台灣共同基金績效評估之分析

A study about the performance measurement of mutual funds in Taiwan

吳宗達(Tzung-Da Wu)

指導教授 ： 王維康

元智大學/管理學院/會計學系/碩士(2005年)

摘要

近幾年來，國內整體金融生態發生重大變化，投信業經營面臨更多挑戰，如何分析競爭優劣勢及選擇最佳的經營策略，以求基金的最佳績效，不僅是管理者的目標，也是社會投資大眾共同關心的課題。本研究即以此為出發點，希望藉由針對基金績效及效率，以資料包絡法，客觀地分析各基金的績效表現，並提供做為未來進一步提昇績效的參考。

本研究應用資料包絡分析法，分析在民國93年間，國內130支基金之效率情形以及影響其效率的主因為何。在實証中，利用DEA模型中之BCC模式求算出國內一百三十支基金，在民國93年間之效率值。以β值、標準差為投入變數;而以一年報酬率、二年報酬率為產出變數。以求算出各變數之平均值、相關係數、參考集合、差額變數、綜合性資料之效率值，以選擇最佳的共同基金。

關鍵字

參考集合 ； 差額變數

並列摘要

In recent years, the integrated domestic financial environment has consequential alteration and investments Trust Corporation are facing more and more challenges to operation. Therefore, how to analyze the advantage and weakness of competition and choose best business strategy to pursue the optimal effect is not only the goal for investments Trust Corporation managers, but also the subject that public investors concern mutually. This is the launching point of this research, hoping through data envelopment analysis to deeply and objectively analyze the mutual funds performances by aiming at performances and efficiency of various mutual funds and as reference for further enhancing performances in the future.

We apply the data envelopment analysis model to measure the mutual funds efficiency and to investigate he determinants of the efficiency performance of the mutual funds in Taiwan. In the stage, we used the BCC data envelopment analysis model to measure the efficiency performance of 130 domestic the mutual funds in Taiwan for the 2004 year. We select sigma, β value, and fund size as input variables. Returns of investment one year, Returns of investment two year as output variables and to investigate average, correlation, reference frequency to other DMU, projection, and choose best mutual funds.

並列關鍵字

projection ； reference frequency to other DMU

參考文獻

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