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研究生:蘇保丞
研究生(外文):Su. Bao-chen
論文名稱:LPM(LowerPartialMoment)在台灣地區共同基金績效評估的應用
指導教授:林允永林允永引用關係
學位類別:碩士
校院名稱:淡江大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2001
畢業學年度:89
語文別:中文
論文頁數:87
中文關鍵詞:左尾部分動差損失風險績效評估
外文關鍵詞:Lower Partial MomentDownside RiskSharpe ratioJensen Index
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共同基金是一種分散風險的投資工具,在傳統的績效評估中,報酬率與標準差是評估的重要因素,但對於基金本身的投資風格及偏度並沒有太多著墨,本文試圖引進損失風險(Downside Risk)的觀念,以左尾部分動差(Lower Partial Moment;LPM)修正傳統的Sharpe ratio與Jensen Index,藉由投資者風險偏好值的設定,針對台灣地區八十四年七月至八十九年七月的股票型開放式基金(不含店頭市場型基金)與債券型基金進行績效評估;首先在各個子樣本集的績效分析中,一般而言,基金型態的偏度與投資標的和持股特性有關,開放型基金偏度大致為負,負偏程度愈大,績效就愈差,但並無必然關係,債券型基金的偏度大部分為正,但在長期樣本中正負偏的程度有平衡的趨勢,通常正偏型態的基金在績效排名中維持較好的評等;而在基金長短期績效分析中,各類型表現優良的基金在整體基金排名中不一定維持優勢,另外傳統的績效評估對近一年的債券型基金給予優良的評價,但在考慮投資者的風險偏好後,其績效表現就沒那麼突出,原因乃是因為債券型基金與股票型基金持股特性本來就不同,因此以傳統的績效評估方法沒有比較基礎,但若以左尾部分動差的觀點來看,將這些基金依照風險等級給定風險偏好值,再計算其績效,雖不能說完備,但在考量偏度及風險偏好後,其評估的合理性與接受度對於投資人,都是較客觀的評判標準。最後在證券投資信託公司發行基金之績效比較中,隨著基金市場的日趨成熟,老證券投資信託公司想要在激烈的競爭環境中維持以往的績效不像以往般容易,因此證券投資信託公司若想要維持績效,對於市況的分析不但要謹慎,同時也要針對經濟趨勢及產業導向隨時做調整,去設計一個能吸引投資大眾資金的基金,才能免於被合併的命運。
Mutual Fund is a kind of tool used to diversify risks. The rate of return and the standard deviation are important factors in the traditional performance evaluation. However it did not take into account for the investment style and skewness of the fund itself.
In this thesis we apply the concept of downside risk to adjust the traditional Sharpe ratio and Jensen Index in Lower Partial Moment. By setting the value of investor’s risk preference, we will perform an evaluation on the performance of Taiwanese open stock fund (it does not include the of over the counter funds) and bond. Our sample period extends from July 1995 to July 2000.
The analysis of each subset indicates the fund skewness and the target of investment are correlated to the stock holding. In general, the skewness of the open fund is almost always negative. Usually the more negative the skewness it is, the poorer the performance evaluation. Conversely, the skewness of the bond fund is also almost always positive, however in the long run, there is an equilibrium trend between the positive and negative skewness. The evaluation of the positive skewness on the fund generally has better performance. However the overall performance of a good rating fund in each class is not always true. The traditional performance method generally made the good credit rating to the bond fund recognized in less than one year. Nevertheless after considering the risk preference of investors, the outcome usually turns out to be the opposite. One of the possible reasons is the different holding in fund of stock and fund of bond. According to the view of Lower Partial Moment, it will be more reasonable for investors to find out their objectives and calculate the fund performance after reviewing their possible risk level. Even though it does not guarantee the greatest rate of return, yet, it is the best hand guide for conservative investors.
