The case study of the global hedge fund momentum strategies

• Main Authors: YI-HUNG MA, 馬宜鴻
• Other Authors: Day-Yang Liu
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/z3c6v3

碩士 === 國立臺灣科技大學 === 管理學院MBA === 99 === This purpose of this study was aimed at the stock picking strategy of hedge fund and finds the best investment portfolio under the momentum strategy. In this study, it is used the data of Dow Jones Credit Suisse Hedge Fund Index from 1993/12/31to 2010/12/31 as the research object. According to ten kinds of Dow Jones Credit Suisse Hedge Fund investment strategy, the study divided the information into formation period and holding period by using movable pane from the investigation of Jegadeesh and Titman(1993).Through dividing the formation period into 12.24.36.60-month and holding period into 3.6.12.24-month, the study construction winner and loser investment portfolios. Using the return rate, sharp ratio, modified value at risk, Alpha and Calmar as the target function, the study compare the difference of return rate to exploring the portfolio of kinetic strategy having the ability to exceed the benchmark index. General of the empirical results, this study has the following conclusions: 1. Facing unusual event such as financial crisis, the winner investment portfolios of return rate, Sharp ratio have a good performance before the event. However, the portfolio would be affected as it cannot achieve the best performance after unusual event. 2. As the objective function of Alpha value, the loser investment portfolio on longer observation period has good performance. And as Calmar value, the winner investment portfolio on shorter period has good performance. Both these two objective function are not affected by unusual event and performance can be significantly better than the broader market.