碩士 / 國立成功大學 / 國際企業研究所 / 84 / In order to disperse investment risk, overseas mutual fund has
become a newinvestment channel for people. When investors choose
funds, performance measuresystem for mutual fund could be the
reference index. On the other hand, there will be a standard for
investment trust corporation to measure fund manager''
sperformance. Since Ross issued Arbitrage Pricing Theory in
1976, the proxy problem ofmarket portfolio has be avoided. He
provided a new performance measure method,intend to exclude all
the external factors that could affect invetment performance,
obtain real selective and timing ability of fund manager. When
wemeasure performance by APT, we should discuss factor number
and factorabstration. Otherwise, in order to conform ordinary
linear regression model,we must test and adjust it.
Performance rank during study period by area, Asian area is the
best, Japan area is the worst. By mutual corporation, GT Fund
and Aetna Fund are the best, two Fidelity Fund is the worst.
There is no timing ability in most fund managers. Envidence
empirical reveal that performance rank don''t form structual
change by using different abstract method or performance index,
and the rank of mutual fund is reliable.
| Identifer | oai:union.ndltd.org:TW/084NCKU0320003 |
| Date | January 1996 |
| Creators | Terng, Wahn-Lie, 滕萬里 |
| Contributors | Chin E. Lin, 許溪南 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 79 |
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