次級房貸事件對生態基金績效影響

本文選取全球著名生態基金共9檔，並以次級房貸事件為時間切割點，第一期為次級房貸期間，擷取時間為2008年1月1日至2009年2月27日止，第二期為後次級房貸期間，擷取時間2009年3月2日至2011年12月31日止。利用基金報酬率、標準差、夏普指數等比較其投資績效，並以風險值分析，探討金融危機對於生態基金的影響。因此，本文有三項研究目的，首先評估生態基金之績效表現，其次以風險值評估各檔基金風險程度，最後探討次級房貸事件對於生態基金之影響性。研究結果發現，次級房貸期間獲利情形較後次級房貸期間低，而風險波動性也較大，因此，顯示次級房貸期間之生態基金的績效表現依然受到次級房貸事件的影響。

關鍵字

生態基金；風險值；次級房貸事件

並列摘要

This research is focused on nine Ecology funds from January 1, 2008 to December 31, 2011. The duration is divided into two periods. The first period begins from January 1, 2008 to February 27, 2009. The second periods begins from March 2, 2009 to December 31, 2011.We use of the fund rate of return, standard deviation, BETA CAPM, Sharpe ratio to compare their investment performance, and the absolute risk value - the relative risk values, historical simulation, Monte Carlo France are estimated to investigate the risk value of the Fund.In light of these concerns, this article has three purposes:(a) to assess the ecological performance of the Fund; (b) to analysis the ecological fund value at risk for explore various fund the level of risk; and (c) to investigate before and after Ecology funds investment performance on Subprime mortgage.The results show that the profit situation in the subprime mortgage is displayed over subprime mortgages to low volatility risk also larger display subprime mortgage ecological performance of the fund, are still subject to the impact of the subprime events.