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題名 分析共同基金績效-使用資料採掘技術
Evaluating the Performance of Mutual Funds— Using the Technology of Data Mining
作者 謝明倫
貢獻者 郭維裕
謝明倫
關鍵詞 共同基金績效
資料採掘
分類決策樹
CART
mutual fund
performance
日期 2006
上傳時間 18-Sep-2009 14:19:06 (UTC+8)
摘要 本論文是研究在台灣開放型的股票型共同基金,並且利用資料採掘的技術加以分析並分類所謂優異績效及劣質績效的共同基金。我們使用分類決策樹(Classification and regression trees, CART)的方法來進行共同基金績效的分析及預測。本篇論文,我們採用了13種重要的變數來建構樹並找出優質基金,此外更驗證CART對於我們進行台灣共同基金績效的分析是穩定且有效的。最後,我們利用cross-validation test進行兩個月的基金的選取及持有,並各透過一個月的持有來視其績效。我們特別發現利用此方法選取出來的基金,其平均績效將優於所有共同基金的績效,並且其中有一個月的平均報酬率高於僅投資於高科技股的共同基金平均報酬率。
We study the performance of open-end mutual funds in Taiwan, and use the technology of data mining to classify the outperforming and underperforming mutual funds. Classification and regression tree (CART) is the method to evaluate and predict the performance of mutual funds. In this paper, we utilize thirteen crucial factors to build trees and pick mutual funds by its classification rules. Moreover, we will verify precision of each tree. We find that the CART is a good tool to evaluate the performance of mutual funds in Taiwan because of its stability in outperforming - underperforming spreads. Moreover, we use two kinds of learning sample to build two trees and pick mutual funds to compose of them into the fund of funds. The results are better than the total average returns monthly, and one of them is better than the mutual funds that its investing target is high-tech stocks.
參考文獻 Banz, R., (1981), The relationship Between Return and Market Value of Common Stocks, Journal of Financial Economics 9, 3-18.
Blume, M. E. and R. F. Stambaugh, 1983, Biases in Computed Returns: An Application to Size Effect, Journal of Financial Economics 12, 387-404
Breiman, L., Friedman J., Olsen R., and Stone C., 1984, Classification and Regression Trees, Wadsworth, Pacific Grove.
Chevalier, J., and G. Ellison, 1999, Are Some Mutual Fund Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance, Journal of Finance 56, 875-899
Daniel, K., M. Grinblatt, S. Titman, and R. Wermers, 1997, Measuring Mutual Fund Performance with Characteristic-Based Benchmarks, Journal of Finance 52, 1035-1058.
Dybvig, Phillip H., and Ross, Stephen A., 1985, Differential information and performance measurement using a security market line, Journal of Finance 40, 383-399.
Elton, E. J., Martin J. Gruber, and Christopher R. Blake, 1996, The Persistence of Risk-Adjusted Mutual Fund Performance. Journal of Business 69, 453-472
Fama, E. F., and French, K. R., 1993, Common Risk factors In the Return on Stocks and Bonds, Journal of Financial Economics 33, 3-56
Ferson, W.E., and R.W. Schadt, 1996, Measuring Fund Strategy and Performance in Changing Economic Conditions, Journal of Finance 51, 452-459.
Gallagher, T. J, 1988, Mutual Fund Size and Risk-Adjusted Performance, Illinois Business Review 45, 11-13
Hendricks, D., J. Patel, and R. Zeckhauser , 1993, Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988. The Journal of Finance 48, 93-130
Indro, Daniel C., Christine X. Jiang, Michael Y Hu, and Wayne Y Lee, 1999, Mutual Fund Performance: Does Fund Size Matter? Financial Analysis Journal 55, 74-87.
Ippolito, R. A., 1989, Efficiency with Costly Information: A Study of Mutual Fund Performance, 1965-1984, Quarterly Journal of Economics 104, 1-23.
Jegadeesh, N. and S. Titman, 1993, Return to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance 48, 65-91.
Jenson, M., 1968, The Performance of Mutual Funds in the Period 1945-1964, Journal of Finance 23, 389-416.
Kao, Duen-Li and R. D. Schumaker, 1999, Equity Style Timing, Financial Analysts Journal 55, 37-49.
Kothari, S. P., Jay Shanken, and Richard G. Sloan, 1995, Another Look at the Cross-Section of Expected Stock Returns, Journal of Finance 50, 185-224.
Lin, Anchor Y. and Swanson, Peggy E., 2003, The Behavior and Performance of Foreign Investors in Emerging Equity Markets: Evidence from Taiwan, International Review of Finance 4, 189-210.