Today the increasing competitiveness in the investment trust market has threatened many long-established companies. If these companies wish to survive and maintain their performances, they will need to pay more attention to the market itself and be ready to make adjustment at anytime. Thus it is easy to foresee that the best resolution for these long established companies to shelter themselves from being merged or acquired by other companies is to attract more investments by coming up with attractive fund portfolios.
第一章緒論…………………...………………………………….…1.
第一節 研究動機………………………………………………………1.
第二節 研究目的………………………………………………………3.
第三節 研究架構………………………………………………………3.
第二章文獻探討…….………….…………………….…………….4.
第一節 探討基金型態分類的文獻….………………………………….4.
第二節 以平均數-變異數效率性建立績效評估指標的文獻….………5.
第三節 有關損失風險的文獻.………………………………………7.
第三章研究設計………………….…………………….………….13.
第一節 研究範圍與期間…………………….………………………13.
第二節 研究架構……………………………….……………………14.
第三節 研究工具………………………………….…………………15.
第四節 研究限制…………………………………….………………21.
第四章 實證結果與分析……………………………………………….23.
第一節 資料集基本績效….…………………………………………23.
第二節 長短期績效排名改變分析….………………………………32.
第三節 證券投資信託公司各年基金績效分析….…………………35.
第五章 結論…………………………………………………………….36.
第一節 結論.…………………………………………………………36.
第二節 建議.…………………………………………………………40.
參考文獻….……………………………………….………….……….42.
附錄………….………………………………………………..……….73.
中文部分
邱顯比,“基金績效評估之模擬研究”,台大管理論叢,第五卷第二期, 民國八十三年七月。
林翰儒,SAS應用程式之資料處理,松崗電腦圖書資料股份有限公司,民 國八十二年。
貢培萱,“台灣地區共同基金型態之事後分類與績效評估”,國立台灣大學財務金融研究所未出版碩士論文,民國八十五年六月。
陳炳宏,“共同基金投資組合績效之研究”,國立政治大學企業管理學所未出版碩士論文,民國八十七年六月。
黃俊英,SAS精析與實例,初版,華泰書局,民國八十三年。
張智星,MATLAB程式設計與應用,清蔚科技初版事業部,民國八十九年。
英文部分
Arrington George R., “Chasing Performance Through Style Drift, ” Journal of Investing(Summer, 2000), pp13-17.
Bawa, Vijay S., “Optimal Rules for Ordering Uncertain Prospects, ” Journal of Financial Economics, 2(1)(1975), pp95-121.
Frederik Johansson, Michael J. Seiler, and Mikael Tjarnberg, “Measuring Downside Portfolio Risk, ” Journal of Portfolio Management(Fall, 1999), pp96-107.
Fishburn, Peter C. “Mean-Risk Analysis with Risk Associated With Below-Target Returns, ” American Economic Review, 67(2)(1977), pp116-126.
Grootveld Henk, Winfried Hallerbach, “Variance vs downside risk:Is there really that much difference?”European Journal of Operational Research(114, 1999) , pp304-319.
Kochman Ladd M., “Portfolio Evaluation, Downside Risk and Anomaly, ”American Business Review(June, 1999), pp53-58.
Laurent Cantaluppi and Ruedi Hug, “Efficiency Ratio:A New Methodology for Performance Measurement, ” Journal of Investing(Summer, 2000), pp19-25.
Leland Hayne E., “Beyond Mean-Variance:Performance Measurement in a Nonsymmetrical World, ”Association for Investment and Research(January, 1999), pp27-35.
Lucas Andre and Pieter Klaassen, “Extreme Returns, Downside Risk, and Optimal Asset Allocation, ” Journal of Portfolio Management(Fall, 1998), pp71-79.
Nawrocki David N., “A Brief History of Downside Risk Measures, ” Journal of Investing(Fall, 1999), pp9-25.
Sharpe, William, F., “The Sharpe ratio, ” Journal of Portfolio Management(Fall, 1994), pp49-56.
Wander Brett H., “The Volatility of Relative Performance as a Measure of Risk, ” Journal of Investing(Summer, 2000), pp39-44.
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