共同基金投資組合之研究－以金磚四國股票型基金為例

A Study of Mutual Fund Portfolio-Example of BRIC Equity Mutual Funds

10.6704/JMSSD.2009.6.1.68

趙淵博(Yen-Bo Chio)

馬可維茲 ； 效率前緣 ； 羅吉斯回歸 ； Markowitz ； Investment Portfolio Theory ； Logit Regression

管理科學與統計決策

6卷1期（2009 / 03 / 01）

68 - 79

繁體中文

本研究以一般投資大眾的投資需求角度，來審視所組成的投資組合，在多變環境中，是否該透過資產配的轉變來取得更大的報酬及規避風險。本研究依據Markowitz(1952,1959)之投資組合理論為分析基礎，採用金磚四國BRIC（中國china、印度India、巴西Brazil、俄羅斯Russia）股票型基金做為組合的資產，基金淨值取自2004年1月年至2007年12月各基金公司所刊登之淨值，進行效率前緣實證。實證研究發現1.經由投資組合降低且分散風險，達到風險程度最小的投資組合。2.投資組合的資產配置改變其投資組合資產權重，將可獲得到更大的報酬且可降低風險。3.長期投資報酬率會高於短期投資報酬率，投資人可以透過長期投資共同基金以獲得較高的報酬率。

This study used the Investment Portfolio Theory of Markowitz (1952, 1959) as the foundation of the analysis. It used the equity funds of BRIC (Brazil, Russia, India and China) as the combination of properties, funds and net values. The samples were the net values published by the mutual fund companies from January, 2004 to December, 2007. We do research for efficient frontier in the duration. This study discovered that: 1. the investment portfolio with the lowest possible risk was obtained through the decrease of investment portfolio and diversified risks. 2. the asset allocation of the investment portfolio changed the asset weight to obtain higher return and lower risk.

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