- 學位論文
金融海嘯對能源基金績效之影響
Financial Tsunami Impact on the Performance of Energy Fund
摘要
許振明（2009）研究結果顯示，美國次貸風暴不僅在2008 年上半年引發石油及原物料期貨價格上漲，更可能是引爆國際金融海嘯的原因之一，造成信用緊縮、商品市場需求下降及消費信心不足等問題。全球在面對油價的上漲以及能源資源日漸枯竭、全球暖化等情況之下，所關注的焦點都集中在能源，然能源價格也就牽動全球經濟成長腳步，更吸引投資人資金的湧入。因此本研究的重點在於利用台灣所發行的五檔能源基金，分別進行研究能源基金之報酬率、Sharpe指標、Treynor指標之績效指標與變異數-共變異數法、歷史模擬法與蒙地卡羅模擬法等三種VaR的評估方法。結果發現，在整體表現上以天達環球能源基金C股在三種績效指標方面表現最好，但也相對承擔較高風險。 另外本研究將研究的整體時期，劃分成金融風暴時期的前、中及後期，研究績效及風險高低。結果發現，風暴前(2005年1月1日~2006年12月31日)以貝萊德全球基金 - 新能源基金 C2 美元具有高績效的表現，所承擔低風險較有利於投資人；風暴中(2007年1月1日~2008年12月31日)，此期間不論是績效和風險三個期間均出現最差，呈現低報酬高風險；風暴後(2009年1月1日至2010年10月31日)，以天達環球能源基金C股在三個期間績效指標表現最好，表示對於能源類股的波動程度最高，較易受到股市的影響。 因此，依據本研究的實證發現，我們認為投資者可以針對台灣的能源績效與風險的特性，依據研究的期間長短及投資標的差異，利用不同的研究方法，得到較真實的研究結果。雖然理論上報酬與風險具有正向關係，但投資者可以利用本研究的結果，追求較高的報酬及較低的風險，使投資人在高油價的環境下，能源基金能成為更適合投資人進行投資，並提供給市場投資者作為參考之依據。
並列摘要
The research finding of Chen-Min Hsu shows that the U.S. sub-prime mortgage crisis in the first half of 2008 was one of the reasons causing oil and raw material index price to rise and subsequent international financial tsunami which resulted in credit contraction, declining demand of commodity market, and insufficient consumer confidence. Under the conditions of global oil price increase, the exhaustion of energy resources, and the global warming, all foci are on energy. The price of energy has affected the global economic growth and attracts investors’ money. This study uses five energy funds issued in Taiwan to analyze their Returns, Sharpe index, Treynor index. In addition, this study uses three Var evaluation methods,namely Variance-Covariance Approach , Historical Simulation , and Monte Carlo Simulation . Research finding show that the performances of Investec GSF Glbl Energy C Inc Grs USD are best which also associate with higher risk. Moreover, this research divides the whole period into before, during, and after the finance crisis periods to study the performance and risk. Research findings show that before the crisis period （Jan.1, 2005-DEC.31,2006）, the performance of BGF New Energy C2 USD are best with lower risk in favor of investors. During the crisis period（Jan.1, 2007-DEC.31,2008）, the performance and risk are the worst with low return and high risk. After the crisis（Jan.1, 2009-DEC.31,2010）, the performance of Investec GSF Glbl Energy C Inc Grs USD are best which shows the fluctuation of energy stock is the highest and can easier be affected by the stock. Based on the above findings, we think investors could use the characteristics of taiwan’s energy performance and risk, the research period, different investment objectives, and different research methods to get research results closer to the realty. Theoretically, performance and risk show positive correlations. But investors could use the research finding of this study to pursue higher performance and lower risk investment so investor could pursue energy fund in a higher oil price environment.