Mark Grinblatt and Sheridan Titman, Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings, Jul. 1989, The Journal of Business 62, 393-416
Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1995, Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior, American Economic Review 85, 1088-1105
Merikas, G. A., Merikas, A.A., and Sorros I., 2005, Is There an Appropriate Measure of Managerial Skill and Performance?, The American Economic Review 31, 87-100.
Moskowitz, T. J. and M. Grinblatt, 1999, Do Industries Explain Momentum? , Journal of Finance 54, 1249-1290.
Robertson K., 2001, The information ratio, 401 (k) Advisor 8, 3.
Roll, R., 1981, A Possible Explanation of The Small Firm Effect, Journal of Finance 36, 879-888
Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19, 425-442.
Treynor, J. L., 1965, How to Rate Management Investment Funds, Harvard Business Review 43, 63-75
韋端、鄭宇庭、鄧家駒、匡宏波、謝邦昌,2003,Data Mining 概述—以Clementine 7.0 為例,中華資料採礦協會。
描述 碩士
國立政治大學
國際經營與貿易研究所
94351018
95
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0943510181
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.author (Authors) 謝明倫zh_TW
dc.creator (作者) 謝明倫zh_TW
dc.date (日期) 2006en_US
dc.date.accessioned 18-Sep-2009 14:19:06 (UTC+8)-
dc.date.available 18-Sep-2009 14:19:06 (UTC+8)-
dc.date.issued (上傳時間) 18-Sep-2009 14:19:06 (UTC+8)-
dc.identifier (Other Identifiers) G0943510181en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/35163-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易研究所zh_TW
dc.description (描述) 94351018zh_TW
dc.description (描述) 95zh_TW
dc.description.abstract (摘要) 本論文是研究在台灣開放型的股票型共同基金,並且利用資料採掘的技術加以分析並分類所謂優異績效及劣質績效的共同基金。我們使用分類決策樹(Classification and regression trees, CART)的方法來進行共同基金績效的分析及預測。本篇論文,我們採用了13種重要的變數來建構樹並找出優質基金,此外更驗證CART對於我們進行台灣共同基金績效的分析是穩定且有效的。最後,我們利用cross-validation test進行兩個月的基金的選取及持有,並各透過一個月的持有來視其績效。我們特別發現利用此方法選取出來的基金,其平均績效將優於所有共同基金的績效,並且其中有一個月的平均報酬率高於僅投資於高科技股的共同基金平均報酬率。zh_TW
dc.description.abstract (摘要) We study the performance of open-end mutual funds in Taiwan, and use the technology of data mining to classify the outperforming and underperforming mutual funds. Classification and regression tree (CART) is the method to evaluate and predict the performance of mutual funds. In this paper, we utilize thirteen crucial factors to build trees and pick mutual funds by its classification rules. Moreover, we will verify precision of each tree. We find that the CART is a good tool to evaluate the performance of mutual funds in Taiwan because of its stability in outperforming - underperforming spreads. Moreover, we use two kinds of learning sample to build two trees and pick mutual funds to compose of them into the fund of funds. The results are better than the total average returns monthly, and one of them is better than the mutual funds that its investing target is high-tech stocks.en_US
dc.description.tableofcontents Abstract
Section1.........1
Section2.........4
Section3........18
Section4........20
Section5........41
Reference.......43
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dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0943510181en_US
dc.subject (關鍵詞) 共同基金績效zh_TW
dc.subject (關鍵詞) 資料採掘zh_TW
dc.subject (關鍵詞) 分類決策樹zh_TW
dc.subject (關鍵詞) CARTen_US
dc.subject (關鍵詞) mutual funden_US
dc.subject (關鍵詞) performanceen_US
dc.title (題名) 分析共同基金績效-使用資料採掘技術zh_TW
dc.title (題名) Evaluating the Performance of Mutual Funds— Using the Technology of Data Miningen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Banz, R., (1981), The relationship Between Return and Market Value of Common Stocks, Journal of Financial Economics 9, 3-18.zh_TW
dc.relation.reference (參考文獻) Blume, M. E. and R. F. Stambaugh, 1983, Biases in Computed Returns: An Application to Size Effect, Journal of Financial Economics 12, 387-404zh_TW
dc.relation.reference (參考文獻) Breiman, L., Friedman J., Olsen R., and Stone C., 1984, Classification and Regression Trees, Wadsworth, Pacific Grove.zh_TW
