The Performance of Mutual Funds Investment Portfolio and Investment Strategy
| Autor: | Ting-Yu Chu, 褚庭宇 |
|---|---|
| Rok vydání: | 2014 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 102 The thesis aims to investigate the Markowitz portfolio theory associate with the VIX fear index and apply to mutual fund portfolios, hoping to provide investors when investing in mutual funds as to when the VIX index and sharply pulled low reference standards. It also allows ordinary investors to avoid chasing the high and kill low investment strategy, and long-term vision to look at investing in mutual funds. This data contain year 2012 to 2014 which obtained from Morningstar Fund Awards Fund and be established more than ten years. According to the mean-variance model of Markowitz (1952), we can seek the optimal efficiency of the leading edge of efficient portfolio model for the study, divided into six months trading period, quarter,month, and based on the VIX trading at 20% of ups and downs to make decisions and Change 10% of investment, respectively. Empirical results show that the average rate of return of VIX-20% is greater than the VIX-10%, a longer period of return on investment is better than trading during trading knowledge. Based on MV portfolio theory and every six months performance,the VIX-20% is the best trade rule. In summary, the empirical results prove that Markowitz portfolio theory and the VIX volatility strategies provide investors as a reference portfolio. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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