| Summary: | 碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 94 === This paper investigates the concept of market neutral hedge fund strategies. In this study, we attempt to construct strategies of market neutral hedge funds based on overreaction hypothesis and simulate trading in the foreign exchange market.We hope that the discussed strategy can obtain steady return and avoid systematic risk by back testing historical data. Performing statistical test，the results indicate that among the several major goals including providing absolute return、low correlation to the benchmark、low volatility due to long / short structures without considering liquidity risk. Moreover, the results show that low frequency data could gain better return than high frequency data.And in low frequency data, performance of daily data is the best. Therefore, if the foreign exchange market appear non-efficiently, it won't stay a long time.
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