题名

全球次級房貸風暴下對臺灣共同基金績效之影響

并列篇名

The effect of Taiwan Mutual Fund Performance during the Global Subprime Mortgage Storm

DOI

10.6989/JN.200812.0263

作者

黃聖棠(Sheng-Tang Huang)

关键词

共同基金 ; 次級房貸 ; 績效評比 ; 資訊比率 ; 固定收益 ; mutual funds ; subprime mortgage ; performance ; Information ratio ; fixed-income fund

期刊名称

南亞學報

卷期/出版年月

28期(2008 / 12 / 01)

页次

263 - 287

内容语文

繁體中文

中文摘要

在排除樣本生存偏誤及選擇偏誤下,我們嘗試用Treynor ratio(Treynor, 1965)及Sharpe ratio(Sharpe, 1966)及來評估國內共同基金在全球次級房貸風暴下的績效;並進一步用Treynor and Black(1973)所提出資訊比率(Information ratio)指標,衡量基金經理人創造主動報酬的績效。結果發現臺灣境內共同基金在全球次級房貸風暴下的績效全面下跌,僅固定收益型與類貨幣市場基金型共同基金能維持年報酬率為正值。

英文摘要

This paper evaluated domestic mutual fund performance with the Treynor ratio (Treynor, 1965), and the Sharpe ratio (Sharpe, 1966) without sampling Survivorship bias and Selection Bias during the global subprime mortgage storm. The authors also measured the active-abnormal-return ability of mutual fund managers with Information ratio proposed by Treynor and Black (1973). The authors discovered that the Taiwan domestic mutual fund performance fell a lot during the global subprime mortgage crunch. There are only positive performance in fixed-income mutual funds and quasi money market mutual funds.

主题分类 人文學 > 人文學綜合
工程學 > 工程學綜合
社會科學 > 社會科學綜合