共同基金評比與績效之探討

The study on Ratings and Mutual Fund Performance

顏錚瑜(Cheng-Yu Yen)

指導教授 ： 繆震宇

淡江大學/商學院/保險學系保險經營碩士班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00865

摘要

論文提要內容：
共同基金已成為投資大眾不可或缺之理財工具，而投資人應如何挑選出適合自身所能承受之風險且報酬率高之共同基金，儼然成為一項重要之議題。面對此難題，絕大多數之投資人是以基金過去之績效表現與專業評比機構之評比等級作為辨識及選擇基金之準則，而該準則意涵基金績效具有持續性之觀點，但基金績效持續性之存在與否至今仍無定論。故本研究以民國92年12月繆震宇(2005)基金評等系統及TEJ基金評等系統所評比之國內股票型基金為研究對象，探討基金之評比與基金短期、中期及長期績效表現之關聯性，以及基金型態與成立期間之長短對此關聯性之影響程度，接著再探討Sharpe Index評估期間之長短對基金短期、中期及長期績效持續性之影響程度，以及基金型態與成立期間之長短對基金績效持續性之影響程度。

主要的結論為：(一) 繆震宇(2005)基金評等系統及TEJ基金評等系統與基金未來之績效表現無顯著之關聯性。(二) 基金之型態不影響繆震宇(2005)基金評等系統與基金未來績效表現之關聯性，但基金成立期間之長短卻會影響兩者間之關聯性。(三)基金之型態及成立期間之長短皆會影響TEJ基金評等系統與基金未來績效表現之關聯性。(四)以評估期間為半年之Sharpe Index為績效指標時，基金具有顯著之績效持續性。(五)基金之型態及成立期間之長短會影響基金績效之持續性。

關鍵字

基金評比 ； TEJ基金評等系統 ； 夏普指標 ； 績效持續性

並列摘要

Mutual fund has become the indispensable tool for investors. It has become an important issue how investors select mutual fund which owns risk that they can take and has high return. Facing the difficulty, most investors use the past performance and ratings of mutual fund as their guide to recognize and select funds. The guide means that mutual fund has persistence of performance, but there is no conclusion if the persistence is exits. In this study, we adopt Maio, Chen-Yu’s (2005) ratings and TEJ ratings of domestic-stock mutual funds in Dec. 2003 as samples discussing the relationship among ratings and the performance during different periods; how the types and the age of mutual fund affect the relationship. Finally, it describes the relationship among Sharpe Index that adopts different evaluation periods and the performance during different periods.; how the types and the age of mutual fund affect the relationship.
The main conclusions are: (1) No significant relationship between Maio, Chen-Yu’s (2005) ratings and mutual fund future performance. (2) The types of mutual fund will not affect the relationship between Maio, Chen-Yu’s (2005) ratings and mutual fund future performance, but ages of mutual fund will affect the relationship. (3) The types and ages of mutual fund will affect the relationship between TEJ ratings and mutual fund future performance. (4) There is a significant persistence in mutual fund performance with Sharpe Index that is evaluated with half a year. (5) The types and ages of mutual fund will affect the persistence of mutual fund performance.

並列關鍵字

Ratings ； TEJ Ratings ； Sharpe Index ； Persistence

參考文獻

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