平衡型基金績效評估研究─DEA之應用

A Study Of Performance Evaluation Of Balanced Funds In Taiwan：An Application of DEA

楊智傑(Zhi-Jie Yang)

指導教授 ： 洪進朝

長榮大學/管理學院/經營管理研究所(博)/碩士(2007年)

https://doi.org/10.6833/CJCU.2007.00072

摘要

由共同基金市場在激烈競爭之下，各家投信公司莫不費盡心思設計不同的基金類型，希望能以基金的特色來吸引投資者的認購。不同類型的基金因其投資目標不同，所伴隨的報酬率與風險也必有所差異，因此績效評比於同類型的基金互相比較方具意義。
國內證券市場近幾年置身多頭空頭不斷轉換，平衡型基金表現亮眼勝於股票型基金，然而如何選擇一檔績效佳的基金卻是投資人令困擾的難題，國內共同基金的機構評鑑制度並不健全，且多著重於股票型，此外，對基金進行評比排名的機構僅有中華信用評等公司，對少數基金有進行評鑑工作，但比起國外頗負盛名的大型評鑑機構，如：標準普爾、美國晨星等，規模和可信度仍有著相當大的差距，其目前，國內僅有投信同業公會委託台灣大學邱顯比及李存修兩位教授，對國內基金所做的績效評比，較具公信力，但兩位教授使用報酬率及Sharpe績效指標等傳統指標，來評估投資組合的績效，仍具有某些爭議點。
本研究以資料包絡分析法為主要研究方法，要旨在於衡量國內平衡型基金之績效，並檢驗基金績效持續性的存在與否，且更進一步探討影響共同基金相對績效之因素，希冀能提供一些有用資訊給投資人，作為選擇基金時之參考。

關鍵字

共同基金 ； 績效評估理論 ； 資料包絡法

並列摘要

The evaluation of operation efficiency has always been a major concern in the industry, the government, and the academy. Under the intense competition in mutual fund market, investment trust companies work on developing new types of funds to attract the interest of investors. However, different types of mutual fund come up with different rate and risk due to their different investment purposes. To achieve significant evaluation, we can only compare performance among the same type of mutual fund. The sample set in this paper is composed of the balanced funds traded in two years in Taiwan. We finally find that DEA can distinguish superior funds from inferior ones definitely.
Key words: DEA, Balanced fund, Efficiency evaluation

並列關鍵字

DEA ； Balanced fund ； Efficiency evaluation

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