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100 5 103-120 留 ( 99 年 11 9 99 年 11 18 99 年 12 22 ) 理論念年年金金金金行 (1) 率年金率 (2) 異數兩異率類金臨金降若來論率降金類金來亮參行金 (Fud of fuds) 類數量金金例更金了金金行金金來金金狀不例金 1990 年來 2003 年理略省金金金金金 2003 年陸立 2010 年 () 理理留數理

104 100 5 金度不金金金句說金金金金金理金金金理金金更率理金更率金便理若來更率更更金行行金兩更率? 異數金金更降? 金類 ( 不金 ) 年金數量金 ( ) 金數量金 ( ) 金數量 % 金 % 數 ( ) 200305 1 3,648,793,454 379 2,393,515,170,612 0.26% 0.15% 4555.9 200309 6 17,534,667,162 402 2,561,812,692,248 1.49% 0.68% 5611.41 200409 19 31,034,919,015 464 2,559,400,895,382 4.09% 1.21% 5845.69 200509 33 56,363,571,399 489 2,176,275,554,974 6.75% 2.59% 6118.61 200609 57 149,874,351,826 507 1,932,879,609,270 11.24% 7.75% 6883.05 200709 66 168,927,020,785 524 2,211,825,176,512 12.60% 7.64% 9476.52 200809 61 79,420,989,269 535 1,599,389,326,275 11.40% 4.97% 5719.28 200909 55 86,553,318,146 509 1,937,870,611,235 10.81% 4.47% 7509.17 201009 68 158,711,555,219 548 1,840,800,299,594 12.41% 8.62% 8237.78 料來 (2010)

105 1952 年 (Harry M. Markowitz) [13] 理論異數 (The Mea-Variace Criterio MV) 立來降來理論說率 ( 率 ) 立 1959 年理論理理了理論數來異數來量率 [14] 理論率 (efficiet frotier) 率率連率數不率數數來率率率率理論若量率率念量金率 X R p = X R 1 w 1 + X R 2 w 2 +... + X R w = i= 1 X R i w i XR p R i 率 X i 率 i = 1,2, L, w i 數 ( ) i = 1,2, L, i X = X + X 2 +... R R + 1 X R

106 100 5 X 率 X i 率 i = 1,2, L, R i σ = ( X 1 X ) 2 + ( X 2 X ) 1 2 +... + ( X X ) 2 σ 率 X 率 X i 率 i = 1,2, L, i CV σ = X σ 率 X 率 X 1 + X )(1 + X )...(1 + X ) 1 = ( 1 2 X i i 率 i = 1,2, L, 金金金不金理金立金金 (fud pool) 金理金來行金金金金林 [4] 降呂瑩 [1] 立金行金金藍

107 玲 [12] 金類金金金來若 [8] 金金金類金行金降金金金率不金率 [9] 金行六金行金金數年金不理林 [3] 金金不降 [5] 金力力金力不金李 [2] DEA 率數金金金立利鈴 [9] 金論行金金金李 [5] 金 ( [7]) 金來金異金 ( [11]) 金來金年金類金年年年年來金類金六金類金金類金

108 100 5 金數金金金參年年金行年金料 2007 年 01 2009 年 12 36 年金料 2005 年 01 2009 年 12 60 金金金金類料立 2009 年 12 31 行年年金金類金金金 ( 參見 ) 金金率金金金理金 5 金金金金例年年金

109 金金 ( 參見 ) 數年年歷料料歷金料金金率行率量量理論率行

110 100 5 金金率金數量金金率金數量若兩異量了率異數來量率率若異率異數行度金金異數行金金異數異數金金率異數數行

111 年數率異異數年金金數類率異數數 0.4810% 7.0846% 14.73 金 0.2260% 4.3669% 27.62 金 0.2581% 1.1071% 4.30 金 -0.0162% 3.3063% 0.005 料來理年數率來年金率數金異異數年數金來類率異數數 0.1265% 8.5617% 67.66 金 -0.2722% 5.3868% 29.73 金 0.2935% 1.4679% 41.01 金 -0.0162% 3.3063% 0.005 料來理金金 α = 0.05 金金異數異料年金異數金年金金年金異數年金年金異數

