金融環境對台灣平衡型基金績效及風險影響

蔡宗翰

doi:10.6840/cycu201201000

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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 , Masters　　Advisor：何瓊芳　　

繁體中文 DOI： 10.6840/cycu201201000

夏普指數；年化標準差；金融海嘯；平衡型基金； Sharpe Index ； Annualized Standard Deviation ； Financial Tsunami ； Balanced Funds

Abstract │ Reference (32) │ Altmetrics

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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.

Reference ( 32 ) 〈TOP〉

李湘筠 (2010)。金融海嘯對台灣股票型及債券型基金差異性之研究。中原大學國際貿易研究所碩士論文，桃園縣。
連結：
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。
連結：
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。
連結：
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。
連結：
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。
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