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博碩士論文 etd-0130108-105610 詳細資訊
Title page for etd-0130108-105610
論文名稱
Title
海外股票型基金績效綜合指標--因素分析法
The Composite Index of Offshore and International Fund Performance -- Factor Analysis Method
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
51
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2008-01-28
繳交日期
Date of Submission
2008-01-30
關鍵字
Keywords
因素分析法、綜合指標、績效持續性
factor analysis, composite index, performance persistence
統計
Statistics
本論文已被瀏覽 5736 次,被下載 42
The thesis/dissertation has been browsed 5736 times, has been downloaded 42 times.
中文摘要
none
Abstract
The trend in personal finance and retirement planning has changed, more and more investors have focused on the popular issue of wealth allocation across asset classes and specific investments. As a result, mutual fund investment companies have become an increasingly effective conduit for current income generation, capital appreciation, and the benefits derived through diversification. As time goes by, the amount of offshore funds introduced in Taiwan is increasing. We investors always want to ask which one could perform well and bring the investors a good return based on the past performance information.
Thus the purpose of this paper is to give an overview and performance persistence of the largely unexploited Taiwan offshore and international American, European, Japanese, and Global equity mutual funds compared to Taiwan equity mutual funds and the Information Technology equity mutual funds. To do this, we evaluate fund performance applied for the Composite Index to cooperate the highly cooperate the colinearity problem of the performance indices which is introduced from Lee (2007) and Chou (2007).
We focus on 6 biggest off-shore mutual fund market in Taiwan which are American, European, Global, Taiwan, Japan and Information Technology. All the performance information and fund characteristic are from Lipper. We restrict our sample to pure equity funds with at least 36 months of data. Performance details and specific fund characteristics are collected by the end of 2006. We develop the Composite Index component weights by factor analysis from January 2003 through December 2004 and rank the funds by the Composite Index score to exam the performance persistence through January 2005 through 2006. All returns are almost in local currency.
We have the conclusion which all the difference in performance of the top 10% and the bottom 10% in each market is significant from zero except for the Information Technology industry. We find the effect of the Composite Index would depend on the maturity, variety, and the characteristic of the market. The more mature the market is, the less significant the performance between top deciles and bottom deciles, American mutual fund is the best supportive evidence. All the return-based indices are not adding value to select funds. Though the performance of the Composite Index is better than the other index, the raw annual return is not so high to be applied. As to the variety, the different categories and the range of the distribution of monthly return in the market have the effect to the significance of the difference in performance between the top 10% and the bottom 10%, markets of European, Global, Japan, and Taiwan are the best explanations. Finally, the higher the risk is the better the fund perform is the one special rule selecting fund in the market of Information Technology.
目次 Table of Contents
1. Introduction 1
2. Literature review 4
2.1 Performance Persistence 4
2.2 Return-Based Performance Index 5
2.2.1 Return Index 5
2.2.2 Risk Index 5
2.2.3 Risk-Adjusted Index 6
2.2.4 Advanced Risk-Adjusted Index 7
2.3 Composite Index 7
3. Data and methodology 10
3.1 Data description 10
3.2 Factor Analysis of determination period 12
3.2.1 Specifying the Factor Matrix 12
3.2.2 Selecting a Rotational Method 14
3.2.3 Interpreting the Rotated Factor Matrix 14
3.3 Composite Index of Evaluation Period 16
3.3.1 Index Variables Ranking and Scoring 16
3.3.2 The Composite Index Score calculating 16
3.3.3 The Persistence Performance Examining 16
4. Results 17
4.1 Factor Analysis results 17
4.2 Composite Index Performance 21
4.3 Specification and robustness tests 26
5. Summary and conclusions 29
6. References 30

Table 3. 1 The Equity mutual fund Classes of America and Europe 10
Table 3. 2 Sample size of each market 12
Table 3. 3 the average ratio of four one-year performance indices 13
Table 3. 4 Guidelines for Indentifying Significnat Factor Loadings Based on Sample Size 15
Table 3. 5 General Relative Grouping Method 16
Table 4. 1 Eigenvalues for Six Market 17
Table 4. 2 Name for the factor and show the contains 19
Table 4. 3 Example of frequency calculation 19
Table 4. 4 The weighted average percent of CI weights for each market 20
Table 4. 5 The Performance of the Composite Index of whole evaluation period for All Markets 22
Table 4. 6 Robust of Performance Indices of Composite Index with Risk Inverse for All Market within the Whole Evaluation Period 28
Table 4. 7 Difference in Performance between Group A and E based on different Indices 28

