The Performance Evaluation of Commodity Trading Advisor in Taiwan

• Main Authors: Kuan,Yu-Hao, 關又豪
• Other Authors: Tsai, Wei-Pen
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/57184324735928373308

碩士 === 輔仁大學 === 金融與國際企業學系金融碩士在職專班 === 102 === Due to the relative short history of futures funds in Taiwan and the difference in the methods to evaluate the performance of such funds with absolute returns and the conventional mutual funds with relative returns as the evaluation basis, no previous literature has ever discussed the performance evaluation of Taiwan’s futures fund. This paper attempts to provide a performance evaluation indicator in the concept of absolute returns to assess four futures funds in Taiwan. Meanwhile, with reference to Jensen index, this paper examines the relationship between the actual performance of future funds and the returns of the underlying spot commodities to understand whether such funds advertising the investment target of absolute returns have the investment performance of absolute returns. Finally, the objective analysis results can indicate whether the actual performance of futures funds in Taiwan have the performance target of absolute returns as previously advertised. The empirical conclusions of this study are as follows. First, the rate of returns (A index) of the four futures funds since establishment is: Cathay Man AHL portfolio is -12.10 % (-28.68%), Yuanta Commodity Index is 0.67% (-9.05%), Yuanta Gold Futures is -14.30% (-41.34%) and Yuanta Diverse Strategy is -13.24% (-69.63%). Accordingly, the investment performance of the four futures funds since establishment is not good and does not meet the expectation of the investment performance of funds with absolute returns. In addition, the performance is inferior to the performance of funds with relative returns or the underlying spot commodities performance. According to Jensen performance index evaluation results, it was found that net asset values of Yuanta Commodity Index =0.6954 and Yuanta Gold Futures =1.0687 have a positive linear correlation with the spot commodities performance. Therefore, the performance is not consistent with the operation mode of funds with absolute returns. Instead, the performance is similar to the operation mode of the traditional funds. Although there is no clear understanding of the main cause of the poor performance of futures funds, the programed trading operations and technological problems of financial engineering of funds should be further studied. If the competent authorities can fully disclose the information of the relevant operations of futures funds, it will benefit investors and scholars to carry out further evaluation and research.