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Title:	共同基金投資組合配置基於三戰二勝的績效持續 Mutual Fund Portfolio Allocation Based on Best-of-Three Performance Continuation
Authors:	陳麒如 Chen, Qi-Ru
Contributors:	江彌修 Chiang, Mi-Hsiu 陳麒如 Chen, Qi-Ru
Keywords:	開放型共同基金共同基金績效持續性投資策略 Open-end mutual funds Persistence of mutual fund performance Investment strategy
Date:	2018
Issue Date:	2018-07-10 15:34:38 (UTC+8)
Abstract:	近幾十年來，共同基金一直是全球增長最快的金融產品之一，尤其在美國。從1990年到2016年，共同基金淨資產增長了16倍，到2016年達到18.9萬億美元。如今，全球投資於開放式基金的資產總額為40.4萬億美元。因此，本篇論文以開放式共同基金為投資標的，建立投資策略。在之前許多文獻證實了共同基金績效持續性的存在後，本文通過績效持續性建立一個簡單的投資策略，並利用多期判斷基金績效去選擇目標基金進行投資。與之前的文獻一樣，本文證實了基金績效持續性的存在，並且發現如果整個基金市場出現虧損時，在下一年有較大的幾率出現績效反轉。並通過與整個基金市場的績效比較，本文建立的投資策略獲得了較高的收益。 In recent decades, the mutual funds have been one of the fastest growing financial products in the world, especially in the United States. From 1990 to 2016, net assets of mutual fund had grown 16 times, and reached $18.9 trillion at 2016. At that time, the total worldwide assets invested in open-end funds is $40.4 trillion. Therefore, this paper uses open-end equity mutual funds as investment targets to establish an investment strategy. Many previous literatures confirmed the existence of mutual fund performance persistence, this paper establishes a simple investment strategy, the Best of Three Strategy, through performance sustainability and uses multiple periods to judge fund performance to select target funds for investment. Like previous literature, this paper confirms the existence of sustainability of fund performance and finds that if there is a loss in the entire fund market, there is a greater chance of performance reversal in the next year. And through comparing with the performance of the entire mutual fund market, this investment strategy established in this paper, the Best of Three Strategy, has obtained higher returns.
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Description:	碩士國立政治大學金融學系 1053520401
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G1053520401
Data Type:	thesis
DOI:	10.6814/THE.NCCU.MB.016.2018.F06
Appears in Collections:	[Department of Money and Banking] Theses

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