美元、能源與黃金相關基金投資績效之探討

Abstract

本文研究為2010至2013年期間，利用隨機優勢理論以及拔靴法來探討美元、能源與黃金相關基金之投資績效。本文在第一部分以隨機優勢理論檢測，一階結果顯示重視投資報酬率之風險愛好者能選擇能源相關基金作為其投資標的，但在加入投資者風險考量因素後，二階及三階結果顯示美元相關基金相對優於能源相關基金以及黃金相關基金，投資者因選擇美元相關基金作為其投資標的。在第二部分拔靴法分析結果顯示，基金經理人更換次數、成立時間以及年化標準差對於基金之績效表現是顯著的。綜合以上，美元相關基金為具有報酬穩定的投資工具，風險偏好保守的投資者可依賴美元相關基金提供穩定的收益，並可作為分散投資組合風險的途徑。且投資者在選擇基金時應選擇經理人更換次數少、成立時間較久以及年化標準差較小之共同基金。

This paper analyzes the investment performance of US dollar, energy and gold-related funds from the period of 2010 to 2013, by using the Stochastic Dominance theory and Bootstrap. In the first part of this article, using the stochastic dominance theory to analyze, First-order stochastic dominance showed that investor who only care return and risk lovers can select energy related funds as part of its investment portfolio. But after the addition considerations of investor risk, second and third order stochastic dominance showed that US dollar related funds is relatively superior to energy related funds and gold related funds, as the result investors should choose US dollar related funds as its investment portfolio. According to bootstrap in the second part of this article, frequency of funds manager replacements, inception of date and the annualized standard deviation are significant to the investment performance. Based on the above, the US dollar related funds provided stable return, and for the investors who are risk aversion can choose US dollar related funds and as a way to diversify investment portfolio risk. Investors tend to choose the funds with lower changes frequency of the managers, longer history, and smaller annualized standard deviations.