標題: 醫學及健康護理股票基金績效及持續性之研究
The performance and persistence of medicine and health care stock fund
作者: 吳珍萍
Wu, Jen-ping
王克陸
Wang, Kehluh
管理學院財務金融學程
關鍵字: 基金績效;基金持續性;performance;persistence
公開日期: 2008
摘要: 本研究以台灣市場上之醫學及健康護理股票基金為樣本,研究期自2004年10月1日至2008年9月30日,共208筆週資料,探討總計4年之平均年報酬率績效表現,以提供投資人決策參考。採用Treynor、Sharpe及Jensen三種績效指標衡量基金績效,檢定基金績效是否優於市場投資組合。此外,採用相關係數檢定績效指標是否具有持續性。以Treynor指標、Sharp指標、Jensen指標,做前後期的持續性評估。 實證結果,新加坡大華全球保健基金(美元)在3種績效指標的評估下,皆在前三名,而荷銀健康護理基金(歐元)為在3種績效指標中的篩選下,皆為最後一名。 從Treynor指標、Sharp指標、Jensen指標來看,海外醫學及健康護理股票基金多數的基金績效皆不如市場投資組合(MSCI 世界指數),代表要投資海外醫學及健康護理股票基金標的,需經過謹慎的選擇,它們在風險分散的角色可能大過於報酬率之考量。
The purpose of this study is to investigate the performance of medicine and health care stock fund during 4 years from 2004 to 2008. We use Treynor, Sharp and Jensen indexes to evaluate if they have better performance than market portfolio. Furthermore, we use simple correlation to test if the performance is persistent. The result shows the United Global Healthcare Fund (USD) ranks in top 3, while the Fortis L Equity Health Care World Cap in last 3. In summary, the performance of medicine and health care stock fund is worse than MSCI index, no matter what measure is used. It is possible that its role in risk diversification is more important than return consideration.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT009472530
http://hdl.handle.net/11536/82599
Appears in Collections:Thesis