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系統識別號 U0026-3105201122311700
論文名稱(中文) 管理期貨基金績效真實性檢定
論文名稱(英文) Testing the Performance of CTA Funds Based on A Data-Snooping-Bias Free Approach
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance & Banking
學年度 99
學期 2
出版年 100
研究生(中文) 邱宥融
研究生(英文) Yu-Jung Chiu
學號 r8797115
學位類別 碩士
語文別 中文
論文頁數 40頁
口試委員 指導教授-顏盟峯
口試委員-王澤世
口試委員-劉裕宏
中文關鍵字 管理期貨基金  拔靴真實性檢定  資料探勘  橫截面拔靴法 
英文關鍵字 Commodity Trading Advisor funds  bootstrap reality check  data snooping bias  cross-sectional alpha bootstrap 
學科別分類
中文摘要 本文在檢定管理期貨績效的真實性,檢定時為了避免產生資料探勘(data snooping bias)的問題,故採用Kosowski , Timmermann , Wermers , and White(2006,此後簡稱KTWW)所提出控制資料探勘偏誤的檢定方法,來檢定CTAs經理人究竟是否具有異常報酬的操作能力。並根據CISDM數據資料庫,CTAs可分為全權策略 CTAs和系統性策略 CTAs二類來探討。透過KTWW檢定後,本文實證結果顯示,表現好的Discretionary CTAs和Systematic CTAs,相對於單因子、四因子、五因子基準模型的t_α ̂ 值,大部分都顯著為正,代表二者CTAs都具有能產生正異常報酬的操作能力。反之,表現差的Discretionary CTAs在單因子、四因子、五因子、十因子模型下,t_α ̂ 值都無法被證明在統計上顯著為負值,代表績效差的Discretionary CTAs不是因操作能力不佳而產生負報酬,僅是統計上的抽樣變異使然。而表現較差的Systematic CTAs在同樣四個模型下,部分產生顯著為負的t_α ̂ 。代表部份的Systematic CTAs表現不佳不是一群同儕基金同時被比較之下,資料探勘造成的結果,而有可能是因基金經理人的確具有較差的操盤能力。
英文摘要 In this study we aim to test the performance of CTA Funds. In order to avoid the data- snooping-bias problem, we use the Kosowski, Timmermann, Wermers, and White (called KTWW for short) approach to examine if the CTA fund managers have a genuine ability to gain abnormal returns. According to our database, CISDM, the CTAs are divided into discretionary CTAs and systematic CTAs. Based up on the KTWW test, our empirical results show that discretionary CTAs and systematic CTAs tend to show a significant, positive t_α ̂ value with respect to the single-factor, four-factor, and five-factor models. This result shows that both types CTAs that perform well have a genuine ability to gain risk-adjusted abnormal returns. As to CTAs that perform badly, discretionary CTAs tend to show a negative but statistically insignificant t_α ̂ with respect to the single factor, four-factor, five-factor, and ten-factor models. This finding shows that the poor performance of discretionary CTAs is not due to their fund managers’ poor skill but rather a result of sampling variation. However, some systematic CTAs do show a negative and statistically significant t_α ̂ with the four factor models, indicating the genuinely bad management ability of these fund managers.
論文目次 目次

摘要............................ II
Abstract....................... III
誌謝............................ IV
目次............................ V
表目錄.......................... VI
圖目錄.......................... VII
第一章 緒論..................... 1
1.1 研究背景和動機.............. 1
1.2 研究目的................... 4
1.3 主要發現................... 5
1.4 本文貢獻................... 5
1.5 研究架構................... 6
第二章 文獻回顧................. 7
2.1 績效衡量指標................ 7
2.2 商品交易顧問基金(CTA Funds)..8
2.3 資料探勘偏誤控制方法......... 9
第三章 研究方法..................12
3.1 資料描述....................12
3.2 敘述統計....................14
3.3 研究方法....................19
3.4 橫截面α值拔靴法..............21
3.5 定態拔靴法.................. 24
第四章 實證結果與分析.............26
第五章 結論及未來研究建議......... 37
5.1 結論....................... 37
5.2 未來研究建議................ 38
參考文獻.........................39

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