| Summary: | 碩士 === 國立中央大學 === 財務金融研究所 === 97 === According to portfolio theory, we can gain diversification benefits by investing in assets that have low correlation with the portfolio we hold. In other words, one is often interested in finding out whether one set of risky assets can improve the investment opportunity set of another set of risky assets. In this paper, we use mean-variance spanning test to see if investors can improve the efficient frontier by adding hedge funds to their portfolios. Moreover, using step-down procedure to test the spanning hypothesis, it can help us to know whether the rejection comes from the difference of tangency portfolios or global minimum-variance portfolios. By using monthly returns data for 55 hedge fund indices in the CSFB/Tremont and Hedge Fund Research database from 1990/01/01 to 2008/12/31, our empirical result shows that we can gain diversification benefits by adding hedge fund indices to our benchmark portfolio; meanwhile, we have higher Sharpe ratio. And following step-down procedure, we can know diversification benefits come mostly from the difference of global minimum-variance portfolios. We also add REITs to our benchmark assets to see whether REITs will dilute diversification benefits from hedge fund investments. From our empirical results, we can’t any find significant evidence that REITs dilutes the diversification benefits from hedge funds.
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