資產基礎類型因子分析法下的可轉債套利型對沖基金套利策略獲利性實證

Not only does the asset-based style factor analysis provide a solution to the measurement of the risk and return characteristics of hedge funds, but the style factors employed by asset-based style factor analysis are practically investable strategies.
To the risk and return characteristics of hedge funds, we introduce how asset-based style factor analysis can serve to measure the intrinsic risk and return characteristics of a particular category of hedge funds. To the strategies employed by asset-based style factor analysis, we pick up the passive strategies dedicated to the convertible arbitrage hedge, which are the positive carry strategy, credit arbitrage strategy, and volatility arbitrage strategy, to exam the profitability of these investable strategies in the convertible bond market of Taiwan.
The empirical result indicates that the risk-adjusted return of the positive carry strategy and volatility arbitrage strategy are superior to those of the stock composite index and convertible bond market portfolio comprised of all trading convertible bonds. The cumulative returns of the positive carry strategy and volatility arbitrage strategy are rarely negative which is in line with the investment philosophy of hedge funds to pursue absolute return. In response to a series of financial distressed episodes, the performance of credit arbitrage strategies are deemed by the performance of the aforementioned benchmarks.