English  |  正體中文  |  简体中文  |  Items with full text/Total items : 43312/67235
Visitors : 2021141      Online Users : 2
RC Version 5.0 © Powered By DSPACE, MIT. Enhanced by NTU/NCHU Library IR team.

Please use this identifier to cite or link to this item: http://nchuir.lib.nchu.edu.tw/handle/309270000/153892

標題: 探討菁英避險基金於市場大幅拉回後的表現
A Study of the Performance of Elite Hedge Funds after Substantial Market Drawdown
作者: 張碩文
Zhang, Shuo-Wen
Contributors: 許英麟
統計學研究所
關鍵字: 避險基金;HFRI基金加權綜合指數;逐步預測力優劣檢定法
Hedge Fund;HFRI Fund Weighted Composite Index;stepwise superior predict ability
日期: 2012
Issue Date: 2013-11-19 12:09:18 (UTC+8)
Publisher: 統計學研究所
摘要: 本研究是針對避險基金資料庫的月報酬資料來檢驗基金報酬的績效,樣本期間從1994年5月到2011年12月。從HFRI避險基金加權綜合指數這20年的走勢可以發現有三次拉回的高點,並以三次高點往後半年、一年當切割點做資料的分類和分析,本文中使用Hsu et al.(2010)的逐步預測力優劣檢定法和Goetzmann et al.(2007)的Manipulation-proof performance measures來當作挑選優秀基金的方法,並利用平均權重來組成投資組合來觀察基金績效的表現。
The purpose of this study is to test the performances of the monthly returns of the Hedge Fund Research. The dataset spans a period from May 1994 to December 2011. We can find the high point of a total of three times drawdown of the 20-year trend from the HFRI Hedge Fund Weighted Composite Index, and three high-point of the next six months, a year as a cutting point for data classification and analysis, We use the stepwise superior predict ability test of Hsu et al. for factor models and Manipulation-proof performance measures to pick out hedge fund which have outperformance. Using equal weight to construct portfolio in order to observe the performance of Hedge funds.
Appears in Collections:[依資料類型分類] 碩博士論文

Files in This Item:

File SizeFormat
index.html0KbHTML105View/Open


 


學術資源

著作權聲明

本網站為收錄中興大學學術著作及學術產出,已積極向著作權人取得全文授權,並盡力防止侵害著作權人之權益。如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員,將盡速為您處理。

本網站之數位內容為國立中興大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用。

聯絡網站維護人員:wyhuang@nchu.edu.tw,04-22840290 # 412。

DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU/NCHU Library IR team Copyright ©   - Feedback