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应用于台湾股票型基金的新基金绩效指标

【中文摘要】:本研究主要的目的是建立一个可让投资人挑选出预期未来表现较好的基金群的指标。本研究在估计期(2002年1月至2007年12月)利用因素分析法建立基金综合指标。建立基金综合指标后,本研究利用此综合指标将所有台湾股票型基金分成五个投资组合。最后于回测期(2008年1月至2010年7月)检测预期表现最好的A组与预期表现最差的E组此两组的报酬差距,发现A组与E组间的报酬差距为年化报酬4.78%、年化标準差为5.43%且夏普值为0.88。在此低利率的时代,仍能藉由综合指标获得每年4.78%的报酬,可证明此综合指标能帮助投资人选择表现较好的基金。
此外,本研究延续Huij and Derwall (2011)的做法,进而检测台湾股票型基金的基金报酬、投资组合集中度与基金策略的广度三者之间的关係。最后发现台湾股票型基金于2007年6月至2010年5月,拥有较低追蹤误差并且基金策略较广的此类基金于上述的空头时期表现相较其他类别来得好。
【英文摘要】:The purpose of this paper is to provide investors with a practical composite index for selecting better funds. We use factor analysis to construct the composite index in the estimation period from 2002 to 2007. After constructing the composite index, we use this index to divide Taiwan equity funds into five groups. Then, we test the performance between the top group and the bottom group in the evaluation period from January 2008 to July 2010. The annualized return is 4.78%, the annualized standard deviation is 5.43%, and the Sharpe ratio is 0.88. During periods of low interest rates, the composite index can make a return of 4.78% per year. This proves that the composite index can help investors choose better funds.
We follow Huij and Derwall (2011) to find the relationships among Taiwan fund performance, portfolio concentration, and the breadth of the underlying fund strategies. We find that funds that have a low tracking-error and are concentrated in multiple market segments have better performance when the market turns downward.
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  • 来源:中山大学;作者:林宇声
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