外幣保本基金績效之研究-以永豐南非幣2021保本基金為例

本研究藉由拆解永豐南非幣2021保本基金之結構，探討基金發行公司在因應產業環境變化與市場需求下，如何利用保本的訴求來吸引投資人資金的投入，而實際操作績效是否真如其名保本，為投資人帶來更穩定且優良的投資報酬。本研究樣本期間自2014年5月8日至2014年9月30日，利用其基金淨值、債券價格及台幣、美金與南非幣之交叉匯率等資料，參考報酬率、標準差、Beta值、夏普值、崔納指標與T檢定等績效歸因研究，並採用T值檢定計算檢驗本基金績效與總報酬，經實證分析後，歸納結論如下：一、在樣本期間計算出之結果為，基金淨值報酬僅受債券價格與匯率變動之影響，而無其他因素可以創造異常報酬。二、外幣計價之債券型保本基金，投資人持有至基金到期日之總報酬為可確定，但因本研究採樣期間僅約為5個月，故至基金到期日，匯率因素為無法確定之匯兌損失或收益。

關鍵字

外幣計價；保本基金；基金績效； T值檢定

並列摘要

This study by dismantling SinoPac ZAR 2021 Principal Protected Fund is to discuss the Fund issued by SinoPac in response to under industrial environmental changes and market demand. The niche business of investment trust is to take advantage of preserving the appeal to attract investment in investor funds, and enhance returns for investors to bring more stability of promotion investment funds bussiness. During the study sample periods from May 8, 2014 to September 30, 2014, this study uses its NAV, bond prices and the exchange rate of Taiwan dollar to exchange the US dollar and the South African currency, and then calculate its fund performance and total compensation, explaine the empirical test. We then summarize the conclusions as follows: 1﹒The results of the sample period is calculated, the fund net remuneration is affected only by changes in bond prices and exchange rates, and no other factors that can create extra returns. 2﹒The bond denominated in foreign currencies of the Capital Preservation Fund, the Fund's total compensation held by investment to the maturity date is to be determined. However, the research could not determine individually the losses or gains of foreign exchange during the holding maturity date.

並列關鍵字

Foreign currency ； the Capital Preservation Fund ； Fund Performance

參考文獻

洪茂蔚(1998)，「財務管理」，台北：雙葉書廊

黃文璋(2003)，「數理統計第八章」，台北：華泰文化事業股份有限公司

徐燕山(2004)，「投資學」，台北：三民書局

洪茂蔚(1996)，「雙率風險管理」，台北：華泰

Banz, Rolf (1981) “The Relationxhip between Return and Market Value of

國際替代計量

外幣保本基金績效之研究-以永豐南非幣2021保本基金為例

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