近年來避險基金在金融證券交易市場上頗為風行，主要理由為避險基金係追求絕對報酬目標以及靈活運用投資策略之工具，使避險基金報酬率往往相較高於其他種類之金融商品。由於台灣仍能可透過管道買到避險基金，然而投資人對其操作行為所知可能有限，是以本研究希望透過財務實證分析來進一步瞭解避險基金與國際股價走勢、匯率走勢、商品市場走勢的關連性，希望能裨益投資人能多揭開多一些避險基金的面紗。 經由實證發現，股市指數、匯率確實會影響避險基金淨值，其中日幣的升貶對避險基金淨值是動見觀瞻，如日圓貶值反而有利於一些避險基金淨值的提升，因為不少避險基金的資金來源，源自於日元的借貸，貶值反而使之成本下降，裨益其績效之提升，而美國股市三大指數的走勢也會影響避險基金的績效，然而避險基金對這些走勢的反應反而是不一，因為有些避險基金是以做多為主，是以美股上漲，其績效提升，然而也有不少避險基金，反而是反其道而行，亦為美股大跌，甚至美元貶值，反而助益其績效之提升，亦為由此可推論有些避險基金是以放空美股為其主要的投資策略所致。 以上這些實證結果應有助於投資人參考之用，不見得股市多頭的時候，才是投資的時候，有時候股市空頭的時候，也有不少避險基金有相當良好的表現，而且匯率的走勢也是選擇避險基金之重要考量因素，這些可能都有助於投資人對這些資訊不透明的避險基金有進一步的瞭解。 Hedge Funds have been quite popular in the financial securities transaction market recently and the main reason was that Hedge Funds are to seek the absolute return goal and to be the tool of the nimble utilization investment strategy. The other types of the financial commodity, the reward rate of Hedge Funds is usually higher than them.
Hedge Funds can be purchased via different channels in Taiwan; however, the investor maybe knew little regarding his or her operation behavior. Therefore, I hoped this research can be applied to financial real examples and further understanding the relationship between Hedge Funds and the international stock price trend, the exchange rate trend and the commodity market trend. I hoped this research will be useful for the investor to disclose the veil of the Hedge Funds more.
By way of the real examples discovered that, the stock market index and the exchange rate truly can affect Hedge Funds net value. On the contrary, Japanese currency devaluation will benefit to the rise of Hedge Funds net value because many capital resources of Hedge Funds are from Japanese Yen lending money and the depreciation instead causes them cost to drop, promotion benefit their achievements. However, the American stock market big three indexes trends also can affect Hedge Funds achievements and Hedge Funds to these trends responses is different because some Hedge Funds are primarily long based on American stock rise. However, not few Hedge Funds was the different direction, when the American stock falls dramatically and even U.S. Dollar depreciates they will benefit the achievements’ promotion. It can be inferred that the main investment strategy of some Hedge Funds resulted from short American Stock.
Above these real examples’ results should be helpful for the investors’ references and it is not necessarily for bull’s stock market to be the right time to invest. Sometime during thr bear’s stock market, there were also not few Hedge Funds to perform well. Moreover, the exchange rate trend is also the important consideration factor to choose which Hedge Funds. It will be helpful for the investor to have a further understanding these vague information of Hedge Funds.
