股票型共同基金之績效評估－資料包絡分析法之應用

本研究主要利用資料包絡分析法衡量2005年-2010年間股票型共同基金的效率，以及探討金融海嘯對股票型共同基金的績效是否產生影響，最後並用等級相關檢定來探究共同基金績效是否具有持續性。分析結果發現，167支股票型共同基金中，保德信日韓、德銀遠東DWS 科技、景順全球康健、宏利基金、富邦台灣鳳凰、第一金馬來西亞的績效表現佳；使用傳統三大基金績效指標，日盛上選和元大多福的績效被高估，元大多元和景順全球康健的績效被低估。在估計期間，167股票型共同基金有 68.48% 的生產技術無效率，其無效率的來源有63.12% 來自於共同基金管理的無效率，有12.05%來自於共同基金規模無效率。此外，考慮金融海嘯對共同基金績效的影響，發現金融海嘯對基金效率有負面的影響，其來源是生產技術率有1.96％的下降。研究結果發現，使用資料包絡分析法衡量股票型共同基金，發現其績效具有持續性。

關鍵字

共同基金；資料包絡法；生產效率

並列摘要

This study used the method of data envelopment analysis to measure the efficiency of stock mutual funds from 2005 to 2010, and to explore the impact of financial tsunami on the performance of stock mutual funds. Finally, the rank correlation test was used to explore whether the mutual fund has persistent performance. The study found that among the 167 stock mutual funds, the ones that perform well were Prudential Financial Japan Korea Fund, Deutsche Far Eastern DWS Technology Security Investment Trust Fund, Invesco Global Health Sciences Fund, Manulife Funds, Fubon Taiwan Phoneix Fund, and Fsitc Malaysia Fund. When using the traditional three indicies, the performance of Yuanta Duo Yuan Fund and Invesco Global Health Sciences Fund was underestimated; whereas that of Jih Sun Upstream Fund and Yuanta Duo Fu Equity Fund was over-estimated. In the period of study, 68.48% of the 167 stock mutual funds had inefficient production, 63.12% of its inefficiency was caused by the mutual fund management, 12.05% of its inefficiency was due to the size of mutual funds. Furthermore, considering the impact of the financial crisis on the performance of mutual funds, the study found that the financial tsunami has a negative impact on the fund effciency. The reason is production technology had a decline rate of 1.96%. The research also found that use of data envelopment analysis to measure the performance of stock mutual funds, demonstrated a persistent nature.