112 100 5 金類異數數年年金金金金金金金金金金金金論金金料率年金金率來論金兩異例金金率異數來量度年金降金金類金數量金率金數量金數量異金異數數量金金 3 2.50% 1 0.83% 116 96.67% 113 94.17% 年金 0 0.00% 0 0.00% 60 100.00% 60 100.00% 金 0 0.00% 4 2.22% 176 97.78% 150 83.33% 金 7 2.33% 92 30.67% 201 67.00% 139 46.33% 年金 70 13.73% 0 0.00% 440 86.27% 489 95.88% 金 59 10.35% 77 13.51% 434 76.14% 400 70.18% 料來理數金六六年金率金數率不異數來了年

113 金數金數金類金數量數數率金數量數數量異數異數數量數金 0 0.00% 0 0.00% 4 100.00% 2 50.00% 年金 0 0.00% 0 0.00% 2 100.00% 2 100.00% 金 0 0.00% 0 0.00% 6 100.00% 2 33.33% 金 0 0.00% 1 10.00% 9 90.00% 1 10.00% 年金 0 0.00% 15 88.24% 2 11.76% 1 5.88% 金 0 0.00% 5 26.32% 14 73.68% 1 5.26% 料來理行金論年年金率數年金數率金金數年金數率來數金率不異數金金年金異數金降行金金降數異數年金金金年

114 100 5 金金數異數數來說金降若異數來數立 T 年金金異數金金異來說金金不論率降不金來異金更 4433 來金理論金 ( 金更金更 ) 率降更金數金類率降率降金 X X X 年金 X X X X 金 X X X 金 X X 年金 X X 金 X X X ( 金 X 金不 ) 呂瑩金行立金論 2003 年李 DEA 率數金理論 2005 年林金理行金論 2005 年

115 林金論 2005 年李金 2009 年金力理論 2003 年 10 金 Moey + 列 No.1 2007 年 34-35 若金理論 2002 年金行理論 2003 年鈴金理論 2006 年 Moey + 列 No.1 2007 年 24-28 藍玲金量論 2005 年 Markowitz, H. M., "Portfolio selectio", The Joural of Fiace, March, 1952, pp.77-91. Markowitz, H. M., "Portfolio Selectio: Efficiet Diversificatio of Ivestmets", New York: Joh Wiley & Sos, Ic, 1959. 金金行異數數立 T α = 0.05 行金金異數異 H o 金異數數 x1 異 H1 金異數數 x1 異 µ 金異數數 µ x2 µ 金異數數 µ x2

116 100 5 T 量數數數數異數 30 9.20 2.95 0.54 金 4 27.62 18.48 9.24 立異數 Levee 數 t F t 度 () 異異 95% 異異數異數 93.86 0.001-5.48 32.00 0.00-18.42 3.36-25.27-11.57 不異數 -1.99 3.02 0.14-18.42 9.26-47.76 10.92 異數 Levee F 93.86 p-value 0.001 < 0.05 (α ) 異數料 t -1.99 度 3.02 p-value 0.14 > 0.05 (α ) 不 H0 金異數金異數異數 Levee F 2.01 p-value 0.16 > 0.05 (α ) 異數料 t 0.81 度 38.00 p-value 0.42 > 0.05 (α ) 不 H0 金異數金異數

