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    Title: 新興市場股票型基金績效評估
    Other Titles: Performance evaluation of equity funds in emerging market
    Authors: 曾世輝;Tseng, Shih-Hui
    Contributors: 淡江大學財務金融學系碩士在職專班
    顧廣平;Ku, Kuang-Ping
    Keywords: 新興市場股票型基金;基金績效;Equity Funds in Emerging Market;performance evaluation
    Date: 2011
    Issue Date: 2011-12-28 17:33:52 (UTC+8)
    Abstract: 本研究之基金樣本包括73支海外資產管理公司以外幣計價發行之新興市場股票型共同基金,研究期間為2005年11月底起至2010年11月底止。利用下列基金評估績效指標:報酬率、標準差、β係數、夏普指標 (Sharpe Index)、Treynor指標 (Treynor Index)、Jensen 指標(Jensen Index)及Information Ratio來對基金樣本做評估,用以研究基金之績效。透過本文之研究可以更進一步的了解國外投顧公司所發行的新興市場基金績效之表現。

    實證結果發現單一國家新興市場股票型基金及全球及區域新興市場股票型基金皆有特定基金之績效優於同類型其他基金,例如JF南韓基金、柏瑞環球基金-柏瑞印度股票基金、JF泰國基金、霸菱全球新興市場基金及富達拉丁美洲基金,亦有特定基金之績效劣於同類型其他基金,例如匯豐環球投資基金-中國股票及匯豐環球投資基金-泰國股票;在不同的國家或區域某些特定基金之績效持續性亦優於同類型其他基金,例如德盛中國基金、JF泰國基金及霸菱全球新興市場。
    The paper’s samples are consisted of 73 foreign currency-denominated emerging market mutual fund issued by foreign asset management Corporations. The time period is from the end of November 2005 until the end of November 2010. We use return, standard deviation, β coefficient, Sharp index, Treynor Index, Jensen Index and the Information ratio performance indicators to analyze samples. Through this paper we can find out more about mutual fund performance of foreign currency-denominated emerging market mutual fund issued by foreign investment advisory companies.

    Empirical results show that there are some specific mutual funds performance better than other same mutual fund type among single country of emerging market mutual funds, global emerging market mutual funds and regional emerging market mutual funds,such as JF Korea Trust、Pinebridge Global Funds - India Equity、JF Thailand Trust、Baring Global Emerging Markets Fund and Fidelity Funds – Latin America Fund. There are also some specific mutual fund underperformances than other same type mutual fund, such as HSBC GIF Chinese Equity Fund and HSBC Global Investment Funds-Thai Equity Fund. The sustainability of performances of some specific mutual funds has better then other different countries or regions,such as Allianz RCM China、JF Thailand Trust and Baring Global Emerging Markets Fund .
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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