應用羅吉斯迴歸預測金磚四國股票型基金投資報酬率

Using Logit Regression to Forecast the Equity Fund Returns of the BRICs

趙淵博(Yuan-Po Chao) ； 鄭舜仁(Shuenn-Ren Chen) ； 吳盈宏(Ing-Hong Wu)

《管理科學與統計決策》 5卷3期 (2008/09) Pp. 21-31

https://doi.org/10.6704/JMSSD.2008.5.3.21

摘要

本研究以金磚四國BRIC（中國china、印度India、巴西Brazil、俄羅斯Russia）股票型基金做爲組合的資產，基金淨值取自2004年1月年至2007年12月各基金公司所刊登之淨值。本研究運用基金績效指標與基金累計報酬率導入羅吉斯迴歸模型中，驗證金磚四國股票型基金報酬率是否優於非金磚四國股票型基金報酬率。實證研究發現，羅吉斯迴歸模型分析中發現同時導入基金績效指標與基金累積報酬率指標推導出預測模型的準確率(88.9%)會優於僅考量共同基金績效指標(72%)和基金累積報酬率指標(74%)。

關鍵字

金磚四國 ； 共同基金 ； 羅吉斯迴歸

並列摘要

This study used the used the equity funds of BRIC (Brazil, Russia, India and China) as the combination of properties, funds and net values. It applied the fund performance index and accumulative total rewards to the Logit Regression model to verify whether the equity fund returns of the BRICs are better than of the non-BRIC countries. in logit regression model analysis, the accuracy (88.9%) of using fund's performance index and accumulated return index in the forecast model is better than measuring the fund’s performance index (72%) and accumulated return index (74%).

並列關鍵字

BRIC ； Mutual Funds ； Logit Regression

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