建構共同基金投資組合模式之研究 - 以臺灣開放式股票型基金為例

淡江大學機構典藏 > 商管學院 > 管理科學學系暨研究所 > 學位論文 > Item 987654321/33217

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题名:	建構共同基金投資組合模式之研究 - 以臺灣開放式股票型基金為例
其它题名:	The study to the construction mutual fund investment profolio- the classifying open-end equity fund in Taiwan market
作者:	李方瑋;Lee, Fang-wei
贡献者:	淡江大學管理科學研究所企業經營碩士在職專班倪衍森;Ni, Yen-sen
关键词:	共同基金;基金績效評估;擇時擇股能力;績效持續性;Mutual Fund;performance evaluation;timing and selection ability;persistence
日期:	2008
上传时间:	2010-01-11 03:44:50 (UTC+8)
摘要:	共同基金是國內主要的理財工具之ㄧ，但國內傳統的評選方式多為針對基金淨值報酬率進行篩選，不過勝過同類型基金未必代表能抵禦股災且對風險的承受力就比較強，其報酬率可能為負數。對保守型的投資人來說，穩定、保本或許比績效更重要，若想獲取絶對報酬，則不僅在多頭市場要獲利，在空頭市場時，亦可藉由避開風險。本研究實證之樣本將跨越股市的多空時期，以透過五種操作策略來分析以何種法則來選取操作組合為佳，並能勝出參考指標，如加權指數。另外本研究亦利用迴歸分析企圖找出何種因素是影響基金績效之成因。經由本研究之實證分析，其重要的研究結果，可以簡扼歸納如下：發覺由模型所篩選出的投資組合，其績效可較大盤為優；由投資組合之報酬率做分析，檢定的結論與淨值報酬率所得之的結果相一致；投資組合報酬率與入選次數和基金規模變化有顯著正相關；報酬率與入選次數有顯著正相關，而與基金成立年資有負相關。投資組合Sharpe值之研究結果與投資組合報酬率所研究結果呈現一致性。 A mutual fund is one of the main investment tools applied by domestic investors. The traditional evaluation way is screened by the net return on funds, but exceeds the similar fund not necessarily representative to be able to resist the stock disaster and its return is possibly the negative number. For conservative investors, a principle guaranteed investment weights more than a performance driven investment. An absolute gain is obtained by securing profits in the bull market and by hedging in the bear market as well.Our research samples data collected throughout several market cycles in order to select an optimal strategy, among the five models demonstrated in the article, to beat a reference market index, such as the market value-weighted index. Additionally a regression analysis is used in our research to identify components having impacts on a fund''s performance. Results are: an investment portfolio selected by our model demonstrates better performance than the selected reference market index does; return of an investment portfolio along with its times being selected have a positive relationship with the portfolio''s fund size; and return of a portfolio has a positive relationship with its times being selected but has a negative relationship with how long the fund operates. A consistency is shown from the Sharpe ratio analysis and the return analysis of a portfolio.
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