請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22606完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李存修(Tsun Siou Lee) | |
| dc.contributor.author | Wen-Ching Chen | en |
| dc.contributor.author | 陳雯卿 | zh_TW |
| dc.date.accessioned | 2021-06-08T04:22:08Z | - |
| dc.date.copyright | 2010-07-20 | |
| dc.date.issued | 2010 | |
| dc.date.submitted | 2010-07-06 | |
| dc.identifier.citation | English Reference:
Abrams, R., Bhaduri, R., and Flores, L. (2009) 'How managed futures can help portfolios”, Pensions & Investments, Vol 37, Issue 12, p25 Anuj, G. and M. James (2009) “Returns mark out hedge fund star achievers”, Financial Times, Jan 13, 2009, p15 Center for International Securities and Derivatives Markets (2006), “The Benefits of Managed Futures: 2006 Update” Collins, D. (2008). 'Is this managed futures' time to shine?' Futures, Vol 37, Issue 12, pp62-65 Collins, D. (2007). 'John Kelly: Taking managed futures to the masses.' Futures, Vol 36, Issue14, pp38-39 Dave, L. (2009). 'Managed Futures Becoming Tougher Sell.' Money Management Executive, Vol 17, Issue 39, p1 Edwards, F. R. and J. Liew (1999). 'Managed commodity funds.' The Journal of Futures Markets, Vol 19, Issue 4, pp.377-411 Franklin, R. E. and M. P. James (1996). 'DO MANAGED FUTURES MAKE GOOD INVESTMENTS?' The Journal of Futures Markets, Vol 16, Issue 5, pp.475-517 Franklin, R. E. and L. Jimmy (1999). 'Hedge funds versus managed futures as asset classes.' Journal of Derivatives, Vol 6, Issue 4, pp.45-64 Greg, N. G. and C. Yao (2006). 'Evaluation of Commodity Trading Advisors using fixed and variable and benchmark models.' Annals of Operations Research, Vol 145, Issue1, pp.183-200. Gregory, S. H. (1997). 'Enhanced return, less volatility make managed futures attractive.' Trusts & Estates, Vol 136, Issue 4, pp10-12 Harry, M. K. (2005). 'Integrating Hedge Funds into the Traditional Portfolio.' The Journal of Wealth Management, Vol 7, Issue 4, pp.51-57 Heather, D. (2009). “Investors look to manage their futures”. Financial Times, Dec 7, 2009, P9 Irwin, S. H. and S. Yoshimaru (1999). 'Managed futures, positive feedback t rading, and futures price volatility.' The Journal of Futures Markets, Vol 19, Issue 7. Pp.759-776 Kat, H. M.( (2004), “Managed Futures and Hedge Funds: A Match Made in Heaven”, Journal of Investment Management, Vol 2, Issue 1, pp. 1-9. Lajbcygier, P. and E. Shen (2008). 'Incentives for asset growth: The different causes of monthly in-flows and out-flows of surviving managed futures funds.' Journal of Derivatives & Hedge Funds, Vol 13, Issue 4, pp.287-303. Mackey, S. P. (2004). “Risk exposure and survival of individual hedge funds and managed futures funds”. United States -- Massachusetts, University of Massachusetts Amherst. Pauline, P. L. (2004). 'Look Beyond the Styles of Commodity Trading Advisors.' The Journal of Wealth Management, Vol 7, Issue 2, pp.63-67 Scott, M. (2006). 'Estimating Risk Premiums of Individual Hedge Funds.' The Journal of Alternative Investments, Vol 8, Issue 4, pp.10-18 Tee, K. (2009). 'Is active currency management effective for international equity portfolios involving managed futures and hedge funds?' Journal of Derivatives & Hedge Funds, Vol 15, Issue 2, pp.137-148 Thomas, S. and S. Richard (1997). “Managed Futures, Hedge Fund and Mutual Fund Return Estimation: A Multi-Factor Approach”, University of Massachusetts Williamson, C. (2009). 'Growth spurt forecast for managed futures.' Pensions & Investments, Vol 37, Issue 25, pp.3-5 Chinese Reference: 葉芳柏與葉芝宇 (2007),財務工程－基礎理論與Excel實務模擬(第二版) 章錦正 (2010), “期貨信託基金之風險評析與比較”, 證券暨期貨月刊, 第二十八卷, 第二期, 頁5-21 古坤榮 (2010), “國際管理期貨基金業務經營模式與國內期貨信託基金業務差異初探”, 證券暨期貨月刊, 第二十八卷, 第二期, 頁23-35 程國榮 (2010), “期貨信託基金業務發展概況介紹”, 證券暨期貨月刊, 第二十八卷, 第二期, 頁37-44 黃怡中 (2010), “管理期貨在資產配置的角色與發展”, 期貨人, 第三十三期, 頁44-53 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22606 | - |
