建構共同基金投資組合之研究：開放式股票型基金為例

A Study of Constructing Mutual Funds Portfolios for Open-end Equity Funds in Taiwan

倪衍森(Yen-Sen Ni) ； 李仁在(Jen-Tsai Lee) ； 李方瑋(Fang-Wei Lee)

《臺灣企業績效學刊》 4卷1期 (2010/12) Pp. 45-65

https://doi.org/10.6697/TBPJ.201012_4(1).0003

摘要

共同基金是國內主要的理財工具之一，如何評選基金應是值得探索的課題，本研究透過五種操作策略來找出優於大盤的基金投資策略，並探討何種篩選法則來選取基金為優，並進一步分析影響基金績效之成因；經由本研究實證發現，某些篩選法則，如4433法則與54321法則，及考量貝他值與Sharpe值下所選取之基金的投資組合，其績效是能打敗大盤；此外淨值報酬率與入選次數、基金規模有正向影響，然而與基金成立年資的影響反而是負向，此好像說明，雖然有人說歷史是寶貴的資產，但有時候也會背負著沈重的包袱。

關鍵字

共同基金 ； 績效評估 ； 績效持續性

並列摘要

Mutual funds are important investment instruments for domestic investors, so how to evaluate the performance of the portfolio of mutual funds would be a worthwhile topic to investigate. This paper employs five different rules for selecting the portfolio of mutual funds superior to the market index, and the factors of affecting the performance of mutual funds portfolios are examined as well. In this empirical study, we find the performance of mutual funds selected by 4433 rule, 54321 rule, and rule with concerning beta and sharpe index will outperform than the market index. In addition, we also find that the scale of a mutual fund and the number selected as superior mutual fund has positive effect to the performance of the mutual fund; however, the longer the mutual fund is, the inferior performance is. It seems that someone says history is a valuable asset, but, historical burden might be too heavy to load occasionally.

並列關鍵字

Mutual Funds ； Performance Evaluation ； Performance Persistence

參考文獻

王南喻、王南憲(2006)。開放式股票型基金績效與流量關係之研究─台灣地區境內基金市場實證。企業管理學報。69，73-96。

王南喻、陳信憲(2009)。存續者偏誤、基金分類與績效持續性之研究。管理學報。26(6)，673-696。

王正己、阮俊嘉(2000)。台灣地區共同基金型態之績效評估研究。朝陽學報。5，283-317。

王佳眞、徐辜元宏(2003)。風險值的應用與台灣共同基金績效指標之持續性。台大管理論叢。14(2)，23-47。

池祥萱、林煜恩、周賓凰(2007)。基金績效持續與聰明錢效果：台灣實證。管理學報。24(3)，307-330。