Analysis of the Public Servants Insurance Fund Performance and Its Investment Policy
碩士 === 淡江大學 === 管理科學研究所碩士班 === 99 === Asset allocation of public servants insurance fund has been an affective issue of management in Taiwan. With the Fund size continuously grows, its investment has become increasingly important. The data periods are between 2004/1/1 ~ 2010/12/31 and there are seve...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
100
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| Online Access: | http://ndltd.ncl.edu.tw/handle/43790766920853993403 |
| Summary: | 碩士 === 淡江大學 === 管理科學研究所碩士班 === 99 === Asset allocation of public servants insurance fund has been an affective issue of management in Taiwan. With the Fund size continuously grows, its investment has become increasingly important. The data periods are between 2004/1/1 ~ 2010/12/31 and there are seven using yearly data. Based Brinson, Hood and Beebower framework proposed by 1986 which called BHB model in the study. We use market return to trace the policy return which called it benchmark. Based the BHB model and used benchmark we called it modified BHB model in the study. Public servants insurance fund were used to attribution it investment performance to each of a number of decisions and employed regression analysis under the two models. The analysis results to whatever the model used, active investment activities may not be able to provide positive contributions. Our analysis shows that investment policy explains 0 percent of the variability of actual portfolio return in the modified BHB model, indicating a accurate predictive power of economic development and prudent investment policy are important.
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