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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/95507
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95507

    Title: 加值指數型基金之探討-期貨加上現金的加值方法
    Authors: 黃冠文
    Contributors: 周行一
    Date: 2002
    Issue Date: 2016-05-09 16:24:27 (UTC+8)
    Abstract:   本研究主要是探討近10年在美國興起的加值指數型基金中,期貨加上現金(Futures Plus Cash Enhancement)的方法探討。試著透過每分每秒的追蹤,以及不帶有任何假設條件之下,探討在台灣基金市場的應用以及績效,並以自然投資人以及機構投資人的觀點,來探討實際交易可能發生的各種問題。
      1. 加值指數型基金明顯優於被動的市場投資組合,甚至績效超越半數的股票型基金。
      2. 當考慮了交易成本以及保證金問題等等之後,加值指數型的基金的超額報酬明顯縮小。
      3. 如果投資人因為在到期日以前發現市場價差偏離(1%),而進行提前換約的動作,其績效反而不如在到期日時再加以換約。
      4. 在考慮了是否能夠執行價差換約之下,以電子指數模擬的加值指數型基金模擬誤差縮小,但是以加權指數模擬的加值指數型基金模擬誤差卻擴大。
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