Dissertations / Theses: 'Investment performance index'

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Eves, Alfred Christopher, University of Western Sydney, College of Law and Business, and of Construction Property and Planning School. "Developing a NSW rural property investment performance index." THESIS_CLAB_CPPP_Eves_A.xml, 2003. http://handle.uws.edu.au:8081/1959.7/810.

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This thesis is based on the analysis of all rural property sales transactions that occurred in NSW over the period 1990-2000 and is the first complete state wide analysis of a rural property market in Australia. Previous studies on rural land performance have been restricted in both limited time periods and limited location areas. The importance of rural property, as an investment asset has been recognised in the US and UK with both countries having a rural property performance index. These indices are similar in construction, quality and reliability as the commercial property, residential property and share market indices that are also available in these countries to analyse the performance of these investment assets. Until the development of the rural property capital and total return indices in this thesis, there has never been a comprehensive and complete set of rural property investment indices available to assess the risk/return performance and investment portfolio benefits of rural property in Australia. The actual construction of the indices in this thesis have been based on the current indices produced by the Property Council of Australia for office, retail, industrial and hotel property in Australia. Based on the work in this thesis, rural property investment performance can now be compared to all major investment assets available in Australia. This research will be ongoing to ensure that the performance of rural property will be available on a semi-annual basis for use by all institutions, companies and individuals with an interest in the investment potential of rural property in Australia Doctor of Philosophy (PhD)

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Eves, Alfred Christopher. "Developing a NSW rural property investment performance index /." View thesis, 2003. http://library.uws.edu.au/adt-NUWS/public/adt-NUWS20051125.144519/index.html.

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Gouveia, André Gonçalves Pinto de. "An alternative stock index for benchmarking portuguese investment funds." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/10136.

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Mestrado em Finanças O índice PSI 20 é o padrão de referência por excelência da Euronext Lisboa. No entanto, os gestores de fundos portugueses que investem em ações nacionais podem não ter a possibilidade de replicar a carteira do PSI 20, devido às restrições ao investimento impostas pela regulação europeia para os mercados financeiros, nomeadamente as Diretivas UCITS. Este trabalho vai analisar até que ponto estas limitações podem ser impeditivas da performance dos fundos de investimento. É feita uma caracterização da legislação aplicável, bem como do segmento de fundos de investimento em ações nacionais que atuam no mercado nacional. Criou-se um índice alternativo ao PSI 20 para o período 2004-2011, respeitando os limites legais ao investimento, que servirá como benchmark da performance da amostra de fundos de investimento, que inclui todos os fundos em atividade durante o período completo em análise. Verificou-se que a nova série de rendimentos do mercado obtida, conquanto não sendo estatisticamente diferente do PSI 20, apresentou um retorno superior e volatilidade ligeiramente inferior. Procedeu-se à avaliação da performance utilizando indicadores clássicos. Os resultados obtidos sugerem que a maior diversificação imposta pela legislação não tem necessariamente um impacto negativo sobre os retornos obtidos, e que a comparação com um índice sujeito às mesmas regras dos fundos não leva a conclusões mais favoráveis à gestão ativa. Não se encontrou qualquer prova que os gestores de fundos, enquanto grupo, consigam obter de forma consistente uma performance acima do retorno do mercado, ajustado pelo risco. While the PSI 20 blue-chip index has been widely used as a benchmark for the Portuguese stock exchange, it may not be replicable by fund managers due to investment limits imposed in UCIT European regulation. This dissertation compares the relative performance of a set of Portuguese mutual funds against both the standard PSI 20 benchmark and a modified version which fully respects said limits. Results show that the greater diversification imposed by the legal rules does not necessarily imply a sacrifice in terms of returns, and that no evidence was found of consistent, abnormal returns by active management, when evaluated by the modified benchmark.

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Van, Dyk Francois. "Portfolio diversification index as a measure to improve investment portfolio performance / Francois van Dyk." Thesis, North-West University, 2008. http://hdl.handle.net/10394/4193.

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Diversification is one of the three most prominent elements of portfolio management with risk and return being the other two. In addition, diversification is a core objective for combining assets and is a central tenet of portfolio construction. It is also widely known that diversification is concerned with the number of unrelated sources of return and in essence the aim of diversification is to eliminate unsystematic risk from an investment portfolio while systematic risk will remain as it can not be diversified away. This study focuses on the concept of diversification in an investment portfolio setting, while specifically investigating a relatively "new" diversification measure, the Portfolio Diversification Index (PDI). The objectives of this study are twofold. First, establishing whether or not the PDI is a good diversification measure compared to the conventional/traditional and widely used residual variance method. The traditional method of measuring diversification remains inexact as this method measures portfolio diversification relative to a market index. When the market index itself is, however, poorly or not appropriately diversified it becomes problematic as the diversification measurement of the residual variance method is influenced. The PDI is a diversification measurement concept which is essentially free from the influences of the overall market index. This relatively "new" measure of diversification, the PDI, is based on the number of independent factors observed in a portfolio. These independent factors are quantified using Principal Components Analysis (PCA). In ascertaining the first objective the PDI battles "head-to-head" against the residual variance method of diversification by comparing fund ranking results of five South African unit trusts. This method of testing is used as no suitable statistical method exists. The fund ranking results of the two diversification measures are compared to a number of risk performance measures, including the Sharpe- and Sortino ratios. Extensive use is also made of the Omega ratio in this study as the Omega emerges as the dominant risk performance measure. The second objective of this study is to determine whether the PDI can be used as a tool by fund managers to assist in constructing funds (or changing the composition of existing fund) to reduce (or minimise) portfolio risk without a concomitant reduction in portfolio return. The PDI is used to determine the most independent factors of a South African unit trust where after' this fund is optimised, using the information of the independent factors, in order to reduce the risk of this fund. The Omega ratio is used to evaluate the results of the PDI while the marginal portfolio diversification concept is also investigated. A thorough literature study also presents the most relevant and important concepts and topics of the theory, management and construction of portfolios. Throughout the literature study the concept of diversification along with the topics most relevant to diversification are extensively focused and elaborated on. The method of testing used not only confirms that the PDI is a good diversification measure compared to the residual variance method, but that the PDI can also be used as a tool when constructing (or changing the composition of an existing portfolio) in order to reduce the portfolio risk without a concomitant reduction in portfolio return. Thesis (M.Com. (Risk Management))--North-West University, Potchefstroom Campus, 2009.

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Kim, Dongwook S. M. Massachusetts Institute of Technology. "Adjusted pure-play portfolio REIT equity index : historical performance of public and privacy real estate investment." Thesis, Massachusetts Institute of Technology, 2007. http://hdl.handle.net/1721.1/42041.

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Thesis (S.M. in Real Estate Development)--Massachusetts Institute of Technology, Dept. of Architecture, 2007. This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections. Includes bibliographical references (leaf 42). The public real estate market was initiated by the Real Estate Investment Trust Act of 1960. Since then, investors have been concerned with the assessment of performance comparisons between publicly held assets and privately held assets. The main concern for the assessment is to reveal historically which type of ownership provided the more efficient vehicle for the investors. The National Council of Real Estate Investment Fiduciaries (NCREIF) provides the investment performance of privately held commercial real estate, and the National Association of Real Estate Investment Trust (NAREIT) provides that of publicly held commercial real estate by REITs. However, direct comparison between the two indexes is problematic due to the different characteristics of each market and the lack of historical data for accurate assessment. The primary purpose of this study is to adjust characteristics of commercial REIT assets underlying one portfolio to match the characteristics of privately held commercial assets. Since SNL data base provides hedonic data from 1995 and CRSP & Compustat merged data base provides up to 2005 Q4, the sample period of this research is from 1995 Q1 to 2005 Q4. This quarterly assessment is conducted at the property sector (retail, apartment, office and industrial), then at the aggregate level. The main research of this thesis is to create adjusted REIT equity index that is derived from the following treatments in the thesis. Pure-Play' Portfolio Methodology will be applied to replicate the performance of four real estate property-type sectors defined by NCREIF - Implemented updated Equity to Total Asset ratio from De-leveraging REIT returns by WACC formula based on CRSP and Compustat merged data to obtain the value weights of equity, debt and total assets. (cont.) As a proxy for the returns of debts held by REITs, Gilberto-Levy Historical Mortgage Rate will be used as a proxy for the returns of debts held by REITs. Sector-Mix Adjustment according to NCREIF sector weights. REIT index investment cost proxied by Vanguard REIT fund expense (95-05) will be deducted from adjusted REIT equity index. In this thesis, private real estate equity investment performance is represented by the MIT Transaction Based Index (TBI) and NCREIF Property Index (NPI). Both TBI and NPI returns are deducted by asset management fees estimated by the NFI-ODCE index (NCREIF) over the same time period. Purpose of these adjustments is to improve evaluation of publicly and privately held commercial real estate asset investment performances relative to one another. Preliminary comparison between NAREIT equity REIT index and NPI quarterly returns from 1995-2005 was conducted to collect the mean return difference. Then the difference after the treatments was compared to observe the effects of the author's method. The results demonstrate that at the aggregate level the difference between REIT and NPI returns reduced from 1.08% to 0.74%, and the difference between REIT and TBI returns reduced from 1.64% to 0.18%. by Dongwook Kim. S.M.in Real Estate Development

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Alda, García Mercedes, Agudo Luis Ferruz, and Ruth Vicente Reñé. "Análisis de los fondos de inversión y de pensiones en España: evolución y eficiencia en la gestión." Pontificia Universidad Católica del Perú, 2012. http://repositorio.pucp.edu.pe/index/handle/123456789/114781.

