邊境市場基金績效研究：以中東非洲地區為例

Frontier Market Funds Performance Study: Take the Middle East and Africa as an example

劉盛復(Sheng Hu Liu)

指導教授 ： 彭開琼

健行科技大學/民生與設計學院/國際企業經營系碩士班/碩士(2019年)

摘要

邊境市場基金在全球市場上約20餘檔，本文選取全球中東、非洲地區著名邊境市場基金共6檔，擷取時間2013年1月1日至2018年12月31日止。藉由基金報酬率、標準差、夏普指數等比較其投資績效，另以風險值分析，探討風險對於邊境市場基金之影響。本文有三項研究目的，首先彙整可投資邊境市場基金種類與數目，從中選取研究標的。其次分析邊境市場基金重要投資標的，了解邊境市場有哪些重要產業。最後依據分析結果，提出對邊境市場投資建議。
研究結果顯示，以報酬率來看，期間年化報酬率均為正值(除摩根JPM新興歐洲中東非洲之外)，以野村新興傘型基金之中東非洲基金相對抗跌，施羅德中東海灣A1基金次之；後期間之報酬率，六檔邊境基金表現均明顯的上漲，其中以野村新興傘型基金之中東非洲基金較佳。以 係數來看，數值越大，表示指數相對於市場的波動風險越大，獲利潛能也越高，期間以摩根JPM新興中東基金A股基金的表現為最好。以標準差來看，以摩根JPM新興中東基金A股波動性為最大。

關鍵字

邊境市場基金 ； 風險值 ； 投資報酬率

並列摘要

The frontier market fund has about 20 files in the global market. This paper selects 6 famous frontier market funds from the Middle East and Africa, and draws time from January 1, 2013 to Dec 31, 2018. The fund's return rate, standard deviation, Sharp index, etc. are compared to their investment performance, and value at risk analysis is used to explore the impact of risk on the frontier market fund. This paper has three research purposes.
First, we will summarize the types and numbers of investable frontier market funds, and select the research targets. Secondly, it analyzes the key investment targets of the frontier market fund and understands the important industries in the frontier market. Finally, based on the analysis results, suggestions for investment in the frontier market are proposed.
The results of the study show that, in terms of rate of return, the annualized rate of return is positive (except for Morgan JPM emerging Europe and Middle East and Africa), and the Middle East Africa Fund of Nomura’s emerging umbrella fund is relatively resistant, Schroeder Middle East Gulf A1 The fund was second; the return rate in the latter period, the performance of the six-stage border fund has increased significantly, among which the Middle East Africa fund of Nomura’s emerging umbrella fund is better. In terms of the beta coefficient, the larger the value, the greater the risk of the index relative to the market, and the higher the profit potential. During the period, the performance of Morgan JPM Emerging Middle East Fund A-share fund is the best. In terms of standard deviation, the volatility of Morgan JPM Emerging Middle East Fund A-shares is the largest.

並列關鍵字

frontier market funds ； value at risk ； return on investment

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