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| Title: | 運用下方風險指標評估共同基金績效
Evaluating Mutual Fund Performance by Downside Risk |
| Authors: | 黃昭楷
Huang, Chao-Kai |
| Contributors: | 郭維裕
Kuo, Wei-Yu
黃昭楷
Huang, Chao-Kai |
| Keywords: | 共同基金績效
下方風險
下方貝他係數
歐米茄比率
Mutual fund performance
Downside risk
Downside beta
Omega ratio |
| Date: | 2021 |
| Issue Date: | 2021-07-01 15:53:03 (UTC+8) |
| Abstract: | 共同基金的預期報酬與其所承擔的風險息息相關，較高的預期報酬往往伴隨著較高的風險，目前以夏普指數(Sharpe Ratio)最為廣泛作為績效衡量的指標，夏普指數以每單位標準差帶來的超額報酬作為風險衡量的指標，將使得正報酬亦計算為風險，投資人實際關注的是下方風險，故夏普指數無法貼近投資人真正承擔的風險。本研究欲探討下方風險(Downside risk)對台灣共同基金績效的影響，將Bawa與Lindenberg(1977)所提出的下方貝他係數(Downside Beta)以及Shadwick與Keating(2002)所提出的歐米茄比率(Omega Ratio)等下方風險指標對國內共同基金進行績效評估並與傳統績效衡量指標比較，試圖修正共同基金績效衡量指標。
實證結果發現，運用下方風險指標評估共同基金績效時，評比結果與傳統共同基金績效指標的差異並不大，但當市場震盪並重新走向多頭時評比結果會逐漸產生差距，其中歐米茄比率與其他指標間的評比結果落差最大。研究中亦證實下方風險指標不適合運用在評估長期投資，將無法透由下方風險指標獲得與傳統績效指標不同的評比結果，若評估期間拉得太短，與傳統績效評比結果則差異太大。
Performance of mutual fund related to its risk. Higher expected return often accompanied by higher risk. Sharpe ratio is the most widely used as performance measurement. Sharpe ratio which calculated excess return divided by the standard deviation, takes positive return as risk. It’s not investors really concern about risk, so the Sharpe ratio isn’t close to the risk which investors taking. This research intend to discuss the Downside risk of Taiwan`s mutual funds. We add the Downside Beta introduced by Bawa and Lindenberg(1977) and the Omega ratios by Shadwick and Keating(2002) into this research and compared with the traditional performance measurement, attempt to revise the performance measurement of mutual funds.
The empirical results show that, when using downside risk indicators to evaluate the performance of mutual funds, the difference between the results were not significant different the traditional mutual fund performance indicators. When the market had met structural breaking, the evaluation results will gradually different between each other, especially the Omega ratio. The research also proves that the downside risk indicators were not suitable for the evaluation of long-term investment, and the evaluation result would same to the traditional performance indicators. If the evaluation period is too short, the result would be too different from the traditional performance evaluation result. |
| Reference: | 一、中文部份
1.邱宇惠(2016)。台灣股票型基金績效評估排名相關性與持續性之研究，碩士論文，國立屏東大學財務金融學系碩士班。
2.張雅惠(2000)。應用風險值評估共同基金之績效，碩士論文，國立政治大學金融學系。
3.陳哲瑜（2002）。風險值在共同基金績效評估上之應用，碩士論文，國立中正大學企業管理研究所。
4.許晉雄、鄒慶士、葉柏緯(2010)。不同風險衡量下效率投資組合之比較分析，東吳經濟商學學報；70期，P29-56。
5.中華民國證券投資信託暨顧問商業同業公會，2019年投信投顧公會年報，上網日期110年5月27日，檢自：https://www.sitca.org.tw/ROC/MonthRpt/MR2005.aspx?PGMID=MR05
二、英文部份
1.Ang, A., J. Chen, and Y. Xing. (2006). Downside Risk. Review of Financial Studies 19, 1191–1239.
2.Bawa, V, and E. Lindenberg. (1977). Capital market equilibrium in a mean lower partial moment framework. Journal of Financial Economics, 5, 189-200.
3.Sortino, F.A. and R. van der Meer. (1991). Downside risk. The Journal of Portfolio Management Summer 1991, 17 (4) 27-31
4.Jensen, M. C. (1968). The performance of mutual funds in the period 1945-1964. Journal of Finance,23(2),389-416.
5.Keating, C., & Shadwick, W. F. (2002). A universal performance measure. Journal of performance measurement, 6(3), 59-84
6.Nawrocki, D. N. (1999). A Brief History of Downside Risk Measures. Journal of Investing, vol. 8, 9-25
7.Sharpe, W.F. (1966). Mutual fund performance. The Journal of Business, 39, 119-138.
8.Ferson, W.E. (2010). Investment Performance Evaluation. Annual Review of Financial Economics, vol. 2, issue 1, 207-234
9.Zakamouline, V. and S. Koekebakker. (2009). Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance. Journal of Banking & Finance 33(7), 1242-1254. |
| Description: | 碩士
國立政治大學
國際經營與貿易學系
107351001 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107351001 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202100631 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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