國內共同基金操作績效持續性之研究

Mutual Funds Performance Persistence

賴永祥(Yong-xiang Lai)

指導教授 ： 陳靜怡

國立暨南國際大學/管理學院/經營管理碩士在職專班/碩士(2011年)

摘要

隨著國內金融制度逐漸走向自由化與國際化，資本市場與貨幣市場可以操作的投資工具日趨多元，國人投資理財的觀念日益盛行。但是因為大部份的投資人缺乏理財專業知識，且擁有的資金有限，更缺乏研究投資相關資訊的時間及工具，而共同基金（Mutual Fund）是匯集眾多投資人的資金，交給專業的機構及經理人運用專業知識與操作技巧，遵循多角化分散風險的原理進行投資管理，獲取利潤的一種投資理財工具，因此共同基金漸漸成為投資者資產配置中不可或缺的選擇。
當基金經理人將資金移動於不同的投資標的物上，就會改變其基金的效率指標值。此時估計的誤差（estimation bias）將會被帶入其基準模型當中，而原因就在於績效指標模型假設在一定期間內，風險係數為固定值。因此只要基金經理人更改投資標的物就會改變投資的風險。
針對上述現象，我們不禁質疑的是針對投資標的的抉擇標準在哪裡呢？現今所被採用的績效評估指標是否有其缺失，並有改進的空間呢？僅單純使用原始績效衡量指標來判別國內共同基金的績效表現是否不具說服力？因此，本文研究欲建立國內共同基金績效評估指標適用性及探討國內共同基金績效持續性現象。

關鍵字

夏普指標 ； 崔諾指標 ； 資訊比率

並列摘要

Moves toward the liberalization and the internationalization gradually along with the home money system, investment tool Multi-dimensional which the capital market and the money market may operate, the people invests managing finances the idea to be in vogue day by day.
But because the major part investor lacks the managing finances specialized knowledge, and has the fund is limited, more deficient research investment related information time and tool, but the mutual fund (Mutual Fund) is the collection numerous investor's funds, gives the specialized organization and the manager utilizes the specialized knowledge and the operative skills, follows the multiple-angle spread loss the principle to carry on the investment management, the gain profit one kind of investment managing finances tool, therefore the mutual fund becomes in gradually the investor property disposition the indispensable choice.When the fund managers will move capital investment in different subject matter, the Fund will change its efficiency index value.
At this point the estimated error (estimation bias) will be brought into the baseline model which, while reason is that performance indicators model assumes that within a certain period, the risk coefficient for a fixed value. So long as the fund managers invest in people to change the subject matter will change the investment risk. In response to these phenomena, we do not question the ban is the subject of the decision criteria for investments in which it? Today the performance evaluation indicators to be used if its missing, and there is room for improvement? Only a simple measure of performance indicators using the original judge the future performance of domestic mutual fund performance is not persuasive? Therefore, this study is to establish domestic mutual fund performance evaluation indicators and to explore the applicability of the domestic mutual fund performance persistence phenomenon.

並列關鍵字

Sharpe Ratio ； Treynor Ratio ； Information Ratio

參考文獻

一、中文部份

吳良傑(2003 )，台灣地區共同基金績效之衡量─生產邊界法之應用，中國文化大學經濟學研究所。

李明仁(1996 )，「台灣開放式債券型基金之績效研究」，國立政治大學企業管理研究所碩士論文。

李鳳美（2000），基金流量與績效評估之實證研究-以國內開放型股票基金為例，輔仁大學管理學研究所碩士論文。

邱顯比，1998，「共同基金分類與基金績效持續性之研究」， 國科會補助研究計畫成果報告。