本研究主要在探討避險基金的拉回狀態(drawdown status)和基金績效表現之間的關係。避險基金的拉回狀態一直是投資人關心的重要議題之一，本文以投資組合分類法（the portfolio sort approach）來預測避險基金的報酬，並運用廣為接受的( Fung and Hsieh (2004) 七因子模型)來衡量其相對績效表現。
本文發現，投資人若利用達爾文選擇(Darwinian selection process)來操作，長時間下，有較大的拉回卻存活下來的基金，其將會有最突出的績效表現。

In this paper we study the drawdown status of hedge funds as a hedge fund characteristic related to performance. The drawdown status of the hedge fund is one of investors’ major concerns.This thesis adopts the portfolio sort methodology to assess the predictability of hedge funds returns and then testing the subsequent performance of these portfolios, we use one of the most widely accepted models in the hedge funds literature, namely, the Fung and Hsieh(2004) seven-factor model to measure the performance.
This study finds that the Darwinian selection process will generate best performance from the portfolio of hedge funds which have incurred the largest drawdown for a long period of time.

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