請參照英文摘要 / With progressing transparency of investment activity and structure flexibility, hedge fund has provided investors an attractive investment option. The hedge fund market in Asia appears to have room for further expansion with improving regulatory environment and increasing availability of different products in retail establishments. The research objective is to provide the general investing public and the hedge fund industry in Taiwan more insightful information of how sophisticated investors in Hong Kong relate to hedge fund investment, in order to provide more references for individuals’ hedge fund investment decisions and reflections for the industry to improve marketing strategy. Due to the likeness of the financial climate in both markets, Taiwan could use existing successful implementations and references in Hong Kong for better preparation for hedge funds to enter. A few important factors influencing both mutual fund and hedge fund investment decisions have been identified from previous researches and surveys conducted by academic scholars and industry professionals. A hedge fund survey is conducted to test these factors and further evaluate other causes influencing hedge fund investment decisions. A total of 31 sophisticated investors in Hong Kong, mostly financial professionals, with 45% current hedge fund investors have participated. Regression statistics analysis is used for the correlation between the multi-dimension construct measurement towards each factor and the actual percentage of investment in hedge fund of the investors. “Investment risk” has shown moderate positive correlation. “Investment return” and “past performance” have shown fair degree of positive correlation. “Investor’s understanding”, “transparency” and “skill and experience of fund managers” have shown very little or no relationship. Non-parametric statistics analysis is used for the testing of the multi-dimension construct measurements of the factors between current hedge fund investors and non hedge fund investors with p-values. The measurement of “investment return” for current hedge fund investors is greater than non hedge fund investors. The measurements of “investor’s understanding”, “investment risk”, “past performance”, “transparency” and “skill and experience of fund managers” of current hedge fund investors are not greater than non hedge fund investors. “Skill and experience of fund managers” has been ranked as the most important factor influencing individual hedge fund investment decisions. “Investor’s understanding” has been ranked as the most important aspect that needs improvement for the hedge fund industry. For current hedge fund investors, 43% have hedge fund investment which accounts for 15%-30% of their total assets. Seventy-two percent of current hedge fund investors are likely to increase allocation to hedge fund investment. Sixty-four percent of non hedge fund investors are likely to invest in hedge funds. This thesis comes to the conclusion that these factors are clearly variables that influence investor’s hedge fund investment decisions. Nevertheless, investors are advised to have thorough understanding of the characteristics specifically related to hedge funds when making investment decisions. It is hoped that the hedge fund industry and regulators would incorporate these aspects for hedge fund product design and marketing. This thesis proposes several aspects to the investors and hedge fund industry in Taiwan with suggestions.

