碩士 / 中原大學 / 國際貿易研究所 / 99 / The research finding of Chen-Min Hsu shows that the U.S. sub-prime mortgage crisis in the first half of 2008 was one of the reasons causing oil and raw material index price to rise and subsequent international financial tsunami which resulted in credit contraction, declining demand of commodity market, and insufficient consumer confidence. Under the conditions of global oil price increase, the exhaustion of energy resources, and the global warming, all foci are on energy. The price of energy has affected the global economic growth and attracts investors’ money. This study uses five energy funds issued in Taiwan to analyze their Returns, Sharpe index, Treynor index. In addition, this study uses three Var evaluation methods,namely Variance-Covariance Approach , Historical Simulation , and Monte Carlo Simulation . Research finding show that the performances of Investec GSF Glbl Energy C Inc Grs USD are best which also associate with higher risk.
Moreover, this research divides the whole period into before, during, and after the finance crisis periods to study the performance and risk. Research findings show that before the crisis period （Jan.1, 2005-DEC.31,2006）, the performance of BGF New Energy C2 USD are best with lower risk in favor of investors. During the crisis period（Jan.1, 2007-DEC.31,2008）, the performance and risk are the worst with low return and high risk. After the crisis（Jan.1, 2009-DEC.31,2010）, the performance of Investec GSF Glbl Energy C Inc Grs USD are best which shows the fluctuation of energy stock is the highest and can easier be affected by the stock.
Based on the above findings, we think investors could use the characteristics of taiwan’s energy performance and risk, the research period, different investment objectives, and different research methods to get research results closer to the realty. Theoretically, performance and risk show positive correlations. But investors could use the research finding of this study to pursue higher performance and lower risk investment so investor could pursue energy fund in a higher oil price environment.
| Identifer | oai:union.ndltd.org:TW/099CYCU5323003 |
| Date | January 2011 |
| Creators | Chiung-Hsin Chang, 張瓊心 |
| Contributors | Chun-Fang Ho, 何瓊芳 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 64 |
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