| Summary: | 碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 106 === It is a very common practice nowadays for local people to earn extra income through investment, and mutual funds are particularly favored among investors. However, given the extensive variety of mutual funds available, choosing the right product has become an important part of investors' decision-making process. This article studies the performance of exchange-traded funds (ETFs), high-yield bond funds, equity funds and bond funds, and uses the Sharpe Ratio and Treynor Index for performance assessment. Findings of this assessment will help construct investment portfolios that deliver decent returns, and aid investors in decision-making.
The empirical results show that the weight of ETFs holding in a portfolio is positively correlated with the performance of that portfolio. When ETFs increase in weight, the Sharpe Ratio and Treynor Index of that portfolio would also increase. In contrast, a decrease in weight is followed by a fall of the Sharpe Ratio and Treynor Index. The weight of equity fund holding in a portfolio is positively correlated with the performance of that portfolio. When equity funds increase in weight, the Sharpe Ratio and Treynor Index of that portfolio would also increase. In contrast, a decrease in weight is followed by a fall of the Sharpe Ratio and Treynor Index. The weight of bond fund holding in a portfolio is negatively correlated with the performance of that portfolio. When bond funds increase in weight, the Sharpe Ratio and Treynor Index of that portfolio would decrease. In contrast, a decrease in weight is followed by a rise of the Sharpe Ratio and Treynor Index. The weight of high-yield bond fund holding in a portfolio is negatively correlated with the performance of that portfolio. When high-yield bond funds increase in weight, the Sharpe Ratio and Treynor Index of that portfolio would decrease. In contrast, a decrease in weight is followed by a rise of the Sharpe Ratio and Treynor Index.
Performance of the abovementioned funds, from best to worst, is ranked as follows: ETFs, equity funds, bond funds, then high-yield bond funds. The study indicates that ETFs deliver the best investment returns among other compared funds.
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