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Mutual funds and pension funds are the most important investment products in Spain. Nonetheless, it should not be confused with each other, or take them as equivalent; since the latter have also the characteristic of a long-term savings product, in order to obtain additional funds for retirement. These differences may influence the investor when deciding on one of these instruments, but also the manager, developing different management strategies.Therefore, on this paper we examine the main magnitudes of both markets in Spain. Moreover, we analyze the performance of two Spanish fund samples (one with global equity mutual funds and another with global equity pension funds) with the purpose of showing if their performance is efficient, and if there are differences on their management. Los fondos de inversión y los fondos de pensiones son los productos de inversión colectiva más importantes en España. Sin embargo, no deben confundirse entre sí ni tomarlos como equivalentes, ya que los segundos se caracterizan por ser un producto de ahorro a largo plazo cuya función es disponer de un capital adicional en el momento de la jubilación. Esta diferencia puede influir tanto en el inversor, al momento de decidirse por alguno de ellos, como en el gestor, que puede desarrollar diferentes estrategias de gestión. Por ello, en este trabajo se examinan las principales magnitudes de ambos mercados en España. Además, se analiza la eficiencia en la gestión de dos muestras de fondos españoles —una de fondos de inversión de renta variable global y otra de fondos de pensiones de renta variable—, con el objetivo de mostrar si sus gestiones son eficientes y si existen diferencias en ellas.

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Jiráský, Jakub. "Hodnocení efektivnosti investičního projektu při respektování ekonomického rizika." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2016. http://www.nusl.cz/ntk/nusl-240230.

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This master’s thesis is aimed to evaluate the effectivity of an investment project while respecting economic risks. These are the basic elements of the thesis: analysis and effectivity performance and evaluation of economic risks of an investment project. The goal as well as the outcome of the thesis is using these principles above for conducting a case study based on a real data.

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Braga, Alexandre Xavier Vieira. "Análise de desempenho das maiores administradoras de fundos de investimentos de renda fixa no Brasil." Universidade do Vale do Rio do Sinos, 2005. http://www.repositorio.jesuita.org.br/handle/UNISINOS/2795.

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Made available in DSpace on 2015-03-05T19:11:30Z (GMT). No. of bitstreams: 0 Previous issue date: 21 Nenhuma A indústria de fundos de investimento no Brasil está concentrada no segmento de renda fixa. Dos cerca de R$ 220 bilhões depositados em fundos, hoje, R$ 200 bilhões aproximadamente estão nesse segmento e R$ 20 bilhões em carteiras de renda variável. Observou-se que no primeiro semestre de 2002, os fundos de investimento em geral tiveram alguns problemas que diminuíram bastante os seus retornos. A mudança da métrica de avaliação dos fundos, da chamada Curva de Juros para a Marcação a Mercado, provocou profundas transformações em termos de mensuração de valor dos fundos de renda fixa. Neste contexto, verificou-se a performance das 17 maiores administradoras de fundos no período 1997-2003 com dados diários. O método empregado foi a Análise de Dados em Painel. A hipótese de que as administradoras de fundos nacionais privadas obtêm igual relação risco-retorno em suas carteiras do que as administradoras de fundos nacionais estatais e as administradoras de fundos estrangeiras não foi comprovada. As administradoras es The industry of investment fund in Brazil is concentrated in the segment of fixed income. About R$ 220 billion are deposited in funds nowadays, from which R$ 200 billion approximately are in the fixed income segment and R$ 20 billion in variable income portfolios. In the first semester of 2002 it was observed that investment funds in general had substantially reduced their returns. In the wake of the change of the evaluation metrics of funds from yield curves to mark-to-market, caused profound transformation in the value of fixed income funds. In this context, the performance of the 17 biggest asset management firms in the period 1997-2000 in a daily basis has been assessed. The hypothesis that private Brazilian asset management firms have a similar risk-return performance in their portfolios as state and foreign firms has been rejected. Foreign asset management firms had a superior performance with respect to Brazilian private firms, while private firms sustained a superior performance vis-à-vis state firms

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Poon, Hing Chuen. "The performance of non-index individual stocks and stock portfolios relative to the index." HKBU Institutional Repository, 2020. https://repository.hkbu.edu.hk/etd_oa/891.

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Extensive empirical evidence shows that passively managed index-tracking mutual funds and exchange-traded funds (ETFs) outperform actively managed portfolios. On the other hand, there are abundant findings that stocks admitted to an index outperform those deleted from the index. This study tests an issue that has been largely ignored in academic studies but is highly related to the above two seemingly disparate areas of researches. The paper examines the long-term performance of non-index individual stocks and stock portfolios relative to the index. The study proposes that the inclusion and maintenance criteria for index component stocks are long-term performance indicators. Therefore, an index can be regarded as a passively managed and highly diversified portfolio of expected outperformers. Using a complete set of H-shares listed on HKEx for the period 2001 to 2017, the study finds that 44.25% (55.75%) of individual stocks have positive alphas (negative alphas) relative to the index. The average alpha for the family of all non-index stock is negative but statistically insignificant, i.e., 77 positive alphas and 97 negative alphas. Most alphas are statistically insignificant, but only 5 are positive, and 2 are negative at 5% significance level. From the risk and return perspective, the index dominates two-third of the non-index H-shares. Regression analyses show that H-index outperforms non-index H-shares in general and the market capitalization and turnover ratio play an important role in determining the long-term performance of H-shares, which are the major factors for the admission and maintenance criteria of H-index. The findings strongly support our conjecture that the index admission and maintenance criteria are the quality assurance of individual constituent stocks of an index. The paper provides incremental evidence on the widely documented result that index trackers outperform actively managed portfolios. Nevertheless, the study extends the recent literature on the long-term performance of stocks that are admitted to (or excluded from) an index. The findings of the study have significant implications for securities markets participants, including index providers and ETF issuers

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Meinhardt, Christian. "Essays on actively and passively managed financial products." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2015. http://dx.doi.org/10.18452/17310.

