| Summary: | 碩士 === 國立成功大學 === 財務金融研究所 === 98 === In this paper, we study the portfolio optimization of hedge funds. We employ the stepwise SPA test to screen outperforming funds, which are then formed into a portfolio under three different methods. The seven-factor model is adopted to benchmark the portfolio’s performance, which is compared against the corresponding database hedge fund index. Via doing this across different holding periods, we want to test whether the relatively good performance of the screened portfolio persists over time and discover which of the three methods to decide on the weights of the component funds will lead to the best result.
Our results suggest that, based on the five types of funds irrespective of the exclusion of the fund of funds, the screened portfolios do manifest statistically significant abnormal returns. These abnormal returns tend to persist across time in terms of the one-, two-, and three-year holding periods. Among the three methods to decide on the portfolio weights, equal-weighting is the only approach which enables the portfolio to consistently beat the relevant database index.
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