, and three-year holding periods. Among the three methods to decide on the portfolio weights, equal-weighting is the only approach which enables the portfolio to consistently beat the relevant database index.

中文部分
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2.歐陽立基(2009)，拔靴檢定於對沖基金異常報酬之探討，國立中興大學應用數學系碩士論文。
3.陳富敬(2007)，以平均變異數方法對美國風險性資產做投資組合分析，國立中央大學統計研究所碩士論文。
4.張雲岳(2009)，避險基金指數是否能夠提供風險分散效果?-利用均異擴張檢定，國立中央大學財務金融學系碩士論文。
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