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Diese Dissertation besteht aus fünf empirischen Studien. Zwei Studien befassen sich mit passiv gemanagten Finanzprodukten. Sie untersuchen den Replikationsprozess von Exchange Traded Funds (ETFs) und vergleichen hierbei die Replikationsgüte von synthetischen und physischen ETFs. Oftmals wird darauf verwiesen, dass synthetische ETFs eine höhere Replikationsgüte besitzen als physische ETFs. Dies lässt sich für Renten-ETFs bestätigen, allerdings nicht für Aktien-ETFs. Zudem wird gezeigt, dass ETFs und Indexzertifikate, die sich im direkten Wettbewerb befinden, im Hinblick auf ihre Geldmittelflüsse komplementär, allerdings nicht perfekt komplementär zueinander sind. Dieser Effekt lässt sich mithilfe der Replikationsgüte und einer Zuordnung beider Indexprodukte in verschiedene Marktnischen erklären. Weitere drei Studien befassen sich mit aktiv gemanagten Finanzprodukten. Sie widmen sich der Frage, ob mithilfe von Fondsbewertungen wie dem Feri Trust Rating, der Finanztest-Bewertung und der FondsNote die zukünftige Performance deutscher Aktienfonds prognostiziert werden kann. Hintergrund ist, dass Investoren Fondsbewertungen in ihre Anlageentscheidung einbeziehen. Sie investieren vor allem in Fonds, die eine Top-Bewertung aufweisen. Die Prognosefähigkeit von Fondsbewertungen kann sich allerdings stark voneinander unterscheiden. Die Ergebnisse zeigen, dass mithilfe der FondsNote am besten zwischen sich zukünftig besser und schlechter entwickelnden Fonds differenziert werden kann. Die Prognosefähigkeit lässt sich durch Kombination der drei Fondsbewertungen sogar erhöhen. Dies hängt allerdings von der Kombination und dem verwendeten Performancemaß/-zeitraum ab. Zudem werden Faktoren untersucht, die einen Einfluss auf die Prognosefähigkeit haben können. Es wird gezeigt, dass qualitative Bewertungsfaktoren nicht zu einer Erhöhung der Prognosefähigkeit beitragen. Stattdessen weisen die Fondskosten und das Verhalten der Investoren einen signifikanten Einfluss auf. This thesis consists of five empirical studies that deal with actively and passively managed financial products. The first two studies focus on the replication process of exchange-traded funds (ETFs) and compare the tracking ability of ETFs based on physical replication of their benchmark indices with those of synthetic ETFs. Contrary to conventional wisdom, synthetic equity ETFs are not different in terms of tracking errors from their physical counterparts. However, synthetic fixed-income ETFs have lower tracking errors than physical fixed-income ones. Moreover, the second study examines the coexistence of ETFs and index certificates within one market by analyzing the relationship between their money flows. Evidence shows that ETFs and index certificates complement each other, but not in a perfect way. This effect can be explained by similar tracking abilities and a segmentation of investors into different market niches. The other three studies address the question if fund ratings like the Feri Trust rating, the Finanztest-Bewertung, and the FondsNote can predict the future performance of German equity mutual funds. The reason is that investors include fund ratings in their decision-making. They primarily invest in funds which have the best fund rating. However, fund rating predictability can significantly differ among fund ratings. Results indicate that the FondsNote can best distinguish between well and poorly performing funds. Predictability can be enhanced by a combination of fund ratings. However, it depends on the particular fund rating combination, the chosen performance measure, and the post-rating period. Moreover, these three studies analyze factors that could influence the predictability of fund ratings. It is shown that qualitative factors can hardly improve the predictability. By contrast, the costs of funds and the behavior of investors with regard to fund ratings significantly influence the ability to predict future performance.

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Deniz, Johannes, and Osarenkhoe Nicholas. "Stock performance in spinoffs : Do spin-offs perform better than the stockmarket index?" Thesis, Stockholms universitet, Företagsekonomiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-145143.

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Кузьминых, А. Д., та A. D. Kuzminykh. "Факторы повышения конкурентоспособности международных компаний в современных условиях : магистерская диссертация". Master's thesis, б. и, 2020. http://hdl.handle.net/10995/95064.

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Выпускная квалификационная работа состоит из трёх глав и заключения. Объем работы составляет 123 страница. Темой диссертационной работы «Факторы повышения конкурентоспособности международных компаний в современных условиях». Исследование является актуальным, так как энергетика находится на этапе всеобщего перехода к возобновляемым источникам энергии. Enel глобализирует распространение новых технологий и нуждаются в иностранных инвестициях стран потенциального будущего присутствия. Целью выпускной квалификационной работы является разработка рекомендаций для компании, находящейся в стадии подготовки к привлечению иностранных инвесторов. Объектом научно-исследовательской работы является итальянская энергетическая компания Enel s.p.a. Предметом – особенности стратегического планирования компании энергетической отрасли. Проведена оценка энергетической отрасли в ситуации пандемии COVID-19. Высказаны предположения по поводу последствий влияния пандемии на рынок энергетики. Описаны особенности деятельности компании-объекта, организационная структура, а также риски и корпоративное управление. Проведена оценка основных производственноэкономических показателей̆компании, а также оценка стоимости компании. Далее проведен анализ рынка конкурентов путем оценки результатов деятельности четырех основных конкурентов. Проведена оценка позиции Enel S.P.A на энергетическом рынке на основании положения крупнейших конкурентов. Разработана стратегия повышения инвестиционного потенциала международной энергетической компании. Проанализирована эффективность деятельности компании путем выявления рисков. Привлечены такие методы, как «Three Pillars of Electricity industry sustainability», The 3A Framework», SWOT анализ. Далее проведена оценка глобальной деятельности компании путем вычисления Индекса транснациональности. Выявлены аспекты ключевой стратегии Enel. Завершающей частью работы стало разработка рекомендаций для повышения возможности трансформации внутренней̆ среды Enel S.P.A. в целях повышения привлекательности общества в свете интересов иностранных инвесторов. The study is relevant, as the energy sector is at the stage of universal transition to renewable energy sources. Enel is globalizing the spread of new technologies and needs foreign investment from countries with a potential future presence. The purpose of the final qualification work is to develop recommendations for a company that is in the process of preparing to attract foreign investors. The object of the research work is the Italian energy company Enel s. p.a. The subject is the peculiarities of strategic planning of the company in the energy industry. An assessment of the energy industry in the situation of the COVID-19 pandemic was carried out. Suggestions have been made about the impact of the pandemic on the energy market. The features of the target company's activity, organizational structure, as well as risks and corporate governance are described. The assessment of the main production and economic indicators of the company, as well as the assessment of the company's value, was carried out. Further, the analysis of the competitors ' market is carried out by evaluating the performance of the four main competitors. The assessment of Enel S. P. A's position in the energy market is based on the position of its largest competitors. A strategy has been developed to increase the investment potential of an international energy company. The effectiveness of the company's activities is analyzed by identifying risks. Methods such as "Three Pillars of Electricity industry sustainability", The 3A Framework", SWOT analysis are involved. Further, the assessment of the global activity of the company is carried out by calculating the Index of transnationality. Aspects of Enel's key strategy are identified. The final part of the work was the development of recommendations to increase the possibility of transforming the internal environment of Enel S. P. A. in order to increase the attractiveness of the company in the light of the interests of foreign investors.

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Huang, Yu-Chih, and 黃友志. "A Study on the Investment Performance of Index Adjustment." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/13189413203793131702.

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碩士 國立雲林科技大學 財務金融系碩士班 100 According to the past study on index adjustment when reconstructing, it exist abnormal return on the addition and deletion.We discuss whether the return of addotions and deletions differ from the stock market significantly,and use the additions and deletions to make portforlio.Finally,we examine whether the portforlio can beat the stock market.This research is based on the data obtained from the Taiwan 50 Index, Taiwan Mid-Cap 100 Index, Taiwan Technology Index, Taiwan High Dividend Index, Taiwan Eight Industries Index, and Taiwna Weighted Index in Taiwan and Russell 1000 Index, Russell 2000 Index and Nasdaq Index in American.The empirical result shows that the return of additions and deletions didn’t differ from the stock market in Taiwan significantly, and using the portforlio to arbitrage couldn’t beat the stock market in Taiwan; however, the return of additions and deletions differ from the stock market in America significantly,and using the portforlio to arbitrage could beat the stock market in America.Therefore, we consider that using additions and deletions to make portforlio to arbitrage in America market is proper than Taiwan market.

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TSANG, SHUN-HIN, and 曾淳軒. "Investment Performance of Index Futuresin Bull and Bear Periods." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/t3xzux.

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碩士 東吳大學 經濟學系 106 The empirical purpose of this paper is to apply the LSM model and the moving average method estimation method and investment transaction analysis of Vince (2009 and 2011) to the index futures of each country. We use five countries and regions to use the index futures during the period of 1984/12-2016/12 as the research subject for empirical analysis. The countries are categorized by emerging, developing, and developed countries. We use Vince's (2007, 2009) single-asset cash management model to estimate the optimal investment ratio to form investment strategies for buy and sell orders. For the sake of comparison, we use the most commonly used moving average method in the technical indicators for performance analysis, and use the moving average breakthrough strategy to form a portfolio of buy and sell orders. In addition, this paper proposes to divide the investment situation of countries into bull and bear periods, and analyze the investment performance of the moving average method and LSM model in the bull and bear period. In the performance analysis, we mainly use the trade ratios, annualized return rate, standard deviation and sharpe ratios. The empirical analysis shows that the moving average method and the LSM model have their own advantages. When the moving average method is used in Hong Kong and India, the LSM model has a high rate of return in the UK and the US during the bear period. However, the LSM model has a lower standard deviation and the index changes are more stable.

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Lin, Cian-Yu, and 林芊妤. "PERFORMANCE COMPARISON BETWEEN STOCK PORTFOLIO AND INDEX FUTURE INVESTMENT." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/20104111838686847230.

