共同基金績效評估與持續性分析

An analysis of mutual fund performance and performance persistence

陳美雯(Mei-Wen Chen)

指導教授 ： 黃志典

國立臺灣大學/管理學院/國際企業學研究所/碩士(2007年)

https://doi.org/10.6342/NTU.2007.01546

摘要

本研究主要探討兩個問題：（1）共同基金績效評估；（2）共同基金績效持續性。為使研究期間能涵蓋臺灣股市多頭及空頭時期，故以1997年1月至2006年12月為研究期間，並以34支開放式上市股票型基金為研究樣本，利用其月資料進行績效之評估。茲將研究方法及結論分述如下：
（1）共同基金績效評估
本研究利用Treynor指標、Sharpe指標及Jensen指標進行整體績效評估，並以Treynor and Mazuy模型及Chang and Lewellen模型來評估共同基金之選股及擇時能力。
在整體績效評估方面，實證結果發現，在Treynor指標、Sharpe指標及Jensen指標下，多數基金之指標值為正，但整體而言，共同基金之表現無法打敗大盤。在選股及擇時能力方面，實證結果發現，國內共同基金多不具有顯著之選股能力及擇時能力，且兩者存在抵換關係。

（2）共同基金績效持續性
本研究利用Jensen指標、Treynor and Mazuy模型及Chang and Lewellen模型進行績效持續性之分析。實證結果發現，在整體績效方面，以Jensen指標作為排名依據時，國內共同基金之整體績效不具持續性。在選股能力及擇時能力方面，不論以Treynor and Mazuy模型或Chang and Lewellen模型為排名依據時，整體而言，國內共同基金之選股能力及擇時能力均不具持續性。

關鍵字

共同基金績效評估 ； 選股能力 ； 擇時能力 ； 績效持續性

並列摘要

This paper uses 34 Taiwan open-end mutual funds over a 10-year period to measure fund performance and performance persistence. The research methods and conclusions are shown as below:
(1) Mutual funds performance
This paper examines the performance of mutual funds using Treynor index, Sharpe index and Jensen index, and estimate stock picking and timing ability using Treynor and Mazuy model, and Chang and Lewellen model.
In mutual funds performance, our estimates provide evidence that most mutual funds have positive Treyor index, Sharpe index and Jensen index. However, there is no significant difference between the performances of mutual funds and the market portfolio. Moreover, our empirical results show that most mutual fund managers lack for stock picking ability and timing ability and there is a trade-off relationship between these two abilities.

(2) Mutual funds performance persistence
This paper uses Jensen index, Treynor and Mazuy model, and Chang and Lewellen model to examine the performance persistence. Our empirical results show, mutual fund performances ranked by Jensen index lack for persistence. Moreover, stock picking ability and timing ability ranked by Treynor and Mazuy model or Chang and Lewellen model are not significant in persistence.

並列關鍵字

Mutual funds ； Mutual fund performance ； Stock picking ability ； Timing ability ； Performance persistence

參考文獻

1.Blake, D. and A. Timmermann, 1998, Mutual Fund Performance: Evidence from the UK, European Review of Finance, 2, 55-77.

2.Carhart, M.M., 1997, On Persistence in Mutual Fund Performance, Journal of Finance, 52, 57-82.

3.Chang, E.C. and W.G. Lewellen, 1984, Market Timing and Mutual Fund Investment Performance, Journal of Business, 57, 57-72.

4.Chen, H.L., N. Jegadeesh and R. Wermers, 2000, The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers, Journal of Financial and Quantitative Analysis, 35, 343-368

5.Chen, C.R. and S. Stockum, 1986, Selectivity, Market Timing and Random Beta Behavior of Mutual Funds: A Generalized Model, Journal of Financial Research, 9, 87-96.