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題名 共同基金投資組合配置基於三戰二勝的績效持續
Mutual Fund Portfolio Allocation Based on Best-of-Three Performance Continuation作者 陳麒如
Chen, Qi-Ru貢獻者 江彌修
Chiang, Mi-Hsiu
陳麒如
Chen, Qi-Ru關鍵詞 開放型共同基金
共同基金績效持續性
投資策略
Open-end mutual funds
Persistence of mutual fund performance
Investment strategy日期 2018 上傳時間 10-Jul-2018 15:34:38 (UTC+8) 摘要 近幾十年來，共同基金一直是全球增長最快的金融產品之一，尤其在美國。 從1990年到2016年，共同基金淨資產增長了16倍，到2016年達到18.9萬億美元。如今，全球投資於開放式基金的資產總額為40.4萬億美元。因此，本篇論文以開放式共同基金為投資標的，建立投資策略。在之前許多文獻證實了共同基金績效持續性的存在後，本文通過績效持續性建立一個簡單的投資策略，並利用多期判斷基金績效去選擇目標基金進行投資。與之前的文獻一樣，本文證實了基金績效持續性的存在，並且發現如果整個基金市場出現虧損時，在下一年有較大的幾率出現績效反轉。並通過與整個基金市場的績效比較，本文建立的投資策略獲得了較高的收益。
In recent decades, the mutual funds have been one of the fastest growing financial products in the world, especially in the United States. From 1990 to 2016, net assets of mutual fund had grown 16 times, and reached $18.9 trillion at 2016. At that time, the total worldwide assets invested in open-end funds is $40.4 trillion. Therefore, this paper uses open-end equity mutual funds as investment targets to establish an investment strategy.Many previous literatures confirmed the existence of mutual fund performance persistence, this paper establishes a simple investment strategy, the Best of Three Strategy, through performance sustainability and uses multiple periods to judge fund performance to select target funds for investment.Like previous literature, this paper confirms the existence of sustainability of fund performance and finds that if there is a loss in the entire fund market, there is a greater chance of performance reversal in the next year. And through comparing with the performance of the entire mutual fund market, this investment strategy established in this paper, the Best of Three Strategy, has obtained higher returns.參考文獻 Banz, Rolf W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18.Barber, Brad M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2009, Just how much do individual investors lose by trading?, The Review of Financial Studies 22, 609-632.Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998,A model of investor sentiment 1 , Journal of Financial Economics 49, 307-343.Basu, Sanjoy, 1983, The relationship between earnings` yield, market value and return for NYSE common stocks: Further evidence, Journal of Financial Economics 12,129-156.Bondt, Werner F. M., and Richard Thaler, 1985, Does the stock market overreact? , Journal of Finance 40, 793-805.Carhart, Mark M., 1997, On persistence in Mutual Fund Performance, Journal of Finance 52, 57-82.Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1997, Measuring mutual fund performance with characteristic-based benchmarks, Journal of Finance 52, 1035-1058.De Bondt, Werner F. M., and Richard Thaler, 1985, Does the stock market overreact?, Journal of finance 40, 793-805.Elton, E. J., M. J. Gruber, S. Das, and C. R. Blake, 1996, The persistence of risk adjusted mutual fund performance, Journal of Business 69, 133-157.Elton, Edwin J., Martin J. Gruber, Sanjiv Das, and Matthew Hlavka, 1993, Efficiency with costly information: a reinterpretation of evidence from managed portfolios, The Review of Financial Studies 6, 1-22.Elton, Edwin, Martin Gruber, and Christopher Blake, 1996, The persistence of risk-adjusted mutual fund performance, Journal of Business 69, 133-157.Fama, Eugene F., 1969, Efficient Capital Markets: A review of theory and empirical work, The Journal of Finance 25, 383-417Fama, Eugene F., 1996, and Kenneth R. French, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84.Goetzmann, W. N., and R. G. Ibbotson, 1994, Do winners repeat? Patterns in mutual fund performance. Journal of Portfolio Management 20, 9-18.Grinblatt, Mark, and Sheridan Titman, 1989, Portfolio performance evaluation: Old issues and new insights, The Review of Financial Studies 2, 393–421Grinblatt, Mark, and Sheridan Titman, 1992, The persistence of mutual fund performance, Journal of Finance 47, 1977-1984.Grinblatt, Mark, Sheridan Titman, and Russ Wermers, 1995, Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior, The American Economic Review 85, 1088-1105.Gruber, M.J., 1996, Another Puzzle: The growth in actively managed mutual funds, Journal of finance 51, 783-810.Hendricks, Darryll., Jayendu Patel, and Richard Zeckhauser, 1993, Hot hands in mutual funds: Short-run persistence of relative performance, 1974-1988, Journal of Finance 48, 93-130.Hong, Harrison, and Jeremy C. Stein, 1999, Unified theory of underreaction, momentum trading, and overreaction in asset markets, Journal of Finance 54, 2143-2184.Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91Jegadeesh, Narasimhan, and Sheridan Titman, 2001, Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance 56, 699-720.Jensen, Michael C., 1968,The performance of mutual funds in the period 1945-1964, Journal of Finance 23, 389-416.Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 1541-1578.Lee, Charles M. C., and Bhaskaran Swaminathan, 2000, Price momentum and trading volume, Journal of Finance 55, 2017-2069.Lintner, John, 1965, Security prices, risk and maximal gains from diversification, Journal of Finance 20, 587-615.Malkiel, Burton G., 1995, Returns from investing in equity mutual funds 1971 to 1991, Journal of Finance 50, 549-572.Markowitz, Harry, 1952, Portfolio selection, Journal of finance 7, 77-91.Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19, 425-442.Sharpe, William F., 1966, Mutual fund performance, Journal of Business 39, 119-138.Shefrin, Hersh, and Meir Statman, 1985, The disposition to sell winners too early and ride losers too long: theory and evidence, Journal of Finance 40, 777-790.Thaler, Richard, 1980, Toward a positive theory of consumer choice, Journal of Economic Behavior & Organization 1, 39-60.Wermers, Russ, 1999, Mutual fund herding and the impact on stock prices, Journal of Finance 54, 581-62. 描述 碩士
國立政治大學
金融學系
1053520401資料來源 http://thesis.lib.nccu.edu.tw/record/#G1053520401 資料類型 thesis dc.contributor.advisor 江彌修 zh_TW dc.contributor.advisor Chiang, Mi-Hsiu en_US dc.contributor.author (Authors) 陳麒如 zh_TW dc.contributor.author (Authors) Chen, Qi-Ru en_US dc.creator (作者) 陳麒如 zh_TW dc.creator (作者) Chen, Qi-Ru en_US dc.date (日期) 2018 en_US dc.date.accessioned 10-Jul-2018 15:34:38 (UTC+8) - dc.date.available 10-Jul-2018 15:34:38 (UTC+8) - dc.date.issued (上傳時間) 10-Jul-2018 15:34:38 (UTC+8) - dc.identifier (Other Identifiers) G1053520401 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118538 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 1053520401 zh_TW dc.description.abstract (摘要) 近幾十年來，共同基金一直是全球增長最快的金融產品之一，尤其在美國。 從1990年到2016年，共同基金淨資產增長了16倍，到2016年達到18.9萬億美元。如今，全球投資於開放式基金的資產總額為40.4萬億美元。因此，本篇論文以開放式共同基金為投資標的，建立投資策略。在之前許多文獻證實了共同基金績效持續性的存在後，本文通過績效持續性建立一個簡單的投資策略，並利用多期判斷基金績效去選擇目標基金進行投資。與之前的文獻一樣，本文證實了基金績效持續性的存在，並且發現如果整個基金市場出現虧損時，在下一年有較大的幾率出現績效反轉。並通過與整個基金市場的績效比較，本文建立的投資策略獲得了較高的收益。 zh_TW dc.description.abstract (摘要) In recent decades, the mutual funds have been one of the fastest growing financial products in the world, especially in the United States. From 1990 to 2016, net assets of mutual fund had grown 16 times, and reached $18.9 trillion at 2016. At that time, the total worldwide assets invested in open-end funds is $40.4 trillion. Therefore, this paper uses open-end equity mutual funds as investment targets to establish an investment strategy.Many previous literatures confirmed the existence of mutual fund performance persistence, this paper establishes a simple investment strategy, the Best of Three Strategy, through performance sustainability and uses multiple periods to judge fund performance to select target funds for investment.Like previous literature, this paper confirms the existence of sustainability of fund performance and finds that if there is a loss in the entire fund market, there is a greater chance of performance reversal in the next year. And through comparing with the performance of the entire mutual fund market, this investment strategy established in this paper, the Best of Three Strategy, has obtained higher returns. en_US dc.description.tableofcontents I. INTRODUCTION 1II. LITERATURE REVIEWS 3A. CAPM MODEL AND EFFICIENT MARKETS HYPOTHESIS 3B. DEFICIENT MARKETS HYPOTHESIS AND BEHAVIOR FINANCE 4C. THE PERSISTENCE IN MUTUAL FUND PERFORMANCE 6III. DATA 7IV. PERFORMANCE-EVALUATION METHODOLOGY 9V. RESULTS 14A. TRANSITION MATRIX OF THE PERFORMANCE 14B. THE BEST OF THREE STRATEGY V.S. ONE-YEAR INVESTMENT STRATEGY 19C. ADJUSTMENT OF THE BEST OF THREE STRATEGY WITH THE BENCHMARK 25D. THE LIPPER RATING FOR CONSISTENT RETURN 27E. PROLONGING THE TIME OF INVESTMENT OBSERVATION 32IV. SUMMARY AND CONCLUSIONS 37APPENDIX: THE SYMBOL IN THIS PAPER 39REFERENCES 40 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1053520401 en_US dc.subject (關鍵詞) 開放型共同基金 zh_TW dc.subject (關鍵詞) 共同基金績效持續性 zh_TW dc.subject (關鍵詞) 投資策略 zh_TW dc.subject (關鍵詞) Open-end mutual funds en_US dc.subject (關鍵詞) Persistence of mutual fund performance en_US dc.subject (關鍵詞) Investment strategy en_US dc.title (題名) 共同基金投資組合配置基於三戰二勝的績效持續 zh_TW dc.title (題名) Mutual Fund Portfolio Allocation Based on Best-of-Three Performance Continuation en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Banz, Rolf W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18.Barber, Brad M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2009, Just how much do individual investors lose by trading?, The Review of Financial Studies 22, 609-632.Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998,A model of investor sentiment 1 , Journal of Financial Economics 49, 307-343.Basu, Sanjoy, 1983, The relationship between earnings` yield, market value and return for NYSE common stocks: Further evidence, Journal of Financial Economics 12,129-156.Bondt, Werner F. M., and Richard Thaler, 1985, Does the stock market overreact? , Journal of Finance 40, 793-805.Carhart, Mark M., 1997, On persistence in Mutual Fund Performance, Journal of Finance 52, 57-82.Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1997, Measuring mutual fund performance with characteristic-based benchmarks, Journal of Finance 52, 1035-1058.De Bondt, Werner F. M., and Richard Thaler, 1985, Does the stock market overreact?, Journal of finance 40, 793-805.Elton, E. J., M. J. Gruber, S. Das, and C. R. Blake, 1996, The persistence of risk adjusted mutual fund performance, Journal of Business 69, 133-157.Elton, Edwin J., Martin J. Gruber, Sanjiv Das, and Matthew Hlavka, 1993, Efficiency with costly information: a reinterpretation of evidence from managed portfolios, The Review of Financial Studies 6, 1-22.Elton, Edwin, Martin Gruber, and Christopher Blake, 1996, The persistence of risk-adjusted mutual fund performance, Journal of Business 69, 133-157.Fama, Eugene F., 1969, Efficient Capital Markets: A review of theory and empirical work, The Journal of Finance 25, 383-417Fama, Eugene F., 1996, and Kenneth R. French, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84.Goetzmann, W. N., and R. G. Ibbotson, 1994, Do winners repeat? Patterns in mutual fund performance. Journal of Portfolio Management 20, 9-18.Grinblatt, Mark, and Sheridan Titman, 1989, Portfolio performance evaluation: Old issues and new insights, The Review of Financial Studies 2, 393–421Grinblatt, Mark, and Sheridan Titman, 1992, The persistence of mutual fund performance, Journal of Finance 47, 1977-1984.Grinblatt, Mark, Sheridan Titman, and Russ Wermers, 1995, Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior, The American Economic Review 85, 1088-1105.Gruber, M.J., 1996, Another Puzzle: The growth in actively managed mutual funds, Journal of finance 51, 783-810.Hendricks, Darryll., Jayendu Patel, and Richard Zeckhauser, 1993, Hot hands in mutual funds: Short-run persistence of relative performance, 1974-1988, Journal of Finance 48, 93-130.Hong, Harrison, and Jeremy C. Stein, 1999, Unified theory of underreaction, momentum trading, and overreaction in asset markets, Journal of Finance 54, 2143-2184.Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91Jegadeesh, Narasimhan, and Sheridan Titman, 2001, Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance 56, 699-720.Jensen, Michael C., 1968,The performance of mutual funds in the period 1945-1964, Journal of Finance 23, 389-416.Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 1541-1578.Lee, Charles M. C., and Bhaskaran Swaminathan, 2000, Price momentum and trading volume, Journal of Finance 55, 2017-2069.Lintner, John, 1965, Security prices, risk and maximal gains from diversification, Journal of Finance 20, 587-615.Malkiel, Burton G., 1995, Returns from investing in equity mutual funds 1971 to 1991, Journal of Finance 50, 549-572.Markowitz, Harry, 1952, Portfolio selection, Journal of finance 7, 77-91.Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19, 425-442.Sharpe, William F., 1966, Mutual fund performance, Journal of Business 39, 119-138.Shefrin, Hersh, and Meir Statman, 1985, The disposition to sell winners too early and ride losers too long: theory and evidence, Journal of Finance 40, 777-790.Thaler, Richard, 1980, Toward a positive theory of consumer choice, Journal of Economic Behavior & Organization 1, 39-60.Wermers, Russ, 1999, Mutual fund herding and the impact on stock prices, Journal of Finance 54, 581-62. zh_TW dc.identifier.doi (DOI) 10.6814/THE.NCCU.MB.016.2018.F06 -