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碩士 銘傳大學 經濟學系碩士班 96 Based on an identical investment strategy, concerning particularly the part of identifying the turning point of market movement, it is interesting to compare different performance from stock portfolio and index future investments. Furthermore, the reasoning behind the difference, if any, can also be analyzed as a consequence. Basically, there are certain unique features to deviate index futures from stock portfolios such as simplicity, leverage effect and so on. Therefore, with the existence of information and knowledge asymmetry, there might still have a significant difference between the investment performance from stock portfolio and index future, respectively. Empirical work from this study can include the followings. First, solving the problem of optional data size, this job can be easily completed by extending 陳芸慧 (2007) study. Second, establishing the analytical approach of switching investment positions, as this can be managed by creating two trends representing the WINDEX deviation, taken from both long and short – side market portfolios, and its first difference. Last, settling the doubt of eliminating any hedge tool accompanying both kinds of market portfolios, and this point can be supported after conducting event studies with respect to those highly volatile trading days within the sample period. Major outcomes of this empirical study can be summarized as: (1) Stock portfolio is superior to index future investment with respect to “Taiwan 50”, the reason may lie behind the autonomous hedging function existing within the frontier; (2) The optional date size to be used is 25 and 51 for the long and short – side market portfolio, respectively, revealing the fact that both momentum are quite different in the stock market; (3) It is not necessary to use any hedging position aside the stock market portfolio, as the latter already can exhibit certain degrees of autonomous hedging features based on its essence of picking up the best concurrent stock group in the stock market and sufficient degrees of risk diversification.

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Fan, Chih-Hsien, and 范志先. "A Study of Investment Performance Evaluation of Social Responsibility Index and Evil Index." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/90215620898672794407.

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碩士 清雲科技大學 國際企業管理研究所 97 With the enhancement of environmental awareness of all the "social responsibility" and that gradually importance, however, the subject of investors to invest is a different attitude. "Index of social responsibility," pointed out that investors will focus on labor-management relations, respect for human rights, attention to environmental protection and reduce the depletion of natural resources for its investment in securities of companies subject, while the "evil index" is devoted to investment in tobacco, alcohol, arms and other related securities aggregate index. The purpose of this study were beta coefficient, standard deviation, Sharpe index and an average annual rate of return a year or three years at an average annual rate of return analysis. Integration to aggregate data from the above analysis to identify a better index of the relative performance of commodities, and the use of variance, historical simulation and Monte Carlo simulation method to calculate VaR, provided to investors, investment direction reference. In the short period of time, Clvrt social responsibility evil ISE index and the average annual index return between -28.5% -12.8%, the annual standard deviation of between 22% ~ 23%, the risk value is between 0.1314 ~ 0.1963; in the long period of time , Clvrt Social Responsibility Fund and evil ISE index funds at an average annual rate of return of between 9.64% ~ 22% of the standard deviation was between 9.5% ~ 11.4%, the risk value is between 0.0410 ~ 0.0949.

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Chen, Yu-Chang, and 陳佑昌. "Corporate Governance and Investment Performance withFTSE TWSE Taiwan 50 Index and Gretai 50 Index." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/9m4mj3.

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碩士 國立臺中科技大學 企業管理系事業經營碩士班 102 ABSTRACT Corporate Governance has become a prominent issue since the outbreak of the financial crisis in 2008, with various organizations and scholars bringing up research papers and evaluation modes. The purpose of this research is to establish a simple standard of Taiwan Corporate Governance Index, based on the inner mechanism of corporate governance structure and the research of Chen, Kao, Tsao and Wu in 2007. It aims to reveal the association of ownership structure and board characteristics with investment performance by analyzing such variables as board size, CEO duality, managerial ownership, block shareholder and pledge. The result of this research will serve as a guide for enterprises to formulate their management strategies or for foundations and investors to decide their investment policy and reduce investment risk. This research gathers the samples from the indexes of FTSE TWSE Taiwan 50 and Gretai 50, with the years ranging from 2011 to 2013 to validate its findings. This research shows that corporate governance index has a positive relation with board size, CEO duality, managerial ownership and block shareholder while the ratio of pledge has a negative impact on the index. As for the investment performance, the corporations with high TCGI gain more profits than those with low TCGI . High TCGI corporations indicate the positive result of investment performance and ownership; in contrast, low TCGI ones have investment risks to consider. Keywords：Corporate Governance, ownership structure, board characteristics, risk management

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CHANG, YEN-TING, and 張雁婷. "The Effect of Industrial Financial Index on the Investment Performance." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/07362343137908701685.

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碩士 中華科技大學 經營管理研究所 102 Subprime crisis which increased investment risk has let the investor make the decisions of investment harder than before. From literature review, the results of the fundamental analysis are more suitable to the huge fluctuations of financial markets which induced by subprime crisis than the results of the technical analysis. This study discussed the relationships between the returns on investments (ROIs) and financial indicators(value-based, operating performance, and financial performance) of the Taiwan Stock Exchange listed companies (which are divided by Industry, Services , Electronics, Electronic Components, Peripheral Equipment of Computer, Non-Electronic (OTC) , Electronics (OTC), Electronic Components(OTC)) from 2001 to 2010, and their statistical analysis methods are descriptive statistics, correlation, ANOVA and stepwise regression. Thus, the first purpose of this paper is to use the descriptive statistics analysis to understand the differences among the relationships between ROIs and financial indicators (value-based, operating performance, and financial performance) of different industry. And the second purpose of this paper is to use the analysis of correlation, ANOVA and stepwise regression to understand the differences among the effective financial indicators on the ROIs of the different industry which are got from the different analysis methods. The results show there are differences among the effective financial indicators on the ROIs of the different industry which are got from the analysis of descriptive statistics, correlation, ANOVA and stepwise regression methods. The effective financial indicators on the ROIs of all industries which are got from the descriptive statistics are Price-Book Ratio(P/B) and Performance. The results of Industry (which are got from the analysis of descriptive statistics, correlation, ANOVA and stepwise regression methods) are Earnings Per Share (EPS), Price, Dividend, P/B, Performance, Interest Protection Multiples, Operating Income - Paid-in Capital Ratio; The results of Services are P/B and Performance; The results of Electronics are Price, Dividend, Cash Dividends, P/B, Performance, Return on Equity(ROE), Total Asset Growth Rate; The result of Electronic Components are P/B and Performance; The result of Peripheral Equipment of Computer is P/B; The results of Non-Electronic (OTC) are P/B, Pre Tax Incom/Capital, Performance, Sales(Revenue) Growth Rate, Total asset growth rate; The results of Electronics (OTC) are P/B, Performance, ROE; The results of Electronic Components(OTC) are Price, P/B.

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CHENG, YA-YIN, and 鄭雅尹. "The Performance Analysis of Investment Strategies by Price and Volume Index." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/79374700734993260816.

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碩士 國立高雄應用科技大學 金融系金融資訊碩士班 104 In this paper, we use the volume and the open interest of the TXO and weekly TXO to establish trading volume-weighted index to find the trend of market. We try to establish the relationship of the TAIEX and the trading volume-weighted index by the methodology of time series model. According to the result of the market trend index, we establish time series model to find the equilibrium state of market and build a trading strategy by following the equilibrium. We also separately adopted trading volume and open interest as trend signs to created trading volume-weighted index and put-call trading volume ratio and put-call open interest ratio which is between call and put. The empirical results show the best performance of equilibrium trading strategy of the TXO and weekly TXO are to hold one day and five days. The best performance of trading volume-weighted index strategy is to sell when signal changes. The best performance of put-call trading volume ratio strategy is to hold five days. The best performance of put-call open interest ratio strategy of weekly TXO is to sell when signal change.

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Hsu, Yu-tai, and 許毓泰. "The investment performance of chip concentration index on Taiwan Stock Market." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/99417980630452839016.

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碩士 逢甲大學 經營管理碩士在職專班 98 Taiwan by non-traditional securities trading index tracking investors affect prices, observed changes in concentration chips screened out of their hidden transactions, capital flows and investment that their chips the subject as a new index for the Taiwan stock market investment.

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Shian, Bor-chian, and 薛博謙. "Performance Evaluation in Constructing the Investment Portfolio Based on Tail Index." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/67676303548253048461.

