本研究目的為針對避險基金之選股策略，找尋其動能投資策略下最佳投資組合。本研究採用1993/12/31年至2010/12/31年年底的道瓊瑞士信貸避險基金指數(Dow Jones Credit Suisse Hedge Fund Index)為研究對象，根據道瓊瑞士信貸避險基金之十種投資策略，運用Jegadeesh and Titman(1993)之研究使用移動窗格將資料分為形成期及持有期，將形成期分為12、24、36、60個月，持有期則分為3、6、12、24個月，一共16種時間組合並且建構贏家以及輸家投資組合。使用報酬率、夏普率、調整後風險值、Alpha值、期間高離差值以及Calmar值做為目標函數比較報酬率之差異，以探討動能投資組合是否有能力超越對應的標竿指數指數，並且比較贏家組合以及輸家組合何者適合做為評估工具。綜合各項實證結果，本研究有以下之結論：
一、 在遇到類似金融風暴異常事件之時，以報酬率、夏普率以及高離差值為目標函數的贏家組合在事件發生之前可以有不錯的績效表現，但是在特殊事件發生之後會影響其建構投資組合使其無法達到最佳績效。
二、 以Alpha值為目標函數之輸家投資組合加以觀察期較長之參數有明顯良好的績效表現，以Calmar值為目標函數之短觀察期贏家投資組合，其績效亦優於大盤，此兩種目標函數皆能不受特殊事件影響並且績效可以顯著優於大盤。

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.

一、 中文部分
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7、 鐘心怡(2008)，以資料包絡分析法評估避險基金績效，世新大學管理學院財務金融學系碩士學位論文。
8、 郭世宗(2002)，共同基金績效持續性與績效動量週期之研究-如何建構高績效之基金中基金，銘傳大學金融研究所碩士論文。
9、 楓惠如(2008)，避險基金績效持續性之研討，國立中正大學財務金融研究所碩士論文。
10、 張翔閔(2009)，避險基金於全球投資組合配置角色之研究，世新大學財務金融學系碩士在職專班碩士論文。
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