- 學位論文
國內股票型基金篩選法則之研究
THE STUDY OF SELECT RULE IN DOMESTIC STOCK MUTUAL FUND
摘要
隨著國內股市規模持續擴大，國內理財觀念的漸趨成熟，共同基金快速成長，為國內僅次於股票的投資理財工具。共同基金標榜著小額投資、風險分散及專家代為經營管理的優點，投資人希望所選擇的基金在基金經理人專業領域及操作下，擊敗市場擊敗同業獲得更高的報酬 。 但投資人面對如此多的基金，如何挑選優質且適合自己的基金，成為一門重要的課題。本文以94年1月至96年12月國內股票型基金為對象，探討如何篩選基金及探討其績效表現，研究目的： 一、驗證以過去績效為基礎所挑選之投資組合是否具有超額報酬? 二、驗證投資組合平均報酬率優於大盤及同業基金之機率及績效是否具有 持續性。 三、依投資屬性的不同，挑選適合投資人的最佳篩選法則。 本文所建構之基金篩選法則-「P16法則」係以歷史模擬法從樣本基金過去不同期間獨立篩選出兼具短、中、長期績效之基金組合，將投資組合未來三個月、六個月及一年績效表現與同業基金及大盤比較，實證結果顯示： ㄧ、「P16法則」篩選出的投資組合報酬率顯著高於同業基金及大盤，即投資組合具有超額報酬。 二、投資組合績效優於同業基金之能力約可持續3個月；優於大盤之能力則長達一年，顯著水準達1%。亦即基金績效與同業及大盤績效之比較，具有持續性。 三、「P16法則」可依投資人投資屬性的不同，挑選適合自己的最佳法則。
關鍵字
P16法則；績效持續性；共同基金並列摘要
Accrounding to the growing up of stock market scale in Taiwan, the concept of financ is getting better. Mutual fund has become the major materials of investment. Thus, this paper disscusses how to select the fund portfolio; the fund performance; and performance persistence in the near future.The useful sample encompassed 154 stock mutual funds in Taiwan from 2005-2007. The purposes of the study as follow: 1.To understand the forecast ability of fund portfolio seleeted by past performance. 2.Is fund portfolio’s forecast return better then market and business ? and the probability of performance persistence in the near future. 3.To find the best way for selecting fund. For many investors,the famous ranking association- Standard & Poor‘s, Morningstar and Lipper, can provide in accordance with choose fund. But lake of long-run persistence in fund returns. In this paper, I construct a select rule-“P16-rule”, based on Historical Simulation, using different period of fund returns to make up portfolio. I find that the forecast ability of fund portfolio choosed by P16-rule is better then market and business. The first result is the “P16-rule” has extra return in the future 1,3,6,and 12 month. Second, the performance persistence that better then business is about 3 month, and significantly better then market for one year. Third, “P16-rule”can help many kind of investors to choose the best way for investment strategy