全球健康護理基金績效研究

Study on Performance of Global Health Care Funds

本文探討重點在於以健康護理基金為研究對象，以2009年1月1日至2014年12月31日共 六年之基金淨值為探討範圍，透過報酬率、夏普指數、b 係數、風險值等基金指標的評估，再以 拔靴法挑選出最適風險值模型，最後以夏普指數與風險值的四象限分析圖，找出最佳的投資選擇， 提供給投資人未來決策之參考。 研究結果顯示，在平均報酬率、夏普指數與 b 係數方面，駿利環球生命科技基金A的表現皆較好，因此相對於市場的波動風險程度則較高，景順全球康健基金表現較差，但是相對於市場的波動風險程度較低。根據拔靴法選取最適風險值模型，顯示九檔健康護理基金最適風險值模型皆為相對95% VaR。而四象限圖分析的結果顯示，最佳的投資標的為新加坡大華全球保健基金與百 達非專利醫藥R兩檔健康護理基金。

This research are focused on nine Health Care funds from 2009/1/1 to 2014/12/31 by method of rate of return, Sharpe ratio, β coefficient, VaR (value at risk) and investigated investment performance and value of risk by bootstrapping. Finally, used to Sharpe ratio and VaR made four quadrant to find out best choice of investments, offer investor suggestion of investment. The results show that Janus Global Life Sciences A has good performance by rate of return, Sharpe ratio and β coefficient but relatively high volatility risk of market; Invesco Global Health Sciences has bad performance but relatively low volatility risk of market. According to bootstrapping results that nine Health Care funds' optimum VaR model were relatively 95% VaR. Finally, nine Health Care funds made four quadrant analyses, excellent targets of investment were United Global Healthcare and Pictet-Health R.