题　目：Ranking Funds by Extracting Information from Multiple Performance Measures 主讲人：牛维方博士（钜融资本管理公司投资长) 时　间：98年5月15日(星期五)上午10:40-11:30 (上午10:20-10:40茶会於交大统计所429室举行) 地　点：交大综合一馆427室 Abstract Performance measures play important roles in ranking funds and investment decision. However, what's discrepant is that well-performed funds for a specified period under specific measures will not necessarily deliver satisfactory returns in the future. The key to the problem is just whether these performance measures efficiently catch the major information required in investment decisions or not. This study tries to provide a framework for investigating the performances of performance measures. It is found that some commonly used performance measures indeed provide similar information contents, and making decisions relying on these measures generally leads to a portfolio that is much more volatile compared to diversifying to the fund pool. However, for a specially designed set of measures that contains different aspects of information, applying dimension reduction techniques may help extract the information required for investment decisions. 敬 请 公 布 欢 迎 参 加 --

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