共同基金之績效評比－台灣地區之實證研究（1991-2008）

Mutual Fund Performance Evaluations-The Case of Taiwan(1991-2008)

黃聖棠(Sheng-Tang Huang)

《南亞學報》 28期 (2008/12) Pp. 243-262

https://doi.org/10.6989/JN.200812.0243

摘要

在排除樣本生存偏誤及選擇偏誤下，我們嘗試用Treynor ratio（1965）及Sharpe ratio（1966）來評估國內共同基金的績效；並進一步用Treynor and Black （1973）所提出資訊比率（Information ratio）指標，衡量基金經理人創造主動報酬的績效。結果發現若輔以IR-Big與IR-Small指標，投資人可更進一步篩選績效相對更佳類型的共同基金。

關鍵字

共同基金 ； 績效評比 ； 資訊比例 ； 生存偏誤 ； 選擇偏誤

並列摘要

This paper evaluated domestic mutual fund performance with the Treynor ratio (1965), and the Sharpe ratio(1966) without sampling Survivorship bias and Selection Bias. The authors also measured the active-abnormal-return ability of mutual fund managers with Information ratio proposed by Treynor and Black (1973). The authors discovered that the investor may select the better type of mutual funds by using IR-Big and IR-Small index as auxiliary

並列關鍵字

mutual funds ； performance ； Information ratio ； survivorship bias ； selection bias