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    Title: 共同基金投資組合與策略下之績效評估
    Other Titles: The performance of mutual funds investment portfolio and investment strategy
    Authors: 褚庭宇;Chu, Ting-Yu
    Contributors: 淡江大學財務金融學系碩士在職專班
    李沃牆;方鏘傑
    Keywords: 平均數-變異數模型;VIX恐慌指數;效率前緣;投資組合;晨星基金獎;Mean-Variance-Portfolio Model;VIX;Efficient-Frontier;InvestmentPortfolio;MorningstarFundAwards
    Date: 2014
    Issue Date: 2015-05-04 09:43:14 (UTC+8)
    Abstract: 本研究主要探討以Markowitz投資組合理論與VIX 恐慌指數的關聯應用於共同基金投資組合,希望能提供投資人做為投資共同基金時對於VIX指數大幅拉高時與低指數時的參考準則。同時,也讓一般投資人以避免追高殺低的投資策略,並以中長期眼光看待投資共同基金。

    本文實證的標的為2012 年至2014 年獲得晨星基金獎且成立十年以上之基金,透過Markowitz(1952)所發表的平均報酬/變異數投資組合,求得最佳的效率投資組合之效率前緣為研究模型,買賣週期區分為半年、季、月,並依據VIX指數分別在漲跌20%與漲跌10%時做決策買賣的投資。

    實證結果發現VIX指數在波動20%時的平均報酬率大於波動10%的平均報酬率,買賣期間較長的投資報酬率也優於知期間買賣。此外運用MV投資組合理論且每半年依據VIX在波動20%時做決策買賣時的基金投資組合績效最佳。綜合來說,本文的實證結果證明,Markowitz投資組合理論與VIX波動策略可提供投資人做為投資組合的參考。
    The thesis aims to investigate the Markowitz portfolio theory associate with the VIX fear index and apply to mutual fund portfolios, hoping to provide investors when
    investing in mutual funds as to when the VIX index and sharply pulled low reference standards. It also allows ordinary investors to avoid chasing the high and kill low
    investment strategy, and long-term vision to look at investing in mutual funds.

    This data contain year 2012 to 2014 which obtained from Morningstar Fund Awards Fund and be established more than ten years. According to the mean-variance model of Markowitz (1952), we can seek the optimal efficiency of the leading edge of efficient portfolio model for the study, divided into six months trading period, quarter,month, and based on the VIX trading at 20% of ups and downs to make decisions and Change 10% of investment, respectively.

    Empirical results show that the average rate of return of VIX-20% is greater than the VIX-10%, a longer period of return on investment is better than trading during
    trading knowledge. Based on MV portfolio theory and every six months performance,the VIX-20% is the best trade rule. In summary, the empirical results prove that Markowitz portfolio theory and the VIX volatility strategies provide investors as a reference portfolio.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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