避險基金與共同基金績效與評比之比較分析

Abstract

共同基金向來為投資大眾不可或缺的投資理財工具之一，但發生金融海嘯後，美國次級房貸效應對全球金融造成影響，眾多共同基金績效腰斬，相較之下，其中的避險基金影響較小，故本研究想探討避險基金之績效分析。 本論文研究自2001年4月至2011年4月止，以全球避險基金與共同基金為樣本，利用其月資料進行績效與評估，做分析與比較，並運用理柏評等，針對避險基金探究其總回報能力、穩定回報能力與保本能力。 本研究除了對整體績效進行評估外，並採用Treynor、Sharpe及Jensen指標等三種常用績效指標做近一年、三年、五年與十年的避險基金與共同基金之比較，再依照註冊發行地按三年、五年、十年和整體的表現計算理柏評級。 本研究結果如下： (一)在整體績效評估方面，實證結果發現避險基金在近一個月的累積報酬成長率低於共同基金外，其餘皆高於共同基金，(二)在Treynor、Sharpe及Jensen指標下，避險基金績效都明顯好於共同基金，這顯示避險基金每年都有穩定正報酬成長率且普遍績效都比共同基金與大盤來的好。(三)使用理柏評等(滿分為5分)，避險基金整體表現的穩定回報分數為3分，總回報分數為4分，保本能力分數界於3分到4分。綜觀以上實證結果，避險基金之投資績效優於共同基金。

Mutual fund is an indispensable investment tool for most investors. After the financial tsunami, subprime mortgage in America has a huge impact on the financial world. Compared to most of the mutual funds whose value has been cut in half, the influence to the hedge funds is not so severe. Therefore, the purpose of this thesis is to study the hedge fund performance and compare with that of mutual funds. In this study, I consider global hedge funds and mutual funds during the period from April 2001 to April 2011. To measure and compare fund performance, Treynor index, Sharpe index, Jensen index with one-year, three-year, five-year and ten-year horizons are adopted. In addition, I also use Lipper ratings by domicile to evaluate hedge fund total return, consistent return and preservation in various periods. The main conclusions are: (1) In fund performance, I found that in general performance of hedge funds is higher than that of mutual funds. (2) Under Treynor index, Sharpe index and Jensen index, all the ratios of hedge funds are higher than those of mutual funds. Hedge funds have consistent positive returns every year with better performance. (3) Under Lipper ratings (from 1 to 5 with 5 as the best score), consistent return of hedge funds is rated 3. Total return is rated 4. Preservation is rated between 3 and 4. In conclusion, hedge fund is better than mutual fund.