| Summary: | 碩士 === 國立中山大學 === 企業管理學系 === 87 === [Abstract]
Since Markowitz(1952) published his Mean-variance Model to evaluate mutual funds'' performance and risk, many other scholars presented their opinions about portfolio performance evaluation. But most of the scholars'' studies focus on parts of funds investment concepts, e.g. performance evaluation, performance persistency, the ability of fund manager''s timing & selection, … etc. The other hand, investment consultant always tell investors to operate their portfolio in a short-term view, … etc. The investors get so many information , but cannot make a decision to choose proper funds for his own portfolio , that is why this paper to be written ─ In an investor''s view to find a easy way to compose his own portfolio , and has an acceptable performance .
Every mutual fund has its own characteristics , and can separate to two catalogs ─ apparent characteristics , such as its investment area , investment assets, … ( fixed, cannot change without the fund investors'' agreements ) , and recessive characteristics , such as its manager , stocks it held , …( changeable, ambiguous, … ) . This paper classify funds by the apparent characteristics of funds, using pure return and Sharpe index to evaluate funds performance, compare their performance at different evaluation periods, and study the performance persistence of funds, as factors to select proper funds of forming portfolio criteria. Being an investor in Taiwan, include local funds and overseas funds as his portfolio objects selection boundary, to analysis the relationships between fund performance and funds'' investment area, country, sector, assets, … etc., Then simplify invest strategy and arrange the ratios of each fund in the portfolio, and wish to get an acceptable performance.
The major finds are (1) The factors affect funds performance are area, assets, assets, currency & company. (2) Funds have performance persistence, but must use it carefully. (3) Classification can simplify decision-making process, but it will lower portfolio performance. (4) Extend studying period make less reverse situation of performance persistence. (5) More funds in the portfolio make better performance. (6) Using pure return select members of portfolio is easy and useful. (7) More weight of first few selected funds in the portfolio make better performance.
To get an acceptable performance with minimal information cost, easy top_down method to choose proper funds, to arrange invest ratio on each funds convincely, to compose ones portfolio easily, to inspect his portfolio at a proper interval, then do adjustment if it needs. This is every investors'' dreams, the conclusions of this paper may give these investors some helpful directions.
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