| Summary: | 碩士 === 義守大學 === 資訊管理學系碩士班 === 96 === A financial market provides a mechanism for creating and exchanging financial assets of all sorts. The difference in market conditions and macroeconomic conditions contributes to the difference in the returns and risks of financial assets, and in the correlation among different assets. Therefore, investors may construct a portfolio that best fits their risk preference and is consistent with the investment goals.
Portfolio management is the art and science of making decisions about investment mix and policy, matching investments to objectives, asset allocation for individuals and institutions, and balancing risks against returns.
In this study, we choose mutual funds as the individual assets in the portfolio. Since mutual funds themselves provide benefits of diversification and professional money management, we adjust the weight of each mutual fund in the portfolio to effectively increase investment returns and decrease risk with proper asset allocation.
This research, on the basis of the ten-year rate of return of Domestic Mutual Fund Performance Evaluation provided by Professor Tsun-Siou Lee and Professor Shean-Bii Chiu, National Taiwan University, of Morningstar Ratings, of Lipper Leader Ratings, and of Standard & Poor''s Ratings, choose 10 mutual funds, in accordance with the net asset values, used of the research sample. The sample funds include 5 equity funds (Capital Marathan Fund、Prudential Financial High Growth Fund、Yuanta Excellence Fund、Templeton Growth Fund 、Fidelity European Growth Fund ) and 5 bond funds (TGSS High Yield Fund、TGSS US Government Fund、EPIC AU AmEx Funds USD Bonds、Fidelity International Bond Fund、INVESCO GT Bond Fund). We conduct research for the period of 2Jan1997 to 31Dec2006. The cumulative returns and the standard deviations for 1,3,5,10-year period are calculated.
The empirical results show that：
1. Mutual fund is favorable for long-term investors.
2. “Time in the market” is more relevant to the portfolio returns than “Timing the market”. “Time in the market” refers to the length of time the investment stays in the market. Adopting a longer-term approach to the market usually results in less volatility in the performance. “Timing the market” refers to buying when the market is low and selling when it’s high.（Time is more important than Timing.）
3. The longer the investment period, the fewer risks of fluctuation in returns. In other words, investors should invest in longer-term to overcome risks arising from market fluctuation and gain when market rebounds.
4. Compared to the return of bond funds, the return of equity funds is higher since such investment offer better returns for the higher risk involved.
5. If the investment is confined to the domestic equity funds, the higher percentage investment in Capital Marathan Fund is made, the higher return is achieved.
6. If the investment is confined to the foreign equity funds, the higher percentage in Fidelity European Growth Fund investment is favorable.
7. If the portfolio contains both equity and bond funds, the higher percentage of equity funds, the better the portfolio performance; if the equity and bond funds are equally weighted in the portfolio, the portfolio performance is mediate.
8. The goal is to identify individual investor’s acceptable level of risk tolerance, and then to find a portfolio with the maximum expected return for the level of risk. The portfolio should be monitored and adjusted periodically.
The results of our research are expected to help investors in portfolio selection and asset allocation.
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