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碩士 國立高雄第一科技大學 財務管理所 95 The assumption that financial asset’s return follows the non-normal distribution is confirmed by many studies. However, there is no direct evidence pointing to a (Fat-Tailed Distributions) in Taiwan market index. In this study, the extreme value theory is employed to calculate the tail index of Taiwan weighted stock index. The left and right tail indices were examined to determine the distribution type and then to check whether they follow normal or Frèchet distribution. Additionally, Gauss-Newton method is used to obtain the three parameters required in estimating the extreme value theory in a non-linear regression. It is known that a low sample number would cause a decrease in the reliability of extreme distribution as well as a decrease in the precision of the estimation of parameters. To overcome this problem, a total of eleven years (1996-2006) of data were analyzed. Finally, we examine the issue whether the performance for investment portfolio based on tail indices has better performance than the market index. The empirical results indicate that both extreme value theories (BMM and POT) have confirmed the Taiwan market index has a non-normal distribution. Additional tests also indicate that it follows the Frèchet distribution. It also shows that the investment portfolios based on either type of tail index can provide better investment performance than the market index.

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Kerry, Huang, and 黃煥彰. "Rise up taiwan eletronic stocks investment performance-Neuralworks combined of technical index." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/26066238543052700022.

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碩士 國立中興大學 企業管理研究所 86 By the development of the computer technology, there are more and more tools for business management, like Neuralworks. Neuralworks is a data process system that simulates the brains and neural systems transportation model. Thereare many researches of this topic. But most of these researches focus on themarket index, lack of the individualstock. This research used Neuralworks which combined the technical index to predict the market and focused on theelectronic stocks.This research used KD,BIAS,RSI,AR&BR,VR, and PSY to be the technicalindex.The data range started from January fifth,1993 to December thirty first ,1997.Because Neuralworks needs to divide the data sample to be the training period andtesting period.This research set up the period(1993-1995)to be the training period and the period(1996-1997)to be the testing period.This research got three conclusions: 1. When the amplitude of the wave is more higher and the the frequency more quicker, it is more easier to operate the model.2.According the simulative result, if the buy signal numbers is close to the sell signal numbers, the result will be more efficient.3. According to 1997 simulative result, in the continued bull or bear market, it will have bad result to the analyse and predict of this model.

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Wang, Wei-Yang, and 王緯揚. "A Study of Investment Performance and Holding Periods of Taiwan Stock Index." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/rrvmd8.

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碩士 國立高雄第一科技大學 風險管理與保險所 96 This study explored the relationship between investment performance and holding periods. The study samples are Taiwan Stock Index from Jan, 2 to Dec, 31 2007. The study targets on the decision system concluded by the operation of technical analysis and the innovative trading strategy, and that is in order to earn excess returns in different transaction timing. Moreover, the study applies technical diagram to forecast market movement. The results revealed that investors could earn the highest return which is according to the indicator of Moving Average Convergence and Divergence (MACD). In addition, the return will increase if the periods of measurement could be extended towards indicators of Moving average (MA) and Relative Strength Index (RSI). However, the returns in terms of innovative trading strategy are negative if we link up Youth rule with Hectometre strategy. It means that the combination strategy should link up other indicators, and that could achieve the objective of constructive investment. In respect to the researching of Old Man rule and Marathon strategy, the average return rate is up to 9% which means that both of the strategies agree with moderate investments. Furthermore, we could get better results if sample periods are extended and timing of indicators is adjusted.

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Huang, Ta-Yuan, and 黃大原. "Statistical Analysis for the Performance of Investment for Taiwan Stock Index Options Markets with Relative Strength Index." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/07620936520876983789.

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碩士 逢甲大學 統計與精算所 95 The objective of the article uses the Relative Strength Index (RSI) in technological analysis to measure the investment performance of in TAIEX index options. The sample period of the TAIEX index are from July 1, 2002 to September 30, 2006 and the present and secondary transaction month of the closing prices on the call and put options. The trade strategy operate the TAIEX index with RSI to indicate the signal for in or out of the market without respect to the bear and bull markets. At a given bull market signal, the investors buy call and sell put options of the index options market. Until bull''s out signal appears, then closed position. On the contrary, at a given bear market signal, the investors sell call and buy put options of the index options market. Until bear''s out signal appears, then closed position. Finally, investment returns of the TAIEX index and the index options do the performance to compare; it is relatively good what performance is measured and probes into the relevant analysis between the two investment returns. Fitting sample linear regression model, that be used to predict return of the option with return of the TAIEX index. The empirical results show that whether taking transaction costs into account or not, investors could earn positive return from the index option market with bull naked strategy. when the RSI strategy is utilized for the bear transactions, only the call option could result in positive return. According to the study, we can conclude that the RSI is an effective index of technical analysis for the bull transactions in Taiwan Stock-Index Options.

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Huang, Chien-Chih, and 黃建智. "A Study on Characteristics-Based Investment Performance: Evidence from Taiwan EMP 99 Index." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/6vzrmv.

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碩士 銘傳大學 財務金融學系碩士在職專班 103 This study uses Taiwan EMP 99 Index as the variable of good companies. Empirical period is from January 2011 to December 2013. This study uses stock characteristics such as price-to-earnings, price-to-book, and cash dividend payout ratio to rank the stocks included in the EMP 99 index and form two portfolios of the top twenty stocks and the bottom twenty stocks. The study employs CAPM (Capital Asset Pricing Model) and Fama-French three-factor model to estimate the returns of portfolios and further compare them with the returns of Taiwan EMP 99 Index and Taiwan Stock Exchange Capitalization Weighted Stock Index. The empirical results show that the portfolios including twenty stocks with the lowest price-to-earnings ratio, the lowest price-to-book, and highest cash dividend payout ratio yield higher performance than the portfolios consisting of twenty stocks with the highest price-to-earnings ratio, the highest price-to-book, and the lowest cash dividend payout ratio. The return of portfolio with the highest cash dividend ratio is better than TSEC Weighted Stock Index and the EMP 99 Index in every year of empirical period. When using a buy-and-hold strategy in continuous three-year period, the portfolios with the lowest price-to-earnings ratio and the lowest price-to-book can beat the EMP 99 index and TSEC Weighted Stock Index.

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Hsu, Tzu-Chiang, and 徐子強. "Study on the Performance of Smart Beta Investment Straegy on Taiwan 50 Index." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/5m8u6f.

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碩士 淡江大學 財務金融學系碩士在職專班 106 In recent years, the size of the Exchange Traded Funds (ETF) has grown continuously, which is closely related to the innovation of the Smart Beta investment strategy. The traditional passive investment uses the Cap-weighting index as the target of tracking, but when market failure or inefficiency, the traditional market cap-weighted index tends to over-weight those stocks whose market value is higher than the company''s real value,and under-weight those stocks whose market value is lower than the company''s real value This study uses one of the Smart Beta strategy - Fundamental Index investment. The period was from May 2007 to March 2018 and was divided into two periods by March 2013. Overall, the fundamental index strategy proposed by this study can create a total return that is better than the benchmark index, in which the weighted strategy of after-tax net profit has the highest total reward, followed by the cash dividend weighted strategy, and the weighted strategy of book value is poor. However, they are better than the benchmark index.The empirical results of this study show that the performance of fundamental index strategy in the first half of the period (from May 2007 to March 2013) is better, but in the second half of the period (April 2013 to March 2018), the effect is not as expected. The probable reason is that the fundamental index strategy is biased towards value investing. When the time entered into 2013, the market atmosphere turned to a rate hike environment, and the performance was not outstanding. However, in terms of risks, fundamental index strategies have the effect of reducing risks in both periods.

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Chu, Yu-Te, and 朱育德. "Comparing Investment Performance about Taiwan Stock Market between Domestic and MSCI Taiwan Index." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/28798162846935813959.

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碩士 國立中興大學 高階經理人碩士在職專班 100 The purpose of this study is to comparethe investment performance of local investment companies in Taiwan stock with foreign Investment institutions外資法人, and to find out the possible causes of the performance differences as the reference for investors.This study used an independent sample t-test for the major research method, and through this method we can compare the actual value of the investment target between different groups of samples.This study selected top 10 local investment companies inthe Taiwan stock market and used MSCI Taiwan index as the performance of foreign Investment institutions because it’s not popular for FII to issue the fund as Taiwan stock in target.The results of t-test shows that the investment performance of local investment company is significantly better than the Taiex; foreign Investment institution is generally better than theTaiex; and local investment company is better than foreign Investment institution.

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Liu, Wen-Ping, and 劉文屏. "Using the Bias to Test the Performance of Investment for Taiwan Stock Index Options." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/29709406874324941473.

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Ouyang, Mei-hui, and 歐陽美惠. "Using the Historical volatility toTest the Performance of Investment forTaiwan Stock Index Options Markets." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/46515876093783971837.

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Chiang, ChunLiang, and 江俊良. "Investment performance of Moving Average Rule and Relative Strength Index in Taiwan stock market." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/35707077026950318471.

