A Study on the Performance Evaluation and Asset Allocation of the Public Emplyees Pnesion Fund

• Main Authors: Liu Na-Yen, 劉娜延
• Other Authors: 劉代洋
• Format: Others
• Language: zh-TW
• Published: 1999
• Online Access: http://ndltd.ncl.edu.tw/handle/01229892410209452752

碩士 === 國立臺灣科技大學 === 管理研究所企業管理學程 === 87 === Abstract The Purpose of this study is to investigate the current update and funding management of mutual fund and pension fund system among foreign and domestic countries, to evaluate the investment performance and effectiveness of public pension fund, and to work on a simulation of the optimal asset portfolio and then make a solid recommendation in that regard. The Scope Covers both the monthly rate of return of pension fund in the period from July''84 and January''88 and the period before July''84 of both open and closed-end mutual fund. The statistical methodology including Sharpe indicator, Treynor indicator, Jenson indicator, and M.C.V indicator to measure the investment performance of public employee pension fund. In addition, Markowitz efficiency frontier analysis is applied for the optimal asset portfolio simulation. The major conclusions draw from this study are as follows: The average realized rate of return is greater than that of legal rate of return of public employee pension fund, The average realized rate of return is greater than market rate of return of publi employee pension fund , Relative to market mutual fund performance ,almost all measured indicators present a better performance in public employee pension fund, A mixture of investment in both stocks and bonds fulfills the target of the best asset portfolio of public employee penson fund, The investment performance could do better by going more internationalized to diversify their asset portfolio.