The Comparison between Average Method and Variance- Covariance Model: Taiwan Mid-Cap 100 Index

• Main Authors: Wan-Ling Wu, 吳婉鈴
• Other Authors: Chu-Hsiung Lin
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/uudg55

碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 101 === Since financial crisis in Year 1997, occurrence of 911 in Year 2001 and subprime mortgage crisis in Year 2008, etc., it has caused significant changes in financial market. In this ever-changing investment environment, how to build a best portfolio is an important issue for the investors. This research mainly adopted average method and variance-covariance model that brought up by Elton, Gruber and Padberg (1976) to calculate performance of weights for portfolio. It used constituent stocks in Taiwan Mid-cap 100 Index as research subjects and selected monthly rate of return of each constituents stock from publishing till June, 2012 as historical data. This research used Realized Returns, Jensen Index, Sharpe Index and Treynor Index and return of Taiwan Mid-cap 100 Index to compare performance of portfolio and furthermore compared with rate of return for Taiwan Mid-cap 100 Index. The evidence of result are as follows: 1. The data of return for covariance method is better than average method and its performance is better than average rate of return for Large-cap and average rate of return for Taiwan Mid-cap 100 Index. 2. When excluding 4 stocks which was published in Year 2010 and calculated with 96 constituent stocks in Taiwan Mid-cap, we found that there is no change that rate of covariance method is higher than average method. 3. With further analysis, we found that the result of performance won’t be different because of estimated value ρ of correlation coefficient and it won’t change the result that covariance method is higher than average method. 4. According to the evidence of result, the best combination of rate of return that constructed by covariance method is better than the performance of directly invested Taiwan Mid-cap 100 Index.