本研究主要目的是探討避險基金經理人增加主動式曝險或降低系統性曝險，是否來自其優異的投資決策能力，進而有較好的超額報酬。本文的結果顯示低系統性曝險的避險基金有較好的風險調整後報酬。除此之外，我們亦依循Titman and Tiu (2011)，使用R-squared來檢測避險基金經理人是否能透過主動式操作獲得較好的績效表現，而本文的實證結果顯示低R-squared的避險基金有較佳的風險調整後報酬，接著我們透過交叉分析，試圖比較主動式曝險、系統性曝險與R-squared，哪一個是更好的避險基金衡量指標，最終我們得出R-squared對避險基金報酬有較佳的解釋力，系統性曝險次之，而主動式曝險則無一致性的結果。最後，在樣本外績效測試中，我們發現低R-squared與低系統性風險的避險基金皆擁有較佳的風險調整後報酬。

The main purpose of this thesis is to explore whether hedge fund managers who increase exposure to active risk or exposure to systematic risk can generate superior performance. Our results indicate that funds with low systematic risk outperform, on average, funds with high systematic risk. We also follow Titman and Tiu (2011) and use R-squared to identify talented hedge fund managers. Our results indicate that hedge funds with lower R-squared values can generate abnormal returns. Finally, we compare active risk, systematic risk and R-squared in order to identify which is the better hedge fund performance measure. Our results indicate that R-squared is a better future performance measure of hedge funds than either active risk or systematic risk. Moreover, our out-of-sample results also show that funds with lower past R-squared values or lower past systematic risk have better risk-adjusted performance. In other words, hedge fund managers who really have a special talent to generate abnormal returns from the active component of their portfolio will tend to maintain the systematic risk to total risk ratio at a low level (i.e., a low R-squared) and simultaneously control low level of systematic risk exposure.

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