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研究生： 張文政
Chang, Wen-Cheng
論文名稱： 避險基金經理人動態調整投資組合是否產生附加價值?
Can Hedge Fund Managers Add Value to Their Portfolio by Dynamically Adjusting Them?
指導教授： 顏盟峯
Yen, Meng-Feng
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2013
畢業學年度： 101
語文別： 英文
論文頁數： 38
中文關鍵詞： 避險基金 、主動式風險 、主動式風險波動度 、動態調整
外文關鍵詞： Hedge Funds, Active Risk, Active Risk Volatility, Dynamically Adjusting
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    • 本研究主要目的在於探討避險基金經理人增加主動式曝險及動態調整主動式風險是否是來自於其優異的投資能力，進而有較好的超額報酬。其結果顯示低主動式風險且低主動式風險波動度的避險基金有較好的風險調整後報酬及較低的管理費用和績效費用。使基金經理人過度曝險或積極調整曝險程度的原因可能來自於過基金經理人的自信或是採取賭博性投資試圖極大化其績效報酬。此外，我們也利用Titman and Tiu (2011)的研究成果，使用R-squares 做為第一個篩選條件，並嘗試結合主動式風險、主動式風險波動度進一步去除過度自信或賭博性的基金，我們發現低 R-square 、低主動式風險、低主動式風險波動度的避險基金擁有較穩定的風險調整後報酬。

    The main purpose in our research is to analyze whether hedge fund managers who dynamically manage the level of active risk can generate a superior performance. Our results indicate that funds with low active risk and low volatility in active risk outperform, on average, funds with high active risk and high volatility in active risk. The formers tend to show higher risk adjusted returns, a higher information ratio, a higher Sharpe ratio, a higher manipulation-proof performance measure but lower management and incentive fees. The reason behind the results could be the overconfidence of hedge fund managers or the option-like characteristics of the compensation structure which give hedge fund managers an incentive to take on excess active risk. Finally, we follow Titman and Tiu (2011) and use R-squares as first criteria for picking talented hedge fund managers. We next use active risk and active risk volatility as another two standards to eliminate potential gambling funds. We find that hedge funds that exhibit lower R-squares and simultaneously control active risk and its volatility under a low predetermined level have better risk adjusted performance.

    摘 要 I ABSTRACT II 誌 謝 III 1. Introduction 1 2. Literature Review 4 3. Data 7 4. Research Methodology 10 4.1. Factor Models: Residual Risk and Dynamic Adjusting Behavior 10 4.2. Measuring Hedge Fund Performance 12 5. Empirical Analysis 13 5.1. Determinants of Active Risk and Active Risk Standard Deviation 13 5.2. Active Risk and Hedge Fund Performance 15 5.3. Volatility of Active Risk and Hedge Fund Performance 16 5.4. Examination During Different Subsample Periods 17 5.5. Combining R-squares, Active Risk and Active Risk Standard Deviation 18 6. Robustness Checks 19 6.1. US Equity Subsample 20 7. Conclusions 20 Appendix A: Factors Considered for the Stepwise Regression Model 22 References 23

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