The Analysis for Investing Strategy Performance of Master-Feeder Funds

• Main Authors: CHANG, SHIH-CHIEH, 張仕杰
• Other Authors: KAO, MING-SUNG
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/77415572977474894922

碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 104 === This paper conducts correlation tests after screening investment targets of offshore fund which are provided by Fidelity official platform of spreadsheet for simulation. Subsequently, the funds are divided into distinct investment portfolios according to the relevance of Master-Feeder funds. In addition, the backtests of the funds’ performance are executed with the platform. The study period is from 2000 to 2015 and I backtest the performance of the portfolios with high and low relevance based on the different investment term (2 years and 5 years), stop-gain point, periodic variable investment in contrary strategy. This paper is attempting to figure out if those investment strategies can assist the investors to select Parent fund and Sub-fund. The result of this reveals that the average rate of return of Master-Feeder funds with lower relevance is more favourable than the one with higher relevance. Besides, the risk of portfolio could be decreased by employing the strategy of stop-gain point which, however, will result in lower performance. In order to acquire superior performance, it should take aggressive contrary investment strategy.