| Summary: | 碩士 === 國立中山大學 === 管理學院高階經營碩士學程在職專班 === 107 === Due to the low interest rate era, the earning from the interest no longer beat the inflation rate, so diversified financial products have been developed. Among many investment tools, the mutual fund becomes a well-known tool to Taiwan investors since mutual funds have many advantages, such as dispersion, variety, and low entry level. After the first ETF, Bora Taiwan Excellence 50 Fund, was launched in Taiwan in 2003, the ETF has become more and more popular to Taiwan investors. With the internationalization of global capital markets, Taiwan investors can purchase foreign financial products through multi-channels, like banks and securities companies. In recent years, the number of investors who purchase overseas stocks and ETFs through the re-delegation of securities companies (entrust to buy and sell foreign securities business) have increased by more than 1.08 trillion NTD as of June 2018. This indicates that the concept of the asset allocation globally is acceptable to Taiwan investors. An annual growth rate of 64%, reaching 452.1 billion on the overseas index stock funds (Exchange Traded Funds) from June 2017 to June 2018 shows the same finding. Therefore, the overseas index stock funds (Exchange Traded Funds) becomes a new option to investors who seeks stability for the return on the investment.
This study is to develop an appropriated metrics to evaluate long-term performance and explore the impact of the transaction costs and the returns based on overseas active equity funds in the Taiwan market and the Vanguard Group Index Trade Funds (Exchange Traded Funds). The first part is focused on the performance evaluation from the analysis of the average returns and Sharpe indicator, Treynor indicator, and Jensen’s α. The second part is to apply the same analystic model by adding the transaction costs.
This study is time consuming on collecting and cleaning up the historical data. The main findings are as follows:
1. Active Equity Funds and Index Equity Funds have significant differences in transaction costs
2. Transaction costs and performance are negatively correlated
3. The performance by adding transaction costs between Active Equity Funds and Index Equity Funds is significantly different
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