碩士 / 大葉大學 / 管理學院碩士在職專班 / 104 / The study compared cross-border equity funds issued by domestic
fund company with the offshore funds issued by foreign fund company.
I constrained both kind of funds are invested in Asia-Pacific region and
compared the fund performance (three-month return, six-month return,
one-year returns and Sharpe ratio) as well as risk (annualized standard
deviation, Beta) for the two groups of funds. The empirical results found
that although cross-border equity funds have lower 3-month rate of
return, 6-month rate of return and one-year rate of return than that of
offshore funds, but the differences are not significant. From the samples
collected, I have no evidence to indicate that offshore funds performed
better than cross-border equity funds. However, in terms of Sharpe ratio,
offshore funds performed better than cross-border equity funds. It
implied that offshore funds have higher risk premium than cross-border
equity funds. Finally, offshore funds had a higher annualized standard
deviation or Beta than cross-border equity funds and indicated that the
holdings of cross-border equity funds have low risk and is relatively
conservative.
| Identifer | oai:union.ndltd.org:TW/104DYU01121078 |
| Date | January 2016 |
| Creators | HUANG,MEI-LING, 黃美玲 |
| Contributors | WU,SHENG-CHING, LIN,TSUNG-HAN, 吳勝景, 林宗漢 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 40 |
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