金融環境對台灣礦業型與能源型境外基金績效與風險之影響

Impacts of Financial Environment on the Performance and Risk of Mining and Energy Cross-Border Mutual Funds in Taiwan

温仲景(Chung-Ching Wen)

指導教授 ： 何瓊芳

中原大學/商學院/國際貿易研究所/碩士(2011年)

https://doi.org/10.6840/cycu201100393

摘要

2008年環球金融海嘯與後續美國兩次的量化寬鬆貨幣政策，讓全世界的金融與經濟體系彷彿洗了場三溫暖，而近年來，越來越多台灣投資人選擇申購境外基金來進行海外投資與分散資產組合，在金屬礦物與能源之需求面強勁與供給面不穩、以及量化寬鬆後美元持續走貶等背景下，本研究選定礦業型與能源型境外基金為研究對象，分別探討兩種類型的境外基金於金融海嘯前、後期以及兩次量化寬鬆與間隔期間，其績效與風險之情況。

本研究以重大金融事件–美國雷曼兄弟倒閉為劃分金融海嘯前後的時間點，在利用單因子變異數分析法分別對兩類基金之淨值報酬率、夏普指標與貝他係數進行前、後期之差異性分析後，更進一步探討美國兩次量化寬鬆貨幣政策時期與中間間隔期間的情況，研究量化寬鬆之金融環境對於境外基金的影響；最後，在匯兌風險的考量下，本研究計算台灣投資人的實際報酬情況是否合理，給台灣投資人作為參考。

實證結果顯示，礦業型境外基金與能源型境外基金於金融海嘯後期的夏普指標與貝他係數都較金融海嘯發生前大，並達到顯著；而美國兩次量化寬鬆政策實施期間，礦業型與能源型境外基金的淨值報酬率與夏普指標表現皆較間隔期間佳、貝他係數於間隔期間較大，惟礦業型基金的夏普指標與貝他係數在10% 的顯著水準下才會達到顯著。此外，兩檔黃金產業持有比例高的基金，其淨值報酬率、夏普指標與貝他係數都是金融海嘯發生後較大；在兩次量化寬鬆的間隔期間，淨值報酬率與夏普指標情況明顯優於其他基金，且貝他係數呈現負向，表示在市場低迷時期能帶給投資人保障。最後，台灣投資人申購境外基金將承受匯兌風險，近期美元走貶與新台幣的強力升值，使得台灣投資人的實際獲利報酬受到嚴重侵蝕，也再次凸顯匯率變動是投資境外基金時的重要考量因素。

關鍵字

能源型境外基金 ； 金融海嘯 ； 礦業型境外基金 ； 匯率風險 ； 量化寬鬆

並列摘要

Because of the outbreak of 2008 global financial tsunami and the subsequent quantitative easing policy carried out by the United States, the worldwide financial and economic systems face major changes. There are a large number of Taiwanese investors purchasing cross-border mutual funds to invest in overseas markets and the number of investors increase significantly in recent years. Besides, the U.S. dollar depreciates due to quantitative easing. This study selects mining and energy cross-border mutual funds to measure their performances and the risks for time periods before and after 2008 financial tsunami, respectively. In addition, their performances and risks between interval and twice quantitative easing are also estimated to further understand the real situations of selected mutual funds.

In order to examine funds’ performances and risks in different time periods, we use monthly data and set the bankruptcy of Lehman Brothers as the turning point for financial tsunami, dividing the whole period into two sub-periods - before financial tsunami and after financial tsunami；Later, we divide the interval and two quantitative easing periods to further understand funds’ performances and risks in these periods. One-way ANOVA is used to compare the different funds’ performances and risks through time, including net asset value, Sharpe ratio and Beta coefficient. Finally, we consider exchange rate risk by calculating the return of Taiwanese investors to examine if their investment return is reasonable or not.

The empirical results of this study are as follows：The Sharpe ratio and Beta coefficient of mining and energy cross-border mutual funds after financial tsunami are significantly larger than the period before financial tsunami；Both funds have better net asset value and Sharpe ratio as well as lower Beta coefficient in the period when twice quantitative easing policy are put into practice. Two funds of which asset allocations hold higher proportion in gold, BlackRock World Gold Fund and Investec GSF Global Gold Fund, have higher net asset value, Sharpe ratio and Beta coefficient after financial tsunami. In addition, their performances are obviously superior to any others and have negative Beta coefficient in interval period, which indicates that these two funds with low risks can provide better protection to investors. Finally, we recommend Taiwanese investors consider taking the volatility of exchange rate into account when they invest in cross-border mutual funds.

並列關鍵字

Mining cross-border mutual funds ； Quantitative easing ； Exchange rate risk ； Energy cross-border mutual funds ； Financial tsunami

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