共同基金績效評估

Mutual fund Performance Evaluation Revisited

李采蓉(Tsai-jung Lee)

指導教授 ： 方世詮

朝陽科技大學/管理學院/財務金融系/碩士(2012年)

摘要

本研究利用”fund of funds” (FOFs) 的新方法來重新評估臺灣共同基金之績效。從1990年至2011年間，我們利用FOFs的方法來建構前十名的子基金投資組合，其中挑選個別基金的準則為文獻常見之過去報酬、崔納比率、夏普比率、擇股能力、與擇時能力。實證結果顯示FOFs投資組合的報酬並未能在統計上顯著的擊敗個別比較基準投資組合的報酬。是以台灣整體共同基金產業的績效並無法提供足夠的價值給小型投資人。

關鍵字

擇時能力 ； 擇股能力 ； 共同基金

並列摘要

This study evaluates Taiwan’s mutual fund performance again through a new “fund of funds” (FOFs) approach. During January 1990 to December 2011, the FOFs approach constructs a top ten sub-fund portfolio through classical criteria which used to evaluate the performance of individual fund. The classical criteria include past raw return, Treynor ratio, Sharpe ratio, selectivity, and timing ability. The empirical evidence shows the FOFs portfolio return cannot statistically significantly outperform various benchmark. The performance of Taiwan’s mutual fund industry doesn’t provide enough value to small investors.

並列關鍵字

timing ability ； selectivity ； mutual fund

參考文獻

Carhart, M.M, (1997). On persistence in mutual fund performance. The Journal of Finance, 52, 57-82.

Fama, E.F. and K. R. French (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-53.

Greg N. Gregoriou, Georges Hubner, Nicolas Papageorgiou and Fabrice Douglas Rouah (2007). Funds of funds versus simple portfolios of hedge funds: A comparative study of persistence in performance. Journal of Derivatives & Hedge funds, 13, 88-106.

Henriksson, R.D. and R.C. Merton (1981). On market timing and investment performance II: Statistical procedure for evaluating forecasting skills. Journal of Business, 54, 513-534.

Nicolas P. B. Bollen and Jeffrey A. Busse (2001). On the timing ability of mutual fund managers. The Journal of Finance, 56, 1075-1094.