頁籤選單縮合
| 題 名 | 國內組合型基金之風險與效率前緣分析=The Risk and efficient frontier Analysis In Taiwan Fund of Funds |
|---|---|
| 作 者 | 黃錦川; 朱美珍; 留秀娟; | 書刊名 | 輔仁管理評論 |
| 卷 期 | 18:2 2011.05[民100.05] |
| 頁 次 | 頁103-120 |
| 分類號 | 563.538 |
| 關鍵詞 | 組合型基金; 投資組合; 效率前緣; 變異係數; Fund of funds; Portfolio; Efficient frontier; Coefficient of variation; |
| 語 文 | 中文(Chinese) |
| 中文摘要 | 本研究運用現代投資組合理論概念,以三年期及五年期之股票型、債券型與平衡型基金,採用以短中長期時間績效之「四四三三法則」篩選樣本子基金,並以隨機方式選取五檔基金為一組投資組合與同期組合型基金進行分析。 實驗結果顯示:(1)效率前緣觀點分析,三年期股票型組合型基金在效率前緣表現較佳;(2) 變異係數觀點分析,兩者並無顯著差異。研究分析可發現,整體投資風險的標準差與投資報酬率分布情形與同類型基金相比,只有在短期或面臨市場波動較大之環境下,「股票型」組合型基金較具降低風險效果;若以長期投資來看,無論是效率性或降低風險上,組合型基金並未較同類型基金表現來的亮眼。藉由上述研究結果提供投資者做決策之重要參考依據。 |
| 英文摘要 | This thesis uses “Modern Portfolio Theory” concept, with three-and five-year period of the Stock Mutual Fund, Bond Mutual Fund, Balanced Mutual Fund, adopt the rule of 4433 to do samples of sub-fund selection rules, and randomly select a group of five mutual funds investment portfolio, Analysis with the same period fund of funds; and benchmark with Taiwan weighted index for fund of funds. Experimental results show that in the short-term or investment environment has changed dramatically, the Stock funds of funds and balanced funds of funds has an efficient frontier performance; Overall, funds of funds compared to the same type of fund portfolio or the weighted index, the performance of the efficient frontier is not ideal; Also used to measure the coefficient of variation point of view the risk reward fund of funds unit, funds of funds compared to Taiwan's weighted index, the results are consistent with risk reduction; However, the average coefficient of variation of the independent samples T test, we do not have sufficient evidence to justify the risk tolerance in the unit have a better performance. |
本系統中英文摘要資訊取自各篇刊載內容。