本研究主要目的在於藉由Chang, Chang and Wang(2014)的日內動態訊息交易機率指標(DPIN)來衡量避險基金經理人訊息交易程度。我們利用Titman and Tiu (2011)的方法研究避險基金，本文的實證結果顯示低R-squareds的避險基金有較佳的風險調整後報酬、較低的績效費用和較高的日內動態訊息交易機率指標。另外，從本文的樣本外績效測試結果發現，低R-squareds、低主動式風險和高DPIN的避險基金在未來有較佳的風險調整後報酬。

The main purpose in this research is to assess the level of informed trading of hedge funds using Chang, Chang, and Wang (2014)’s dynamic intraday measure of the probability of informed trading (hereafter the DPIN measure). Basing on Titman and Tiu (2011), our empirical results indicate that funds with lower R-squareds tend to have better risk-adjusted performance, lower incentive fees and higher DPIN measure than those with higher R-squareds. Our out-of-sample results also indicate that funds which have a lower R-squared, a lower active risk, and a higher DPIN measure during the in-sample period tend to show a better risk-adjusted performance during the immediately following out-of-sample period.

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