共同基金績效實證之研究-運用技術分析輔助交易決策

共同基金是投資人在考量提高資產收益又不負擔太大市場波動的金融商品。其可選擇的投資區域及產業眾多，又可藉由基金經理人對市場的基本面的研究及投資組合配置，來降低市場的投資風險。所以選擇運用共同基金投資也變成台灣投資人的資產配置選項之一。　　本文研究樣本資料來自台灣經濟新報的資料庫及彭博Bloomberg所納入之國內及國外標的基金每日淨值表現，研究期間以2013年01月至2017年12月共60月內的每日淨值資料，作為本文實證研究標的。資料庫的設計範圍除了運用四四三三法則於各區域做一挑選外，也挑選出摩根投信在台上架之同區域基金。研究方法上以技術分析指標中的移動平均線（MA）法則來做模擬實證研究，試著找出能創造超額報酬的交易模式，以提升基金投資人的操作績效。而在使用移動平均線交互測量分析後發現1.在進出共同基金的交易決策上，移動平均線的使用能給予投資人進出之依據2.長期指標績效皆顯著優於短期指標3.單一移動平均線策略及長短期移動平均線策略在績效呈現上，沒有顯著差異4.四四三三基金報酬無明顯優於單一公司系列報酬。

關鍵字

共同基金；技術分析；移動平均線；四四三三法則

並列摘要

Mutual funds are financial products that investors may choose when investors consider to increase the profitability of their investment and limit the effects of market volatility. Mutual funds provide a large number of various investments and industries to choose from, and the investment risk can be reduced through the fund managers’ market research and asset allocation. Therefore, inventing through mutual funds has beco/me one of the asset allocation options for Taiwanese investors. The data sample of the study is collected from the database of TEJ ( Taiwan Economic Journal ) and the daily net value performance of the domestic funds and overseas funds adopted by Bloomberg for the period from January 2013 to December 2017. The data from these sixty months is taken as the research target in this empirical research. The research method is to simulate the trading rules which is able to create excess returns by applying MA Rules ( Moving Average Rules ) from the technical analysis indicators in order to increase the investors’ profitability. After testing by using the Moving Average Rules, it is found that : 1. Moving Average provides investors the basis of decision making on selling or buying mutual funds. 2. The performance of long-term indicators is significantly better than the performance of short-term indicators. 3. The performance of single Moving Average trading strategies doesn’t make significant difference from the performance of long-term and short-term Moving Average trading strategies. 4. The average rate of returns from 4433 Rules is not significantly better than the average rate of returns from a single mutual fund company.