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Title: | 境內基金與境外基金之績效評估研究-以相同投資區域及產業為例 The Performance Evaluation of Onshore Funds and Offshore Funds in Taiwan:A Case Study of Funds in Lipper Global Classification |
Authors: | Hai-Lan Yang 楊海藍 |
Advisor: | 洪茂蔚 |
Keyword: | 境內基金,投信基金,境外基金,基金績效,績效評估, onshore fund,offshore fund,performance measurement,fund performance, |
Publication Year : | 2013 |
Degree: | 碩士 |
Abstract: | 本研究之目的在探討境內基金與境外基金績效之差異,以截至2013年2月28日止成立滿一年以上國內投信公司所發行投資海外之境內股票型基金,與設立於國外並經國內主管機關核准得在國內募集銷售之境外股票型基金為研究樣本。研究方法以崔納指標(Treynor)、夏普指標(Sharpe)、簡森指標(Jensen’s alpha)及資訊比率(information ratio)為評比基準,並以Lipper資料庫之投資區域及產業分類來進行績效評比。研究結論如下:
一、從所有境內外基金與其相對應MSCI指數之結果來看,一年期累積報酬率主要多以新興市場股票績效表現優於標竿指數;但以三年期來看,多數境內外基金均未能取得高於標竿指數之報酬率。 二、比較各投資區域及產業之境內與境外基金績效,以三年期來看,境內基金在大中華股票、拉丁美洲新興市場股票、天然資源股票及環球房地產股票,均有個別指標顯示其績效優於境外基金,且以亞洲新興市場股票與銀行及金融股票在所有績效評估指標上表現均較境外基金為優,其餘投資區域及產業境內基金績效表現則不如境外基金。若以五年期間來看,僅有銀行及金融股票在所有績效評估指標上表現均較境外基金為優。 三、在與相對指數的連動性上,多數投資區域及產業境外基金均較境內基金為高。在波動度上,多數均以境內基金有較低之標準差而表現較境外基金為佳。 The purpose of the thesis is to analyze the differences between the performance of onshore funds and offshore funds in Taiwan, which were invested overseas. The study chooses the equity funds which launched at least a year as samples. The study uses Sharpe ratio, Treynor index, Jensen index, and Information ratio to measure the performance of the funds, and the onshore and offshore funds are classified by Lipper Global classifications. The major conclusions are as follows: 1.Comparing to MSCI benchmarks, few of the funds performed better than the benchmarks during the 1-year study period, for example, some emerging markets funds. However, most of the funds couldn’t perform better than the benckmarks during the 3-year study period. 2.For the above measurements, the performance of the onshore funds are better than the offshore funds in the class scheme of Equity Emerging Markets Asia and Equity Sector Banks&Financial during the 3-year study period. During the 5-year study period, the onshore funds are better than the offshore funds only in the class scheme of Equity Sector Banks&Financial. 3.Most of the offshore fund performance was more sensitive to the changes related to the benchmarks than the onshore funds. However, the investment risk and volatility of the onshore funds are lower than the offshore funds. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/17638 |
Fulltext Rights: | 未授權 |
Appears in Collections: | 國際企業學系 |
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ntu-102-1.pdf Restricted Access | 1.11 MB | Adobe PDF |
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