A Study of the Performance Evaluation of Taiwan Balanced Mutual Fund- Application of Stochastic Production Frontier Approach

• Main Authors: Hu Lichuan, 胡麗娟
• Other Authors: Kao Huchuan
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/94269944545226293070

碩士 === 嶺東科技大學 === 財務金融研究所 === 99 === The balanced fund is one kind has both the investment stock and the bond mutual fund, is a steadier investment tool. This article will aim at lasting period surpasses five year (2005-2009) 32 grade of balanced fund, the use stochastic production boundary law calculates an effectiveness the achievements appraisal target. Take the direct exchange expense, the selling expenses, the progressive increase buy up the cycling rate, the progressive increase to sell the cycling rate as the investment variables, 4.1 uses resembles the law using Coelli (1996) FRONTIER the Version to estimate the hypothesis most probably various grade of funds. And joins the risk the concept, take Sharpe, Treynor and the Jensenn three big targets as delivers the variable. The real diagnosis result first discovered that Sharpe Index - the TE average performance value is 0.6565; Jensen Index - the TE average performance value is 0.8995; Treynor Index - the TE average performance value is 0.4946, indicated that Jensen Index most has the efficiency in the stochastic production boundary law. The next discovery is appraised the fund, in 2008 for lowest, expression fund production efficiency global finance Tsunami influence. Finally discovered that various funds and do not have the too big difference in the primitive achievements and in the TE place, both have highly related, therefore, TE is also achievements of appraisal a reference value.