由於避險基金在巧妙運用多空部位下可以規避市場風險的影響，因此是以追求絕對報酬為目標，故其績效指標並非大盤，通常是以無風險利率來衡量。Fung and Hsieh (2001) 指出採行順勢交易策略之避險基金，其報酬型態會與買進跨式選擇權相同，若使用為單一數值的無風險利率作為其績效指標會缺乏彈性，故本文從「保本」角度切入，將基金拆解成保本與投機兩部分，試圖建立較合理之績效指標。在考量交易成本後，發現績效獎金對績效指標有很大的影響，因此針對避險基金之激勵條款作更深入的探討，建立模型並求得績效獎金及投資人價值之封閉解，以此提供基金經理人及投資者評價避險基金的方法。

The purpose of a hedge fund is to earn a positive return, which totally different from beating a standard market benchmark. To achieve its objective, fund manager takes long and short position to eliminate market risk. The benchmark for absolute-return investing usually is risk-free rate. Because Fung and Hsieh (2001) stated that trend-following strategy has the same payout as straddle, it is inappropriate to use a single-valued benchmark. In this thesis, we decompose the fund into capital-guaranteed part and speculative part and try to establish a more
exible benchmark. After taking transaction costs into consideration, performance fee has a great impact on our benchmark. Therefore, we provide closed-form solutions to performance fee and investor's claim that can be applied to the valuation of hedge fund.

摘要 i
Abstract ii
第一章 前言 1
第一節 研究背景與動機 1
第二節 研究目的與方法 3
第二章 交易成本 6
第一節 無交易成本 6
第二節 含交易成本 9
第三章 目標最低報酬率 12
第四章 績效獎金 17
第一節 模型 17
第二節 模型解釋 18
第五章 結語 24
第一節 結論 24
第二節 未來研究方向 25
參考文獻 26
附錄 28

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