上证联合研究计划第二期课题

Size: px

Start display at page:

Download "上证联合研究计划第二期课题"

充宰
9 years ago
Views:

1 (a) 1

2 /

3 / 3

5 / 10 / / / /

6 %, %

7 , Treynor 1965 Treynor Sharpe 1966 (Jensen 1968) CAPM Jensen Jensen Jensen 1972 Grinblatt Titman 1989 Jensen Jensen Jensen Grinblatt Titman Jensen 7

8 CAMP anomalies Fama French 1993 SZ SZ BM CAPM Carhart 1997 Fama French Fama French Carhart Daniel Grinblat Titman Wermers Treynor Mazuy 1966 TM Admati,Bhattacharya,Pfleiderer Ross (1986) TM 2 Cumby Glem TM 2 t Jensen(1972) Market Timer Bhattacharya Pfleiderer 1986 Jensen Jensen 8

9 TM TM TM Hendricks,Patel, Zeckhauser(1993) hot hand sharpe Jensen 4 4, Icy hand Goetzmann Ibbotson(1994) % Carhart(1997)

10 Morningstar MORNINGSTAR LIPPER ,,, 3 4 a b R 2, morningstarrisk bearmarketratings 1 10

11 N N average returns annualized returns 1 N N 1 11

12 raw rating

13 3,, 3 Sharpe Trenyor Jensen,, R p NAV + D t t = NAV t 1 1 R p t NAV t t NAV t-1 t-1 D t t 13

14 Rp p >1, P p <1, P p =1, P / 1 14

15 1 Sharp S p Rp R f = σ p R p R f p R p Sharp S p 2 Treynor T p = R p R β p f p Treynor T p Treynor Sharp Treynor Treynor Sharpe Sharpe Treynor 3 Jensen Jensen 15

16 J p = R [ R + β ( R R )] p f p m f R m Jensen J p 3.2 EPS ROE ( ) α β β = / 16

17 2 1 b b 1/b %

18 A B A B A B A,, 3.3 1, 2,,,,,, 3,

19 %

20 % 3.17% 2.2% 2.11% % 8.9%

21 % % % % % 14.23% 12.13% 6.35% 4.86% % % 42.38% 43.13% 24.10% 19.18% 14.28% 16.73% 25.65% 7.37% 2.21% 13.97% 28.64% 65.96% 9.75% c 19.18% 14.28% 16.73% 11.91% -6.98% -2.76% 28.49% 33.17% 54.54% 15.08% 19.18% 14.28% 16.73% 16.44% -1.65% 11.76% 21

22 20.54% 46.79% 42.12% 27.08% 19.18% 14.28% 16.73% 30.06% 10.35% 3.81% 26.39% 41.83% 42.98% 23.85% 19.18% 14.28% 16.73% 25.10% 7.12% 9.66% 19.03% 34.96% 46.28% 18.78% 20.65% 16.53% 18.59% 16.37% 0.19% 0.44% 2.02% 9.02% % -4.78% 13.73% 12.94% 13.33% -4.31% % % 14.12% 31.31% 52.44% 14.89% 13.73% 12.94% 13.33% 17.98% 1.56% 0.79% 15.94% 20.97% 59.99% 8.39% 22.05% 21.84% 21.95% -0.98% % -6.01% 12.95% 22.04% 32.35% 14.91% 22.05% 21.84% 21.95% 0.09% -7.04% -9.00% 4.85% 8.20% a % -0.01% -1.44% -6.18% -3.81% 12.01% 3.80% 8.66% 3.53% 3.74% b % -4.12% -1.44% -6.18% -3.81% 7.55% -0.31% 7.34% -1.35% -3.62% % -8.73% -12.3% -15.1% -13.7% 10.12% 5.01% 12.39% 0.10% -3.64% % -8.71% -12.3% -15.1% -13.7% 10.10% 5.03% 13.84% % % -5.56% -17.% -19.5% -18.3% 16.90% 12.74% 18.30% 0.59% -3.33% -8.11% -3.60% -6.24% -6.75% -6.50% 3.17% 2.90% 7.09% 3.50% -0.44% 0.00% -0.44% -5.72% -8.97% -7.35% 6.91% 6.91% 10.85% 6.30% -0.38% 0.00% -0.38% -5.27% -9.19% -7.23% 6.85% 6.85% 13.53% 0.12% 0.83% 0.00% 0.83% -5.72% -8.97% -7.35% 8.18% 8.18% 7.47% ( a b c ) a % 22