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碩士 明志科技大學 工業工程與管理研究所 99 This thesis uses the single indicator （Moving Average Rule）, the single indicator （Relative Strength Indicator）and the integrated indicator （combine Moving Average Rule and Relative Strength Indicator）to decide the timing of buying and selling based on Taiwan stock index. I test whether the performance of these trading rules are better than the buy-and-hold method. The study covers the period from January, 1991 to September, 2010. The sample period is divided to four sub-periods, 1991-1995, 1996-2000, 2001-2005 and 2006- September, 2010. In different sub-periods, I examine the performance of the trading rule. The empirical results show that the performance of the single indicator and the integrated indicator are higher than that of the buy-and-hold return. This suggests that the Taiwan stock market is not efficient in the weak-form. Moreover, the performance of the integrated indicator is higher than that of the single indicator only in 2006-2010. Thus, the integrated indicator is not necessary superior to the single indicator. Finally, the thesis finds that when the integrated indicator uses the “one long one short” strategy （short-term Moving Average Rule combine with long-term Relative Strength Indicator or long-term Moving Average Rule combine with short-term Relative Strength Indicator）, the performance is higher.

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Yan, Chao-ming, and 嚴兆民. "Using Filter Rule to Test the Performance of Investment for Taiwan Stock Index Options Markets." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/51343363870070326853.

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碩士 逢甲大學 財務金融學所 95 This study employs filter rule to make the strategy decisions on investing result of TAIEX market and TAIEX Option market. And give way to investors comprehend when they invest in options, the investing result of considering underlying asset price or option price will be better. The sample period are from January 17, 2003 to January 16, 2007, includes the 994 daily data of TAIEX and the 18,698 daily data of TAIEX Option on the call and put options. By considering the bull and bear market, the result shows that when investors make the strategy decisions with filter rule on TAIEX Option, options have predominance.

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Chen, Ming-Yen, and 陳明炎. "Using the Moving Average to Test the Performance of Investment for Taiwan Stock Index Options." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/43060292576148960873.

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碩士 逢甲大學 經營管理碩士在職專班 92 This research uses moving average technical index to examine in the investment performance of Taiwan Stock Index Options. All the reference data is from Taiwan Stock Index and the closed prices of Taiwan Stock Index Options in Call Option and in Put Option from April 1, 2002 to March 31, 2004. Process the investment strategies of buy a call, sell a put, sell a call, and buy a put via the three trading strategy models, buy long, sell short, buy long and sell short. To study the best investment strategy of Taiwan Stock Index Options in performances between the strategies of holding the stock on spot and Taiwan Stock Index Options is the objective of this research. The interpretation of this research result: 1. In the strategy of buying long, no matter it considers transaction cost or not, the performance of buy a call investment strategy is better than the strategies of sell a put, sell a call and buy a put. The investment return is positive. 2. In the strategy of sell short, the strategy of sell short in buy a call and sell a put are better than the strategies of sell a call and buy a put without considering transaction cost. The investment return is positive. Hence the option should set up in bull market to obtain gain excess return in the signal of bear market. 3. In the double multiply effect of buy long and sell short strategy, when the investment return of buy long strategy or sell short strategy is negative, the negative investment return will aggravate the result.

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Wang, Pao-hsien, and 王寶賢. "Using the Stochastic Line to Test The Performance of Investment for Taiwan Stock Index Options." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/10664929194737840685.

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碩士 逢甲大學 經營管理碩士在職專班 95 This research uses Stochastic Line technical index to examine in the investment performance of Taiwan Stock Index Options. All the reference data is from Taiwan Stock Index and the closed prices of Taiwan Stock Index Options in Call Option and in Put Option from December 24, 2002 to March 18, 2004. Process the investment strategies of buy a call, sell a put, sell a call, and buy a put via the three trading strategy models, buy long, sell short, buy long and sell short. To study the best investment strategy of Taiwan Stock Index Options in performances between the strategies of holding the stock on spot and Taiwan Stock Index Options is the objective of this research. The interpretation of this research result: 1. In the strategy of buying long, no matter it considers transaction cost or not, the performance of buy a call and sell a put investment strategy is better than the strategies of sell a call and buy a put. The investment return is positive. 2. In the strategy of sell short, the strategy of sell short in sell a call and sell a put are better than the strategies of buy a call and buy a put without considering transaction cost and the investment return is positive. 3. In the double multiply effect of buy long and sell short strategy, , no matter it considers transaction cost or not , The investment return is positive.

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Liu, Yen-Liang, and 劉彥良. "An Empirical Study of Applying Technical Indicators In Improving Investment Performance of Taiwan 50 Index Constituents." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/17565503531558872591.

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碩士 國立雲林科技大學 財務金融系碩士班 100 Many investors claim to use technical trading rules capable of "beating the market".The price-volume relationship is often used as an important indicator of investment decision making for the investors.We using eight price and volume of technical index, such as Average、KD、MACD、DMI、VAMA、MQ、EOM and OBV. Respectively, of single technical indicators and composite index.Further consider the three corporate bodies (foreign investor, Investment Trust and securities dealers) Respectively, to assess the investment performance and profit percentage.The sample period used in this research include 2006/01/02 to 2012/03/16, total of 6 years 3 month, which includes bulls, bears, and flat periods.The results show that a single index of poor investment performance of Taiwan''s 50 constituent stocks. The study results show that a single technical index has lower investment performance in Taiwan''s 50 constituent stocks .To simulate the composite index to invest in Taiwan 50, the MACD-VAMA and MACD-MQ index created high return were as high as 89.48% and 75.16% of the investment performance in six years.Further consider the three corporate bodies (foreign investor, investment Trust and securities dealers), will improve the traditional simple volume-based technical index.Overall, the MACD-MQ index(Trading Volume) and the MACD-VAMA index(securities dealers) and the MACD-VAMA index (securities dealers) has a stable and equity premium The research results have reference value for the market investors.

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Chien-Ming, Weng, and 翁建銘. "The Study of Constructing Technical Index to Improve the Performance of Synthetic Put Option Investment Strategy." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/59146360129595118009.

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碩士 輔仁大學 金融研究所 96 The portfolio insurance strategy of Synthetic Put Option is to duplicate the option by allocating the risk property and the non-risk property. Thereupon regarding investors intends to carry out the portfolio insurance strategy, even if there does not have the existence of put option appropriately, they may implement the strategy by the way of duplication. In the thesis, it uses several periods of bull market and bear market to test the feasibility of Synthetic Put Option portfolio insurance strategy on Taiwan stock market from 1997 to 2007. It also uses technical analysis tool (mid and long-term moving average) to determine the trend of stock market, and tries to find the best parameter of dynamic M for enhancing the performance of Synthetic Put Option portfolio. The empirical evidence shows that the modified SPO portfolio insurance certainly generates better average return and performance compared to the tradition SPO, regardless of one year, two years or three years period. The inferential reasoning of Dynamic M is from two parameters λ and γ. In the thesis, it proves that the result of MSPO performance gets better while λ is getting higher, but on the other hand, γ parameter to the influence of MSPO performance is not outstanding.

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Liu, Chung-Wei, and 劉忠偉. "The Performance of Positive Alpha Arbitrage Investment Strategy: Evidence from the Taiwan 50 Index Component Stocks." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/r934hm.

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碩士 國立中央大學 財務金融學系碩士在職專班 96 This study analysis investment strategy, using CAPM to calculate the intercepts of the TSEC Taiwan 50 Index component stocks over the period July first 2005 through July first 2007. Our investment strategy as follows: when relative daily returns of stock over empirical period are less than the difference between relative daily returns and corresponding standard deviations times n (which equal 1.5, 1.75, and 2) of the same stock over test period, we buy stock and short sell TAIEX simultaneously. After relative daily returns of stock over empirical period are more than the difference between relative daily returns and corresponding standard deviations times 0.5, we close our position. The result shows that if we implement this investment strategy every season, and consider transaction costs, we can get 9.23% (n=1.5), 11.28% (n=1.75), and 13.03% (n=2) returns one year. Comparing to other investment strategies, our investment strategy has two advantages: simply worked and simple understand.

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Chen, Chia-Hua, and 陳家驊. "Applying Stochastic Dominance Approach to Analysis the Investment Performance of Component Stocks of Taipei Exchange 50 index." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/12460306979565642694.