Figure 4. 1 Monthly Return Distribution of American Fund 23
Figure 4. 2 Monthly Return Distribution of European Fund 23
Figure 4. 3 Monthly Return Distribution of Global Fund 24
Figure 4. 4 Monthly Return Distribution of Japanese Fund 24
Figure 4. 5 Monthly Return Distribution of Taiwan Fund 25
Figure 4. 6 Monthly Return Distribution of Information Technology Fund 25


Appendix 1 The Sample size in each month for 6 markets 31
Appendix 2 Statistics of American Funds 33
Appendix 3 Statistics of European Funds 34
Appendix 4 Statistics of Global Funds 35
Appendix 5 Statistics of Japanese Funds 36
Appendix 6 Statistics of Taiwan Funds 37
Appendix 7 Statistics of Information Technology Funds 38
Appendix 8 The frequency of each market in each month 39
Appendix 9 Performance Evaluation for American Fund 40
Appendix 10 Performance Evaluation for European Fund 40
Appendix 11 Performance Evaluation for Global Fund 41
Appendix 12 Performance Evaluation for Japanese Fund 41
Appendix 13 Performance Evaluation for Taiwan Fund 42
Appendix 14 Performance Evaluation for Information Technology Fund 42
Appendix 15 Robust of Performance Indices of Composite Index with Risk Inverse for All Market 43
Appendix 16 Robust of Performance Indices for American Funds 43
Appendix 17 Robust of Performance Indices for European Funds 44
Appendix 18 Robust of Performance Indices for Japanese Funds 44
Appendix 19 Robust of Performance Indices for Global Funds 45
Appendix 20 Robust of Performance Indices for Taiwan Funds 45
Appendix 21 Robust of Performance Indices for Information Technology Funds 46
參考文獻 References
Brown, S. J. and Goetzmann, W.N., 1995, Performance Persistence, Journal of Finance, 50, 679-698.
Carhart, M., 1997, On Persistnece in Mutual Fund Performance, Journal of Finance, 52, 57-82.
Charles Spearman, 1904, General Intelligence’ Objectively Determined and Measured, American Journal of Psychology, 15, 201-293.
Ching-yi Lee, 2007, The Composite Index of Fund Performance --Factor Analysis Method, Unpublished Master Thesis, National Sun Yat-Sen University, Kaohsiung, Taiwan.
Elton, E., Gruber, M., Das, S. and Blake, C., 1996, the Persistence of Risk-adjusted Mutual Fund Performance, Journal of Business, 69, 133-157.
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Hendricks, D., Patel, J. and Zeckhauser, R., 1993, Hot Hands in Mutual Funds: Short-run Persistence of Relative Performance, 1974-1988, Journal of Finance, 48, 93-130.
Jensen, M., 1969, Risk, the Pricing of Capital Assets and Evaluation of Investment Portfolios, Journal of Business, 42, 167-247.
Joseph F. Hair, Ronald L. Tatham, Rolph E. Anderson, and William Black, 1998, Multivariate Data Analysis, 5th ed, N.J., Prentice Hall.
Prather Laurie, Bertin William J., and Henker Thomas, 2004, Mutual Fund Characteristics, Managerial Attributes, and Fund Performance, Review of Financial Economics, 13, 305-326.
Roger Otten and Dennis Bams, 2002, Europen Mutual Fund Performance, European Financial Management, 8 (1), 75-101
Sirri, E.R. and Tufano, P., 1998, Costly Search and Mutual Fund Flows”, Journal of Finance, 53, 1589-1622.
Ya-Chu Chou, 2007, The Composite Index of Global Fund Performance -- Factor Analysis Method, Unpublished Master Thesis, National Sun Yat-Sen University, Kaohsiung, Taiwan.
Yu-jen Wang, 2005, The Composed Index of Mutual Fund And The Active Monitor of Fund Performance, Unpublished Master Thesis, National Sun Yat-Sen University, Kaohsiung, Taiwan.
Zheng, L., 1999, Is Money Samrt? A Studey of Mutual Fund Investors' Fund Selection Ability, Journal of Finance, 54, 901-993.
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