The Composite Index of Fund Performance --Factor Analysis Method

• Main Authors: Ching-yi Lee, 李靜怡
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/696465

碩士 === 國立中山大學 === 財務管理學系研究所 === 95 === 　　The motivation of this research is to construct a Composite Index of funds which can help investors to choose funds with better “future” performance. 　　The Composite Index in this thesis includes 14 kinds of indexes, such as Sharpe, Treynor, Sortino, and etc. Each kind of index is calculated by 4 different time lengths, they are 1 month, 3 months, 6 months, and 1 year. Therefore, there are 56 indexes in the Composite Index (CI). 　　Factor analysis method was used to analyze fund performance from 1998/01 to 2000/12, and the perfect weight combination to make 56 indexes become one CI was found out. In order to prove the performance of the CI in selecting funds, funds were distributed into 5 groups by their Composite Index scores every month. Therefore, we had group A to E from high CI score to low CI score. We calculated these funds’ returns in the next month, and cumulated them by group from 2001/01 to 2005/12. After calculating, the cumulative returns of group A are 74.47% higher than group E, annual returns are 11.99%, and Sharpe index is 1.41. It shows that Composite Index can really distinguish the future, at least in one month, performance of stock funds. Investors are recommended to change their fund portfolios by latest CI scores once a month. Therefore, the Composite Index is more suitable for fund-of-fund manager, because their transaction costs are lower. 　　This thesis was awarded by “Industry-University Cooperative Research Project” of National Science Council, and is going to be developed in PRISS system, a financial analysis software of Folion Financial Technology Co., Ltd. Therefore, a more systemized, programmed, and efficient environment for this kind of research is expectable.