117 T 量數數數數異數 30 43.56 50.65 9.25 金 10 29.73 30.57 9.67 立異數 Levee 數 t F t 度 () 異異 95% 異異數異數 2.01 0.16 0.81 38.00 0.42 13.83 17.05-20.68 48.33 不異數 1.03 26.20 0.31 13.83 13.38-13.66 41.31 T 量數數數數異數 30 0.92 0.93 0.17 金 2 4.30 0.60 0.43 立異數 Levee F t 度數 t () 異異異 95% 異數異數 0.37 0.55-5.01 30.00 0.001-3.37 0.67-4.75-2.00 不異數 -7.36 1.34 0.05-3.37 0.46-6.63-0.11 異數 Levee F 0.37 p-value 0.55 > 0.05 (α ) 異數料

118 100 5 t -5.01 度 30.00 p-value 0.001 < 0.05 (α ) H0 金異數金異數 T 量數數數數異數 30 1.38 1.15 0.21 金 17 41.01 149.39 36.23 立異數 Levee 數 t F t 度 () 異 95% 異異異數異數 7.93 0.01-1.47 45.00 0.15-39.63 27.04-94.09 14.84 不異數 -1.09 16.00 0.29-39.63 36.23-116.44 37.18 異數 Levee F 7.93 p-value 0.01 < 0.05 (α ) 異數料 t -1.09 度 16.00 p-value 0.29 > 0.05 (α ) 不 H0 金異數金異數異數 Levee F 40.78 p-value 0.001 < 0.05 (α ) 異數料 t -1.98 度 5.05 p-value 0.10 > 0.05 (α ) 不 H0 金異數金異數

119 T 量數數數數異數 30 7.08 1.44 0.26 金 6 14.18 8.77 3.58 立異數 Levee 數 t F t 度異 95% () 異異異數異數 40.78 0.001-4.39 34.00 0.00-7.11 1.62-10.39-3.82 不異數 -1.98 5.05 0.10-7.11 3.59-16.31 2.09 T 量數數數數異數 30 13.70 7.34 1.34 金 19 44.17 79.81 18.31 立 Levee 數 t F t 度 () 異異異 95% 異數異數 6.19 0.02-2.09 47.00 0.04-30.47 14.58-59.80-1.14 不異數 -1.66 18.19 0.11-30.47 18.36-69.01 8.07 異數 Levee F 6.19 p-value 0.02 < 0.05 (α ) 異數料

120 100 5 t -1.66 度 18.19 p-value 0.11 > 0.05 (α ) 不 H0 金異數金異數 The Risk ad efficiet frotier Aalysis I Taiwa Fud of Fuds ABSTRACT CHIN-CHUAN HUANG, MEI-CHEN CHU, HSIU-CHUAN LIU * This thesis uses Moder Portfolio Theory cocept, with three-ad five-year period of the Stock Mutual Fud, Bod Mutual Fud, Balaced Mutual Fud, adopt the rule of 4433 to do samples of sub-fud selectio rules, ad radomly select a group of five mutual fuds ivestmet portfolio, Aalysis with the same period fud of fuds; ad bechmark with Taiwa weighted idex for fud of fuds. Experimetal results show that i the short-term or ivestmet eviromet has chaged dramatically, the Stock fuds of fuds ad balaced fuds of fuds has a efficiet frotier performace; Overall, fuds of fuds compared to the same type of fud portfolio or the weighted idex, the performace of the efficiet frotier is ot ideal; Also used to measure the coefficiet of variatio poit of view the risk reward fud of fuds uit, fuds of fuds compared to Taiwa's weighted idex, the results are cosistet with risk reductio; However, the average coefficiet of variatio of the idepedet samples T test, we do ot have sufficiet evidece to justify the risk tolerace i the uit have a better performace. Keywords: fud of fuds, portfolio, efficiet frotier, coefficiet of variatio * Chi-Chua HUANG, Associate Professor, Iformatio Maagemet Dept., Mig Chua Uiversity, Taiwa. Mei-Che CHU, Associate Professor, Iformatio Maagemet Dept., Mig Chua Uiversity, Taiwa Hsiu-Chua LIU, Maager, Techology Divisio, Tera-ASPer digital service corp.