The performance evaluation of domestic open-end mutual fund and portfolio construction analysis

• Main Authors: LEE HSUEH JUNG, 李雪容
• Other Authors: Yen Shing Cheng;Te-Chung Hu
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/55827700524256929197

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 97 === The current mutual fund of Taiwan is developed rapidly, investors face the strange and changeful financial market、miscellaneous kinds and diversified mutual fund, The valuation and choice of its fund performance affect each investor and mrvhsnidm legal person investment’s object and performance. Although there are very good mrvhsnidm of the fund evaluation on the market,wheater the performance of the fund can last or not.If the affiliated managesr of the fund have the abilities of select stocks and select times when they face the trend in the future,it has been disputed widely; And investors construct the problem of fund investment combination, how to make choice to achieve anticipated utility between High-risk high-reward and low-risk low-paid. This studies is divided into four respects to discuss : First, Spearman rank-order correlation, Performance dichotomy test Mutual funds paid sustained performance. Second, usa Fund Performance Measures assessments and views whether the various types of domestic mutual funds performance go beyond Taiwan stock exchange weighted stock price index. Third, Treynor and Mazuy model test fund managers ability while selecting that Treynor and Mazuy model test the ability of select times. Fourth, choose the goal of the fund, and construct the fund investment combination. Empirical results use Spearman rank-order correlation, Performance dichotomy to go on fund performance continuing test Verification by the one-year test results of short-term sustainability of the fund performance　continuing　is not significantly, accumulated the performance of the remuneration and relatively showed constantly in 5. The investment performance of domestic common fund has not been better than the deep bid performance as regards whole, depending on the classification, the stock type, other relative types of rate of returns of High-tech stock fund are high, risk other type than high to accord with risky high remuneration theory also, is it construct Treynor and Mazuy model assay with two characteristic line of type fund base speak to people ability when selecting to build, showing ability domestically alone when a few fund managers select, another 20% shows its affiliated fund manager does not not only have advantage information, will also carry on the investment tactics in the opposite direction with the whole market.