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  • 學位論文

台灣地區平衡型共同基金之績效評估 -隨機生產邊界法之應用

A Study of the Performance Evaluation of Taiwan Balanced Mutual Fund- Application of Stochastic Production Frontier Approach

指導教授 : 高惠娟

摘要


平衡型基金是一種兼具投資股票與債券的共同基金,為一較為穩健的投資工具。本文將針對存續期間超過五年(2005-2009)的32檔平衡型基金,利用隨機生產邊界法計算一有效率的績效評估指標。以直接交易費、銷售費用、累進買進週轉率、累進賣出週轉率為投入變數,利用Coelli (1996)的FRONTIER Version 4.1使用最大概似法來估算所設定之各檔基金。並加入風險的概念,以Sharpe、Treynor與Jensenn三大指標為產出變數。實證結果首先發現 Sharpe Index -TE平均效率值為0.6565;Jensen Index -TE平均效率值為0.8995;Treynor Index -TE平均效率值為0.4946,表示Jensen Index 在隨機生產邊界法最具效率。其次發現受評估基金各項績效指標,在2008年均為最低,表示基金生產效率受全球金融海嘯影響。最後發現,各基金在原始績效及TE的排名上並無太大差異,兩者具有高度相關,因此,TE亦是一具參考價值之績效評估。

並列摘要


The balanced fund is one kind has both the investment stock and the bond mutual fund, is a steadier investment tool. This article will aim at lasting period surpasses five year (2005-2009) 32 grade of balanced fund, the use stochastic production boundary law calculates an effectiveness the achievements appraisal target. Take the direct exchange expense, the selling expenses, the progressive increase buy up the cycling rate, the progressive increase to sell the cycling rate as the investment variables, 4.1 uses resembles the law using Coelli (1996) FRONTIER the Version to estimate the hypothesis most probably various grade of funds. And joins the risk the concept, take Sharpe, Treynor and the Jensenn three big targets as delivers the variable. The real diagnosis result first discovered that Sharpe Index - the TE average performance value is 0.6565; Jensen Index - the TE average performance value is 0.8995; Treynor Index - the TE average performance value is 0.4946, indicated that Jensen Index most has the efficiency in the stochastic production boundary law. The next discovery is appraised the fund, in 2008 for lowest, expression fund production efficiency global finance Tsunami influence. Finally discovered that various funds and do not have the too big difference in the primitive achievements and in the TE place, both have highly related, therefore, TE is also achievements of appraisal a reference value.

參考文獻


參考文獻
一、中文部分:
1 王正己 和 阮俊嘉(2000)。「台灣地區共同基金型態之績效評估研究」。 朝陽學報,(5),283-317。
2 王佳眞 和 徐辜元宏(2003)。「風險值的應用與台灣共同基金績效指標之持續性」。 臺大管理論叢 ,14(2), 23-47。
3 孔繁衍(2002)。「影響台灣地區債券型基金報酬因素之研究」。實踐大學企業管理研究所碩士論文,台北市。

被引用紀錄


李怡慶(2012)。運用ITIL架構建置資訊部門績效評估 模式-以A公司為例〔碩士論文,國立臺北科技大學〕。華藝線上圖書館。https://doi.org/10.6841/NTUT.2012.00614

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