台灣共同基金之績效與持續性

The Performance and Persistence of Mutual Funds in Taiwan

蕭瑩瑩(YING-YING HSIAO)

指導教授 ： 莊益源

國立中正大學/管理學院/財務金融學系/碩士(2015年)

並列摘要

The common issues for mutual funds are which fund is relative efficiency and how to choose a suitable fund or an investment portfolio is an important and hard task for general investors. The purpose of this study is to evaluate the performance and persistence of the mutual fund in different categories which are equity funds and the random equity funds over the period from January 2008 to December 2014. We use monthly data in this study and concentrate on the performance and persistence of the mutual fund under different methods.
The empirical results show that the performance of mutual funds under different methods by using Treynor measure, Jensen measure or modified Sharpe measure are almost the same. The Kendall's coefficient of concordance under these three methods all reveal strongly consistent, and with 5% of the statistical significant level. For the performance persistence of mutual fund, there is no evidence to support the existence of performance persistence in equity funds, due to the characteristics of equity funds which potentially generate high returns but tagged with high risks and volatility. During the 2008 financial crisis may cause the equity funds exhibit higher volatility leading to the mutual fund performance persistence does not exist.

並列關鍵字

Persistence ； Mutual Fund Performance ； Equity Fund

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