| dc.description.abstract | The purpose of this thesis is to evaluate managed futures performance and investigate the impact on asset allocation. The first part gives brief introduction to managed futures funds. The characteristics, and related literature reviews of managed futures funds are provided in chapter 2. Chapter 3 summarizes the main strategies, style performance analysis and a case study to gain further understandings. Following to that, chapter 4 focuses on three parts:
(1) Benefits of including managed futures into portfolios in early research: this part provide a basic examination of impact on different asset portfolios. The results indicated that efficient frontiers are enhanced as risk-adjusted investment opportunities expand thanks to the low correlation between managed futures and stock, bond, and hedge fund indices. (2) Using mathematic methods to find out the minimum variance portfolio (MVP), the global minimum variance portfolio (GMVP), and the best allocation of risk-free and risky asset portfolio. (3) The third part utilizes the mathematic formulas to find out the MVP, GMVP of different asset portfolios and provides performance comparisons. The results are consistent with early research: managed futures funds can help to improve portfolio performances by lowering the overall portfolio volatility. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T04:22:08Z (GMT). No. of bitstreams: 1 ntu-99-R97749010-1.pdf: 862440 bytes, checksum: b34cb3011502aee1fedb7d3fdd3ccbe7 (MD5) Previous issue date: 2010 | en |
| dc.description.tableofcontents | TABLE OF CONTENTS
THESIS ORAL DEFENSE COMMITTEE CERTIFICATION ACKNOWLEDGEMENTS i ABSTRACT ii TABLE OF CONTENTS iii LIST OF TABLES v LIST OF FIGURES vii Chapter 1 INTRODUCTION 1 Chapter 2 MANAGED FUTURES FUNDS OVERVIEW 4 2.1 History 4 2.2 Characteristics 10 2.3 Literature Review 11 Chapter 3 STYLE ANALYSIS AND PERFORMANCE EVALUATION: MANAGED FUTURES FUNDS 19 3.1 Style Analysis 19 3.2 Performance Analysis and Evaluation 23 3.3 Case study: Man AHL Diversified Futures Ltd 31 Chapter 4 MANAGED FUTURES FUNDS IMPACT ON PORTFOLIO MANAGEMENT 35 4.1 Benefits of Including Managed Futures into Portfolios in Early Research 35 4.2 Mathematic Methods to Build up A Portfolio 37 4.3 Portfolio Building and Performance Analysis 44 4.4 Conclusion 57 Chapter 5 SUMMARY 59 ENGLISH REFERENCE 62 CHINESE REFERENCE 64 APPENDICES 65 | |
| dc.language.iso | en | |
| dc.subject | 管理期貨基金 | zh_TW |
| dc.subject | Managed Futures Funds | en |
| dc.title | 另類投資:管理期貨基金之研究與其對資產管理之影響 | zh_TW |
| dc.title | Alternative Investment: Managed Futures Funds Analysis and The Impact on Portfolio Management | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 邱顯比,許培基 | |
| dc.subject.keyword | 管理期貨基金, | zh_TW |
| dc.subject.keyword | Managed Futures Funds, | en |
| dc.relation.page | 72 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2010-07-06 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 企業管理碩士專班 | zh_TW |
| 顯示於系所單位： | 管理學院企業管理專班(Global MBA) | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-99-1.pdf 未授權公開取用 | 842.23 kB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。