The purpose of this study is to present the model which reflect the Price-Earning (P/E) ratio, transaction costs, and appraisal return so that it can operate the fund aggressively.
The presented model is focused on the equity-style fund which invests its total money to stocks. The measures of the performance are Treynor's evaluation value for the portfolio performance and Sharpe's, and the rate of return of portfolio. The samples of this study are the 105-listed companies that have listed 6-years from Jan. 1978 to Dec. 1983.
The results of this study are as follows:
First, the rate of return's of the presented model portfolio are significantly higher than those of the Stone model portfolio, those of market portfolio and the riskless rate of return's in α=0.001 T-test.
Second, the values of Treynor's performance measure and Sharpe's of the presented model portfolio are significantly greater than those of the Stone model portfolio and those of market portfolio in α=0.01 T-test.
Third, the low P/E portfolio's performance are significantly greater than the market portfolio's in α=0.05 T-test.
The results of this study are useful to the individual investor if he can change the conditions a little, as well as the fund manager.
Finally, present the problems of this and further studies in this field.
