債券型基金績效之檢定—資料包絡分析法

債券型基金分散投資、高配息的特性，讓債券基金投資在近幾年已成為投資大眾的新寵兒。鑑於過往多半採用源自於資本資產定價理論 (Capital Asset Pricing Model, CAPM) 所建立之指標，用以評估基金績效，其分別以Treynor (1965)、Sharp (1966)、Jensen (1968) 所提出之方法為主要傳統績效指標代表。但傳統績效指標有完全效率市場的限制，和現今市場情形不同，且模型中未考量基金交易成本、手續費用。因此，本研究擬以資料包絡分析法 (Data Envelopment Analysis, DEA)做為債券型基金績效研究方法，DEA能加上傳統指標無法考慮的成本條件，以相對效率的觀點為更加客觀與適用的分析法。實證模型以費用率、規模、標準差、匯率變動率變數建構。實證結果發現債券型基金的報酬不服從常態分配，不適用於傳統績效評估指標，DEA模型具有良好的區別能力，能區分出不同績效的基金，DEA效率值與傳統績效指標有一致性，投資人應端視本身的資料取得便利性，選擇符合自己需求的績效指標來作為制定投資決策時的參考。另外，DEA績效具顯著的持續性。判斷年化標準差、費用率及匯率變動率對基金效用有負向的影響。而基金規模沒有明顯證據證明，對債券型基金績效有顯著的影響。

關鍵字

債券型基金；資料包絡分析法；基金績效；一致性；持續性

並列摘要

With the characteristics of diversified investment and high dividends, bond fund investments have become the new darling of the investing public in recent years. In view of the fact that most of the past used indicators derived from the Capital Asset Pricing Model (CAPM) to assess fund performance, they were proposed by Treynor (1965), Sharp (1966), and Jensen (1968) respectively. The method is represented by the major traditional performance indicators. However, the traditional performance indicators have the limitation of the efficient-market hypothesis, and they are different from the current market conditions. The model does not consider the transaction costs of the funds and the fees of the procedures. Therefore, this study intends to use Data Envelopment Analysis (DEA) as the research method for the performance of bond funds. DEA can add the cost conditions that traditional indicators cannot consider. The empirical model is constructed with cost rate, scale, standard deviation, and rate of exchange rate change. The empirical results show that the remuneration of bond funds is not subject to normal distribution, and does not apply to traditional performance evaluation indicators. The DEA model has good distinguishing ability. Different performance funds can be distinguished, and DEA efficiency values are consistent with traditional performance indicators. Investors should examine the convenience of data acquisition and select performance indicators that meet their needs as a reference for making investment decisions. In addition, DEA performance has significant continuity. Judging that the annualized standard deviation, expense rate, and rate of exchange rate change have a negative effect on the effectiveness of the fund. The fund size has no obvious evidence to prove that it has a significant impact on the performance of bond funds.