避險基金在投資組合扮演之角色與風險控管

Abstract

避險基金投資熱潮興起，基金規模快速增長從1949年第一檔Jones Hedge Fund，到近期連動避險基金或指數的連動債券，這幾年來，避險基金持續受到投資人的青睞。 2007年全年避險基金市場基金淨流入高達1,945億美元遠超過2006年1,265億美元，年成長率為54%。但相較於亞洲地區，至今仍在發展萌芽階段，對於台灣投資人而言，更是一項不易了解的神秘投資商品。 本篇論文先介紹避險基金為何與其特性，探討其對傳統共同基金的區別，藉由避險基金之歷史演進到近期的發展、亞洲各國目前開放與管理上的現況，與其運用非常多衍生性金融商品的操作策略，在不論市場多空時，皆能操作，創造出高報酬率，認知台灣在面對此產品的積極必要性。 為了正確反映避險基金的收益和風險特徵，選擇了股票和債券兩個傳統投資工具的時間序列資料作為參照物進行比較，以發現避險基金的歷史表現與傳統投資方法的差異，透過計算得出，在不考慮資料偏差的條件下，投資避險基金期望收益更高，但並不比傳統投資工具危險，進而強化了避險基金納入投資組合的正當性。 最後針對台灣金融發展多元化為出發點，分析避險基金開放之利弊與欲開放避險基金在監管規定上之建議。

“Hedge Fund” has become a trendy topic to talk about among inventors in recent years. The scale of hedge funds has grown substantially since it was first introduced in 1949 by the Jones Hedge Fund. In the past several years, hedge funds have clearly become one of the favorite investments for many institutional and private investors. The net capital flow into the hedge funds posted a record high of US$ 194.5 billion globally in 2007 compared to US$ 126.5 billion in 2006 with an astonishing annual growth rate of 54%. However, in most Asian countries, hedge funds are still in the developing stage. Especially in Taiwan, investors generally see hedge funds as a mysterious way of investing and do not know much about it. At first, the thesis will introduce “What is Hedge Fund?” and “What are the characteristics of hedge funds?”. Then this thesis would be focusing on “How does hedge funds vary from the traditional ways of investing”, “the history and the future of hedge funds”, “How does Asian countries regulate the hedge fund investments?”, and “What are the strategies for hedge funds to create high ROI (Return of Investment) even in downtrend markets?”. Knowing the background of hedge funds and their impact on portfolio management will help investors understand the importance and effectiveness of hedge funds in investing their assets. In order to demonstrate the return and risk characteristics of hedge funds, the historical performance data of two traditional investments- stocks and government bonds are used for comparison purpose. Based on the result of the statistic analysis, the hedge fund index shows a higher return with similar/lower risk compared to the stock index or the government bond index. Therefore it supports that hedge funds are not riskier than traditional investments and reinforces the benefit of including hedge funds in the investment portfolio. The last section of the article further discusses the Pros and Cons of opening hedge fund investments in terms of improving the diversity of Taiwan’s financial markets and how the government agencies should regulate the hedge fund investments.