在投資無國界的全球化金融市場下，國際市場的開放與整合平台的建立，使國內投資人可選擇更多的金融工具。傳統的投資項目多為股票、債券或平衡型商品，在獲利狀況不甚理想下，便開始尋求其他國際的投資管道或是金融商品加入其資產配置中，希望獲取穩定的報酬下，又能降低所承擔的投資風險將投資所需承擔的風險減低。 近年避險基金的投資績效及資產規模成長搶眼，挾著法令寬鬆與靈活運用的操作策略，以及投資範疇廣與市場連動性低等特性，創造出日益壯大的規模。我國積極致力於金融改革，除了監督管理制度面的改善，對於新興金融工具的開放，也是國內投資環境必須跟進的方向。未來在台灣若能開放設立避險基金之前，國內投資人與監管機關所擔負職責，皆應該對此種金融工具有深入的認識。 本研究透過四個概念的架構，去評估避險基金加入投資組合後，是否可以幫助投資人達成降低風險以及增加報酬之目標，以及身為資產管理者如何將避險基金納入其資產配置決策等相關考量；對國內金融主管機關而言，避險基金的開放或是投資限制的放寬是否是正確的金融政策方向，才能配以完善的監理機制與法令規範，使國內投資大眾在投資理財工具上更加完備。 實證結果分析發現，在研究期間避險基金的確可以幫助投資組合之效益提升，但是加入總體情境時，其對投資組合的幫助卻不一致，只有在空頭期間的效果明顯。另外發現沒有避險基金相關之投資限制下的投資組合，其夏普指數高於有限制的投資組合；在避險基金限制放寬下，效率前緣往左上角移動，推論放寬避險基金限制該是正確的金融政策。最後，本研究也發現以機構投資法人而言，避險基金加入投資組合能幫助達到絕對報酬。 / Under the global financial market, which has broken the boundaries between nations, domestic investors now have more choices of financial instruments than they did before. Therefore, besides traditional domestic investment vehicles, such as stocks or mutual funds, domestic investors have started seeking other instruments to enhance their portfolio, pursuing better risk-return profile. In recent years, hedge fund’s performance and assets size have both grew impressively by capitalizing on deregulations and various trading strategies of its own. Besides the improvement in financial supervision system, deregulation and capitalizing on newly innovated financial instruments are also important to the reformation of Taiwan’s financial market. Before hedge funds can be legally raised in Taiwan, both domestic investors and market supervisors should equip themselves with adequate knowledge about this important instrument. By analyzing the four concepts in the third chapter, the research intends to evaluate whether investors can enjoy better risk-return profile by adding hedge funds into their portfolios. Also, the research objective is to provide suggestions to fund managers as they consider their assets allocation. Finally, we want to evaluate whether it is correct for Taiwan to open up to hedge funds, therefore the government can establish feasible supervision system to protect domestic investors’ rights. The research has found that hedge funds could indeed benefit the portfolio during the time period under consideration. However, hedge funds did not have significant effect on the portfolio as macroeconomic scenario was taken into consideration. In the scenario, hedge funds have significantly positive effect on the portfolio only under a bearing market. Furthermore, the research found that the portfolios with less limitation on hedge fund investment can enjoy better Sharp Ratios than those with striker limitation on hedge fund investment. Since the efficiency frontier moved upper left as we reduced the limitation on hedge fund investment in the research, we may conclude that an open-up to hedge funds should be the correct direction for our financial policy. At last, the research also found that institutional investors can get absolute return by adopting hedge funds in their portfolios.

美國次級房貸在1990年代中期曾經十分興盛，不過之後因LTCM危機，加上Fed採取連續升息政策，許多次級房貸放款的業者面臨資金流動性問題，以及次級房貸利潤不夠高，迫使許多業者退出這個市場，1998年亞洲金融風暴,美國雖未受波及,然自2000年開始因網路科技泡沫影响及2001年911恐怖攻擊,經濟衰退連續降息後，次級房貸在美國持續降息期間再度大幅成長，原因包括當時美國房價上升速度快、不動產市場流動性充裕，投資人增加對收益率較高產品的需求，導致更多次級房貸需求。 國際資金游動頻繁，衍生性產品及不動產證券化盛行，信用卡債、擔保債權憑證(CDO)、資產抵押證券被分割、包裝成證券或基金產品賣出，次級房貸風暴發生，間接亦影響到全球投資在上列產品之銀行、避險基金、機構法人、退休金等等…導致全球股票市場大跌，引發整個金融信用環境惡化，可能引發不良金融連鎖反應，從而導致更大的經濟金融危機。 美林證券、花旗銀行、歐美各大銀行相繼宣布資產減損,台灣國內銀行、保險公司亦陸續出現認列資產減損金額,只要一有次級房貸不利之消息出現,全球股市應聲而倒,截至目前問題所在雖略知一二,然國外金融業界因資訊較透明,其影響已漸公佈及擴大中,國內金融業則仍多採取保守態度,但亦逐漸依規定認列財產損失,然而問題是否已近尾聲,風險是否完全受控制則說法不一。 次級房貸問題的主要原因是相關金融商品證券化,層層包裝成各種衍生性產品,於次級房貸風暴發生後,信用風險連鎖反應造成相關產品無流動性,被隱藏的風險暴露後原有的信評機制幾乎全部失效,層層包裝的風險因事先未被定價,風暴後更無法估算其所會波及之影響,Mark to Market及34號公報迫使全球企業對次級房貸投資相關產品之損失提列資產減損,更加重各項產品流動性之停滯,信用危機造成信心危機，層層結構性產品及再轉投資,造成信用無虞的公司也遭魚池之殃,次級房貸衍生之金融商品,因主要購買者多為金融業或保險業或再包裝後出售予投資客,其後繼影響更是難以估計。 本論文內容除探討美國次級房貸定義、對美國國內及全球之影響、美國政府及各國政府的因應政策、截至目前影響及預計可能還會再出現影響,及因次級房貸之崩潰及衍生之金融產品之跌價所影響的層面與近年來國內外銀行爭相推展個人金融事業及財富管理事業的成立,是否有相當之關係,信用評等、風險控管、及定價在此風暴是否扮演重要角色,但卻又明顯失控?為避免類似情況再發生,應如何因應與防範?進而以提出個人對此事件探討之結論及省思後之建議。