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碩士 國立高雄第一科技大學 風險管理與保險研究所 103 The Taipei Exchange 50 Index aims top 50 component stocks selected after weighing the market value of the over-the-counter stocks as the sampling targets. The component stocks with big weighed value might lead to a great portion of change of the component stocks of the Taipei Exchange 50 Index, due to their alteration of being listed in the stock market. Consequently, based on the information of the component stocks of the Taipei Exchange 50 Index, we apply the Stochastic Dominance Approach (Barrett and Donald, 2003) to examine the analysis of investment performance of the semiconductor, computer and peripheral devices, optoelectronics as well as biotechnology and medicine industries, endowed with the Stochastic dominance and screen the targets which boast of the superior investment return. The period for the collection of the study data commences from January 1, 2010 to December 31, 2014. The results suggest that in terms of the examination by the Stochastic Dominance Approach, no matter when the stage is, for example, the first stage, which only considers the preference of the investors for the return rate of the risk type, the second stage, which adds the risk consideration of the investment decision-maker and the third stage, which further inputs the positive risk preference factor of the investment decision-maker, still only PixArt Imaging Inc. in the semiconductor industry is endowed with the three-stage Stochastic dominance in comparison to the computer and peripheral devices industry, the optoelectronics industry and the biotechnology & medicine industry. Accordingly, PixArt Imaging Inc. in the semiconductor industry achieves the best performance in this study, mainly due to its long-term concentration on the development of new technology and applications, its precise grasp of the market trends, its aggressive conduction of the product layout and its focus on the research and development of resources, so that their products all conform to the cost effect of production. It indicates that PixArt Imaging Inc. is an investment target, typical of row risk and stable return.

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Lu, Yen-po, and 盧彥伯. "Test the Performance of Investment for Taiwan 50 Index by Using Qualified Foreign Institutional Investor Buy and Sell Information." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/04349054955658115080.

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碩士 逢甲大學 經營管理碩士在職專班 97 This research mainly examines to gain highest performance of investment for taiwan 50 index by using qualified foreign Institutional investor buy and sell information. This research takes the amount of money for qualified foreign Institutional investor buy and sell and taiwan 50 index as research object.The research period is from July 1,2003 to March 31th,2009 and have 1387 data. Research technique use qualified foreign Institutional investor buy and sell information to set the investment buy and sell condition.It include buy strategy,sell strategy,buy and sell strategy to collocate one day, Continuously two days, Continuously three days, Continuously five days, Continuously ten days qualified foreign Institutional investor buy and sell information Simulated condition, examines Whether can gain highest performance of investment for taiwan 50 index. The conclusions of this research can be summarized as follow:(1)By the way of qualified foreign Institutional investor buy and sell information analysis,it really connote invest value information.(2)If does not consider trade cost,the best short-term invest strategy is trade when qualified foreign Institutional investor one day buy and sell, the best long-term invest strategy is trade when qualified foreign Institutional investor Continuously five days buy and sell,(3) If consider trade cost, the best invest strategy is trade when qualified foreign Institutional investor Continuously five days buy and sell. Keywords: Qualified foreign institutional investor buy and sell,Invest value,Invest strategy, Buy and sell information analysis

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Hsuan, Jung-Fu, and 軒榮富. "Fundamental Stock Selection Using Genetic Algorithm Optimization on Investment Performance between James P. O’shaughnessy and Comprehensive Index Selection Methods." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/96evwu.

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碩士 國立高雄應用科技大學 金融資訊研究所 102 This paper will apply James O’shaughnessy and comprehensive index selection methods to the stock market in Taiwan. The purpose of this paper is to explore the relationship between financial statements and stock prices used in the stock market investment. James O'shaughnessy stock selection method and comprehensive index stock selection method utilize genetic algorithms to perform the optimization of the threshold value, and this study also compares return of investment with three distinct fundamental stock selection rules which are “original James O'shaughnessy”, “optimization James O'shaughnessy” and “optimization comprehensive index” selection methods. During the nine years through backtesting, the empirical results of Taiwan stock market indicate that the investment performance of the original James O'shaughnessy stock selection method is substantially not worse than the optimization James O'shaughnessy stock selection method. As a result, for example based on James O'Shaughnessy, its financial ratios threshold for investors to use in Taiwan stock market is unable to deny the applicability. Finally, the average returns performance of using the genetic algorithm optimization index selection method is the best relative to the empirical investment performance of previous two other selection methods, and investors may earn more profits with applying this method.

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CHO, CHING-MING, and 卓慶銘. "An Analysis of KD Technical Index Investment Performance : The Case Study on Electronic, Financial, and Production Stocks in Taiwan." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/vpjap8.

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碩士 明道大學 企業高階管理碩士班 107 This study aims to find a reliable technical indicator for investors in the stock market which seems to be always unpredictable. In this study, the KD technical indexes is used to verify the investment performance of the electronic, financial and production stocks in the Taiwan stock market. The research collected data containing how the KD technical indexes trading strategy is used for the simulated transaction of the listed stocks from January 1, 2016 to December 31, 2018. The results show that 1) the average profit is higher than the average loss 2)the times of profit is more frequent than that of the loss, and 3)the total rate of return is positive is higher than the bank's deposit interest rate, but lower than the buy-and-hold, which fails to prove that the Taiwan securities market have weak efficiency. The study concludes that when KD technical indexes is applied to financial stocks, they have higher returns and stability, indicating that KD technical indexes have their application value.

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Chen, Chueh Chi, and 陳玨琪. "Applying Grey Forecasting Model on the Investment Performance of Markowitz Efficiency Frontier : A Case of the MSCI World Index." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/32ntkg.

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碩士 國立屏東科技大學 企業管理系碩士班 94 After Harry M. Markowitz introduced Mean-Variance Optimization with Efficient Frontier and Best Capital Portfolio in 1952, many scholars have went further research to improve this model. Using the component markets’ indexes of MSCI World Index from 1999 to 2005 as the samples. This essay uses a grey forecasting model GM(1,1) to improve the investment performance of classical Markowitz efficiency frontier’s investment portfolio and uses Sharpe Index、Treynor Index and Jensen’s Index to measure the returns of efficiency frontier’s investment portfolio. The results show that grey Markowitz efficiency frontier’s investment portfolio models, have more stable and correct connection between ex-ante model and ex-post performance. And they could improve the investment performance effectively and stably.

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Hsieh, Shu-chen, and 謝淑珍. "Using Put/Call Ratio of the Open Interest to Test the Performance of Investment for Taiwan Stock Index Options Markets." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/22909914141588534009.

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Chiu, Ke-yu, and 邱科毓. "Investment Performance of Technical Analysis on the Basis of Moving Average: Evidence from Constituent Stocks of TWSE Taiwan 50 Index." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/483v5y.

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碩士 國立中山大學 財務管理學系研究所 102 This research examines whether the technical analysis method helps investors earn positive returns. The trading strategy is constructed on the basis of moving average combined with the K line and the William’s percent R indicator. The samples include the constituent stocks of the Taiwan 50 Index that the Taiwan Stock Exchange announced on November 4, 2013. The sample period is between January 1, 2004 and September 30, 2013. The empirical results show that the trading strategy of this study could earn high returns.

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Huang, Shin-Wei, and 黃信維. "Applying Grey Forecasting Model on the Investment Performance of Markowitz Efficiency Frontier : A Case of the Dow Jones Industry Index." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/98495730237035141998.

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碩士 國立屏東科技大學 企業管理系碩士班 94 After Harry M. Markowitz introduced Mean-Variance Optimization with Efficient Frontier and Best Capital Portfolio in 1952, many scholars have went further research to improve this principle. This paper uses a grey forecasting model GM(1,1) on improving the investment performance of classical Markowitz efficiency frontier’s investment portfolio using the component securities of Dow Jones Industry Index from 1999 to 2005 as the samples.Using grey Markowitz efficiency frontier’s investment portfolio models, we establish a more stable and correct connection between ex-ante model and ex-post performance. This research uses Sharpe Index, Treynor Index and Jensen’s Index to measure the returns of efficiency frontier’s investment portfolio. The results show the Grey Markowitz efficiency frontier investment portfolio model could improve the investment performance effectively and stably. Especially, a grey Markowitz investment portfolio model D using grey variance and grey covariance, is the best one that constructs a more stable and correct connection between ex-ante model and ex-post performance. The author uses the T test and the empirical result of this thesis shows that the whitening data from GM(1,1) can do that. Keywords: Grey forecasting model, GM(1,1), Markowitz efficiency frontier, Investment portfolio

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Chang, Che-Wei, and 張哲維. "Using the Short-term volatility and the Long-term volatility to Test the Performance of Investment in Taiwan Stock-Index Options Market." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/57242481317110625478.