23 % % % 31.11% -3.63% % % 18.54% 9.02%

24 / / 24

25 1 2 3 Jensen Treynor Jensen Treynor A A A A

27 / /5/ /6/

29 A B B B = / = / / 100%. 29

30 % % % 01/ / / / % 14.07% % 21.22% 1/5 53.3% 15.06% 15.06% 2001 A 4-7 B A (2001/02/ /05/17) A B 2001/02/19 B A 2001/05/17 B A B % A % 145% B % A % 134% % B % 30

31 % % B B B A B A B B B A 1.29% % 145% B B A 3.49% 8.18% 134% B A B A B B 149% B 210% 11.5% 10.5% B B B B B / 31

32 5 5.1 ( ) ( )

33 % 10 40% 50% 2.32% 4.53% 7.81%

34 % % % % % 34

35 9.7% % % ST % % 1320%

36 % 30% 100% 30% ST %

37 % %

38 % % % % % % %

39 % % % % % % % % %

40 % % 40

41 % 0.57% 1.21% % 8.46% 5.16% ST

42 % a %

43 b % , 90% % 31% 44% 70% 95% 60% 1/3 5-8a 5-7c

44 % a , b % ( )

45 90% 5-8b

46 % % 46

48 % 98 60% % 29.19% b 48

49 23.55% NAV 1999 NAV % 17.13% 60% 10 40% % 9.9% %

50 (%) (%) II

51 A

52 ST PT % % % PT A % A 52

53 % 55.94% 23.2% 80%

54 % 28.41% 30% (%) % %

55 ST top-down (bottom-up) Indexing

56 6-4,,

58 2000 Momentum Investing

61 B 61

62 62

63 a, b, 99 Treynor, Jack L. (1966), \How To Rate Management Investment Funds," Harvard Business Review, (43), January-February. Treynor, J., and K. Mazuy, 1966, Can mutual funds outguess the market? Harvard Business Review 44, Sharpe, William F. (1966), \Mutual Fund Performance," Journal of Business, (39) January. Jensen, M., 1968, The performance of mutual funds in the period , Journal of Finance 23, Grinblatt, M./Titman, S.: How Clients Can Win the Gaming Game. Journal of Portfolio Manage-ment,Vol. 13, 1987, S Grinblatt, M./Titman, S.: Adverse Risk Incentives and the Design of Performance Based Con-tracts. Management Science, Vol. 35, 1989, S Fama, Eugene F. and Kenneth R. French. "Common Risk Factors In The Returns OnStocks And Bonds," Journal of Financial Economics, 1993, v33(1), Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1997, Measuring mutualfund performance with characteristic-based benchmarks, Journal of Finance 52,

致謝投資基金這個議題, 需蒐集許多的期刊報導研究專題等, 非常感謝黃彥聖老師以及楊子儀老師的教導, 提點相關金融資訊資料, 有助於專題內容的專業性與金融常識謝謝黃

致謝投資基金這個議題, 需蒐集許多的期刊報導研究專題等, 非常感謝黃彥聖老師以及楊子儀老師的教導, 提點相關金融資訊資料, 有助於專題內容的專業性與金融常識謝謝黃明志科技大學經營管理系專題研究投資基金, 積金成塔 - 共同基金在台灣股市大盤之績效表現組員 : 學號姓名 U99227127 U99227130 U99227138 U99227148 黃昱舜黃讌捷廖翊琪賴韻竹指導老師 : ( 簽名 ) 中華民國一百零二年十二月