dc.relation.reference (參考文獻) Chevalier, J., and G. Ellison, 1999, Are Some Mutual Fund Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance, Journal of Finance 56, 875-899zh_TW
dc.relation.reference (參考文獻) Daniel, K., M. Grinblatt, S. Titman, and R. Wermers, 1997, Measuring Mutual Fund Performance with Characteristic-Based Benchmarks, Journal of Finance 52, 1035-1058.zh_TW
dc.relation.reference (參考文獻) Dybvig, Phillip H., and Ross, Stephen A., 1985, Differential information and performance measurement using a security market line, Journal of Finance 40, 383-399.zh_TW
dc.relation.reference (參考文獻) Elton, E. J., Martin J. Gruber, and Christopher R. Blake, 1996, The Persistence of Risk-Adjusted Mutual Fund Performance. Journal of Business 69, 453-472zh_TW
dc.relation.reference (參考文獻) Fama, E. F., and French, K. R., 1993, Common Risk factors In the Return on Stocks and Bonds, Journal of Financial Economics 33, 3-56zh_TW
dc.relation.reference (參考文獻) Ferson, W.E., and R.W. Schadt, 1996, Measuring Fund Strategy and Performance in Changing Economic Conditions, Journal of Finance 51, 452-459.zh_TW
dc.relation.reference (參考文獻) Gallagher, T. J, 1988, Mutual Fund Size and Risk-Adjusted Performance, Illinois Business Review 45, 11-13zh_TW
dc.relation.reference (參考文獻) Hendricks, D., J. Patel, and R. Zeckhauser , 1993, Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988. The Journal of Finance 48, 93-130zh_TW
dc.relation.reference (參考文獻) Indro, Daniel C., Christine X. Jiang, Michael Y Hu, and Wayne Y Lee, 1999, Mutual Fund Performance: Does Fund Size Matter? Financial Analysis Journal 55, 74-87.zh_TW
dc.relation.reference (參考文獻) Ippolito, R. A., 1989, Efficiency with Costly Information: A Study of Mutual Fund Performance, 1965-1984, Quarterly Journal of Economics 104, 1-23.zh_TW
dc.relation.reference (參考文獻) Jegadeesh, N. and S. Titman, 1993, Return to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance 48, 65-91.zh_TW
dc.relation.reference (參考文獻) Jenson, M., 1968, The Performance of Mutual Funds in the Period 1945-1964, Journal of Finance 23, 389-416.zh_TW
dc.relation.reference (參考文獻) Kao, Duen-Li and R. D. Schumaker, 1999, Equity Style Timing, Financial Analysts Journal 55, 37-49.zh_TW
dc.relation.reference (參考文獻) Kothari, S. P., Jay Shanken, and Richard G. Sloan, 1995, Another Look at the Cross-Section of Expected Stock Returns, Journal of Finance 50, 185-224.zh_TW
dc.relation.reference (參考文獻) Lin, Anchor Y. and Swanson, Peggy E., 2003, The Behavior and Performance of Foreign Investors in Emerging Equity Markets: Evidence from Taiwan, International Review of Finance 4, 189-210.zh_TW
dc.relation.reference (參考文獻) Mark Grinblatt and Sheridan Titman, Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings, Jul. 1989, The Journal of Business 62, 393-416zh_TW
dc.relation.reference (參考文獻) Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1995, Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior, American Economic Review 85, 1088-1105zh_TW
dc.relation.reference (參考文獻) Merikas, G. A., Merikas, A.A., and Sorros I., 2005, Is There an Appropriate Measure of Managerial Skill and Performance?, The American Economic Review 31, 87-100.zh_TW
dc.relation.reference (參考文獻) Moskowitz, T. J. and M. Grinblatt, 1999, Do Industries Explain Momentum? , Journal of Finance 54, 1249-1290.zh_TW
dc.relation.reference (參考文獻) Robertson K., 2001, The information ratio, 401 (k) Advisor 8, 3.zh_TW
dc.relation.reference (參考文獻) Roll, R., 1981, A Possible Explanation of The Small Firm Effect, Journal of Finance 36, 879-888zh_TW
dc.relation.reference (參考文獻) Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19, 425-442.zh_TW
dc.relation.reference (參考文獻) Treynor, J. L., 1965, How to Rate Management Investment Funds, Harvard Business Review 43, 63-75zh_TW
dc.relation.reference (參考文獻) 韋端、鄭宇庭、鄧家駒、匡宏波、謝邦昌,2003,Data Mining 概述—以Clementine 7.0 為例,中華資料採礦協會。zh_TW