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碩士 逢甲大學 經營管理碩士在職專班 96 The purpose of this research is make a simulation as an empirical study through the short-term volatility and the long-term volatility, to find out the turning point of the Taiwan Stock-Index Options Market by the approach and out signals with these two indicators. And hope to get additional compensation in the market. As the observation period from 1/1/2005 to 12/31/2006, Two of in-the-money strike price and five of out-the-money strike price to the sample, use 2-10 days for the Short-term volatility and 3-20 days for the long-term volatility to study. In bull strategy it is approach signal when the Short-term volatility break up the long-term volatility, and the out signal when the Short-term volatility down below the long-term volatility. Analysis and find out the operation strategy of the Short-term volatility and the long-term volatility from the most profitable of these four basic strategies:buy call, sell put, sell call and buy put. And enter the test period from 1/1/2007 to 12/31/2007, divided into “considering transaction costs” and “without consider transaction costs” these two kinds of situations. To verify if the best operation strategy in observation period apply to the test period. In addition, in order to avoid can not buy for less turn over the study all set numbers of the turn over must be more then 1000, to meet with the reality of the situation. The results found the operation sarategy of sell put and buy put got the excess reward of consistency, whether considering transaction costs or not, but it caused inconsistent situation of observation period profit and test period loss by the operation strategy of buy call and sell call. The buy call and sell call could not get excess reward in test period, for this point, further analysis found that there were two decline more then 1500 points in 2007(July and November),which were never happened in 2005 and 2006,coupled with the loss of time, caused the poor earnings of buy call. As for the sell call of bear strategy, it was used 7 days for the Short-term volatility and 20 days for the long-term volatility, and reflect the huge fluctuations were slower in 2007 because of the longer volatility, so it was the reason for the loss.

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Hsueh, Yung-Yin, and 薛詠尹. "Comprehensive Index of Corporate Governance as a Related Investment Strategy and Performance of the Company―The Influence of Factors of Family Firm." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/6ch7ye.

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碩士 國立高雄應用科技大學 會計系 104 The 2013 Corporate Governance Roadmap of the Taiwan Financial Supervisory Commission (FSC) considered corporate governance evaluation as one of the key tasks and started the evaluation for all Taiwan-listed companies from 2014, it shows how important the measures of effectiveness of a corporate governance system is. Since family firm is a typical structure in Taiwan, the impact of family firms on company performance is worth exploring. For a sample of 5,174 observations over the period of 2009〜2014, this study investigated the impact of corporate governance and family firms on corporate performance. The empirical results appear that when firms from either single facet or comprehensive index of corporate governance which demonstrated good corporate governance are able to make corporate performance get improved. However, the family firms have a significant negative impact on a firm’s accounting performance, but inversely positive effect on the market performance, which it reflected the differences between the accounting performance and market. In addition, this study further examines whether firms with good comprehensive index of corporate governance have a better share price, the results show a firm with good corporate governance has a better return on investment (ROI) than TAIEX. Finally, the sample firms are separated into two groups: family and non-family and the results indicate that non-family businesses with good corporate governance have a better share price.

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Cheng, Yi-Fang, and 鄭宜芳. "A Study of Grey Theory on Improving the Investment Performance of Technical Analysis Index－An Example of the Nikkei225 Index’s Component Stocks." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/48773398947346684742.

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碩士 國立屏東科技大學 企業管理系所 97 This study uses a grey forecasting model GM(1,1) on technical analysis of securities market using the Nikkei 225 Index’s component stocks for example. Four stocks price technical analysis indexes as KD, RSI, BIAS and W%R are used in this study. The daily, weekly and monthly closing stock prices from January 1998 to December 2007 (after the weight is undone) are adopted as the sample data. This study try to apply GM(1,1) into the raw data to obtain a the whitening one. An empirical result and a t-test of average rate of return were used in performance evaluation. The results show that eleven of twelve technical analysis indexes can improve the performance of investment over 50% than classic ones. And especially daily-BIAS and daily-W%R can improve the performance of investment over 60%. The post-GM(1,1) treatment of technical analysis can’t obtain extra profit than buy and hold strategy. The efficient market hypothesis (EMH) in Japan stocks market cannot be rejected. But obviously the results find that the performance of investment of post-GM(1,1) treatment were better than those of pre-GM(1,1) treatment. And the investors in Japan can use the technical analysis indexes of post-GM(1,1) treatment to obtain higher investment returns.

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Yan, Jing-Ying, and 顏菁瑩. "What is the better of investing small and medium sized stocks using simple investment indicators than Taiwan Weighted Stock Index of performance?" Thesis, 2016. http://ndltd.ncl.edu.tw/handle/72784427410536024609.

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碩士 義守大學 財務金融學系 104 How to increase personal wealth promote our quality of life has become a impotant personal goal. Therefore, this research focus on how to look for some simple financial indicators to invest small and medium sized stocks in the stock market for general investors .It is can earn excess returns to rapid accumulation of personal wealth. The study sample ranges from December 2004 to December 2014 . First, this research use Earnings Per Share (EPS), Price to Earnings Ratio (PER), Market-to-book Ratio (P / B), Return on Total Assets Ratio (ROA), Return on Equity ratio (ROE) and Cash Dividend Yields (CDY) as stock indicators were short-term investments, long-term investment and the establishment composite index compared with the investment performance of Taiwan Weighted averages. This results show using Earnings Per Share (EPS), Price to Earnings Ratio (PER), Market-to-book Ratio (P / B), Return on Total Assets Ratio (ROA), Return on Equity Ratio (ROE) and Cash Dividend Yields (CDY) to calculate ten-year average return on investment are better than the weighted average of the index in Taiwan . The use of Cash Dividend Yields, Market-to-book Ratio, Return on Equity ratio and Price to Earnings Ratio established composite index gained 34.67% of return on investment is much higher than Taiwan''s Weighted Average index 8.44%. Finally, the six stock indicators using to long-term investments, return on investment are better than Taiwan''s Weighted Average index. This study for investors looking for an easy way to index as an investment, the findings may not be a corollary Taiwan stock market efficiency, as can be used to invest in selected shares index excess return and then get similar results Buffett''s value investing and stock picking investment principles, this investment approachIt is the use of the company''s financial indicators, such as the high cash yield stock selection indicators.This study is not considered part of the company''s operating conditions.

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Nkomani, Sibusiso. "Corporate Social Responsibility and financial performance : the Johannesburg Stock Exchange top 100." Diss., 2013. http://hdl.handle.net/2263/26367.

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Corporate Social Responsibility (CSR) is a much debated and ever changing topic. From a South African context, one of the most recent means of measuring CSR has been through the use of the Johannesburg Stock Exchange (JSE) socially responsible investment index (SRII). The JSE SRII was first introduced in 2004 and has grown in popularity and effectiveness since. Included amongst the criteria for inclusion in this index is compliance with black economic empowerment (BEE). The index measures companies against the triple bottom line (environment, society&economy). Companies included in the index are deemed to have good CSR practices. This study evaluates the effects of CSR on the corporate financial performance (CFP) of the top 100 listed companies on the JSE over a 10 year period (2002-2011). The findings of the study suggest that companies not included in the SRII, on average, perform better than SRII companies. The basis of this conclusion is on the analysis of the results of the total return index (TRI), return on assets ratio (ROA) and the net profit margin percentage (NPM). Dissertation (MCom)--University of Pretoria, 2013. Financial Management unrestricted

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Hung, Hsiao Ching, and 洪曉菁. "A Study of Grey Theory on Improving the Investment Performance of Technical Analysis Index－An Example of the Germany DAX Index’s Component Stocks." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/2t5pye.

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碩士 國立屏東科技大學 企業管理系所 98 Using the daily, weekly and monthly data of the DAX Index's Component Stocks from January 2003 to March 2009 as examples, this thesis try to improve the investment performance of technical analysis indices in Germany Stocks Exchange Market. First of all, this thesis whitens original data through a grey model GM (1,1), and grey technical analysis indices are obtained. I use traditional technical analysis indices like RSI, BIAS, KD, and WMS%R as agency indices; compare the investment performance between original and grey technical analysis indices. Based on the empirical results, I find: Ten of twelve technical analysis indexes can improve the investment performance over 57% than the original ones which significant at 95%. Especially daily, weekly, and monthly BIAS can improve the investment performance over 77%. Obviously the results indicate that the investment performance after GM(1,1) treatment are better than those of pre-GM(1,1) treatment. And investors can use the grey technical analysis indexes to obtain higher investment returns in Germany Stocks Exchange Market. But due to almost the pre and post-GM(1,1) treatment of technical analysis can’t obtain extra profit than the buy-and-hold strategy (BHS), the weak-form efficiency market hypothesis (EMH) in Germany Stocks Exchange Market could not be rejected significantly.

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