Templeton Global Bond Fund and Real Estate Mutual Funds for Investment Combination Performance Estimating

• Main Authors: Liu, kun wang, 劉坤旺
• Other Authors: Lai, wen quai
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/89110637070117968546

碩士 === 大葉大學 === 國際企業管理學系碩士在職專班 === 99 === This research was made based on the global bond portfolio fund and global real estate fund as samples. The research period was from November 2007 to November 2010, total three years of monthly data. Sharpe’s, Treynor’s and Jensen’s performance indicators were used for analysis. Then, Markowitz’s efficient frontier was adopted. After that, a portfolio analysis was made by means of investment genetic algorithm. The research result showed - 1. From the efficient frontier graph of Markowitz’s portfolio, it was found that the best portfolio was centralized in the global bond portfolio fund. Therefore, this research indicates that if an investment is made in the near future under the environment of global economic depression, the global bond portfolio fund will create a higher reward, and bear a lower risk. 2. From the research of three years of genetic algorithm, it was found that the best investment was fund portfolio. The next one was Taiwan stock market. The worse one is the US bond market. For a long term investment, the fund investment is better than the investment in Taiwan stock market and the US bond market. 3. From the research, it was found that adopting genetic algorithm was fast and efficient to get the best portfolio and reward. The investor may set his operational parameters depending on his preference so as to get the best investment policy.