The Performance Analysis of Random Portfolio and Mutual Funds

• Main Authors: Yu-Bai Huang, 黃宇白
• Other Authors: Shin-Hung Lin
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/02967123949085548230

碩士 === 國立雲林科技大學 === 財務金融系 === 102 === This study examines the performance and differences between portfolios and equity funds. The portfolios are constructed by randomly selected 100 companies which have a better rate of return in the past. We use rate of return, standard deviation, Sharpe ratio and Jensen index to assess the performance of equity funds and portfolios. The investment periods of a year, two years and three years to investigate the performance of portfolios and each fund from January 1999 to December 2013. By empirical analysis, we compare the equal-weighted method, value-weighted method and MV model. We found that regardless of the investment period, for the rate of return, the best portfolio is MV model. For the standard deviation, the best portfolio is an equal-weighted method. For the Sharp ratio, it is the value-weighted method. And for the Jensen index, it is the MV model. To make a comparison between performance of funds and portfolios, we found that the longer the investment period, portfolios are greater than a good probability sample funds for the rate of return, Sharp ratio and Jensen index. But the standard deviation, the volatility of the portfolio returns most of the sample is greater than the level of the fund. We hope to expose the performance of portfolios through historical data to provide investment strategies to investors' reference.