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|Title: ||台灣就業99指數與勞退基金委外操作之績效分析;Taiwan RAFI EMP 99 Index and the performance of Taiwan Labor Pension Fund′s mandated management|
|Keywords: ||勞退基金;就業99指數;績效分析;風格分析;擇時能力;Taiwan Labor Pension Fund;Taiwan RAFI EMP 99 Index;Performance evaluation;Style analysis;Market timing|
|Issue Date: ||2015-09-23 12:01:04 (UTC+8)|
四、擇時能力分析則顯示在分析期間基金並不具有擇時能力。;The investment performance of the Taiwan labor pension fund has attracted continuing attention of the labors and the government. Since the new labor pension system launched, the poor investment performance has been criticized severely, yet the revealing of the delegated manager fraud further deteriorated the professional image and supervisory ability of the labor pension fund.
This study investigates whether Taiwan RAFI EMP 99 Index is a better relative performance benchmark than TAIEX index for Taiwan labor pension fund’s delegating investment business. It also tries to analyze the correlations between the performance and the characteristics of each delegated fund, such as investment style, stock picking ability, and the market timing ability.
The empirical results show that first, the performance of the Taiwan RAFI EMP 99 Index does not outperform the TAIEX index significantly, but the risk indicators were lower. Second, the performance of each delegated fund is correlated with its tracking-error, investment style, and stock picking ability. Specially, the lower the risk indicators, tracking-error, and the Jensen′s Alpha value is, the better the performance shows. Third, the investment style within the same relative performance group is quite similar, supporting that the investment style is related to the investment performance. Finally, none of the delegated funds demonstrated market timing ability in this analysis period.
|Appears in Collections:||[財務金融學系碩士在職專班] 博碩士論文|
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