金融環境對台灣平衡型基金績效及風險影響

Impacts of Financial Environment on the Performance and Risk of Balanced Funds in Taiwan

蔡宗翰(Chung-Han Tsai)

指導教授 ： 何瓊芳

中原大學/商學院/國際經營與貿易研究所/碩士(2012年)

https://doi.org/10.6840/cycu201201000

摘要

有鑑於近年來的就業者之低薪通膨以及高物價水準，再加上金融市場的開放及成熟，社會大眾對於投資理財的觀念逐漸重視，但要在眾多金融商品中選擇適合個人投資習性且可承受風險之投資標的困擾著許多投資人，因此市場上以專業團隊及經理人管理的共同基金成為許多投資人最夯的選擇，投資人只需付出小額手續費便可省去許多分析市場及個股的時間。雖然有專業經理人及團隊進行基金投資操作管理，投資人仍需承擔投資風險，且不同類型基金之風險差異甚大，投資人若只考慮高報酬亦可能遭受高風險而承受損失。因此本研究選擇境內平衡型基金做為研究標的，平衡型基金投資標的包括股票及債券，因追求資本穩定成長，風險對初次進入投資市場的投資人來說較能掌控。本研究涵蓋研究期間為2004年8月至2012年5月，並以2008年6月金融海嘯爆發時期做為區分點，區分為金融海嘯前與金融海嘯後，前後各包括47個月份之月資料，主要探討平衡型基金在大環境的變動下其投資報酬及風險的程度以及差異；有關報酬指標係利用夏普指數，風險值部分利用年化標準差，差異分析則使用成對母體平均數作檢定。
　　實證結果顯示，10支基金報酬中僅1支基金之夏普指數在金融海嘯前後平均數具有顯著差異，其餘9支基金皆無顯著差異。年化標準差部份，境內平衡型基金在金融海嘯前後則具有顯著差異。

關鍵字

夏普指數 ； 年化標準差 ； 金融海嘯 ； 平衡型基金

並列摘要

Due to low salary and high inflation ratio, accompanying with the open and mature of financial market in Taiwan, financial investments become more important to ordinary people than ever. But how to choose a financial product which suits investors’ habit and risk acceptanae level from a large number of financial products always confuse investors. Therefore, mutual funds became investor’s convenient choose. Mutual funds usually make proper investment by professional managers as well as teams, but investors only need to pay some handling fee, so they could save much time in analyzing market and stocks. Although with professional manager and team operating mutual funds, investors still face investment risks, in addition, different kind of mutual funds are various associated with risks. If investors just concern high return, they might face high risk and suffer lose in advance time. This research chooses Taiwan balanced funds, which invest in stocks and bonds, pursuing stable capital gains. For those new investors in financial market, mild risk is acceptable for them. This research’s time periods are divided into two sections: before financial tsunami period ( from August 2004 to June 2008 ) and after financial tsunami period ( from July 2008 to May 2012 ), with 47 monthly data for each interval to analyse and using Sharpe Index as earnings criterion, Annualized Standard Deviation as risk criterion, then comparing difference between two population means for paired samples of two separate time periods before and after the financial tsunami.
　　Empirical results show that only one of ten mutual funds’ Sharpe indices is significantly different between two separate time periods before and after financial tsunami; while results of Taiwan balanced mutual funds’ Annualized Standard Deviations show significant differen for two time periods either before and after financial tsunami, which implies a high risk level associated funds after financial tsunami.

並列關鍵字

Sharpe Index ； Annualized Standard Deviation ； Financial Tsunami ； Balanced Funds

參考文獻

郭彥宏 (2008)。國內總體經濟因素對共同基金影響之研究。中原大學國際貿易研究所碩士論文，桃園縣。

邱顯比、林清珮 (1999)。共同基金分類與基金績效持續性之研究。財務金融學　　　　　刊， 7(2)，63-88。

聶建中、李文傳、洪榆雲 (2004)。金融風暴前後對先進國家之股匯市連動關係變化影響。中華管理學報，5 (2)，19-35。

林筱鳳 (2006)。債券及債券型基金投資組合規劃分析。人文暨社會科學期刊，2(1)，51-59。

秦銘璟、余威廷、楊絲婷 (2010)。定期定額與單筆投資之績效評估—蒙地卡羅模擬分析。真理財經學報，22，67-86。