指數股票型基金與共同基金績效差異之研究

A research on the performance difference between equity index funds and mutual funds

萬桂菊(Kuei-chu Wan)

指導教授 ： 徐政義

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2012年)

摘要

目前台灣基金市場的投資環境中，國內股票型基金的規模一直沒有大幅度的成長，甚至出現了小幅衰退的現象，反觀股票指數型基金規模卻大幅度的成長。自2003年6月25日寶來投信成立了『寶來台灣卓越50基金』短短的8年間，規模迅速的成長到了新台幣1,000億，自然人投資人數達到了3萬多人，表示國內投資人對於指數股票型基金的接受度越來越高。本研究主要是在探討國內股票型基金與「寶來台灣卓越50基金」的績效表現差異。第一部分是分別以Sharpe指標、Treynor指標、Jensen’α指標及四因子分析來進行相關績效評估。第二部分是加入了申購及買回費用後再次進行上述的分析。研究結果顯示出在沒有考慮交易手續費時，「寶來台灣卓越50基金」並無特別突出，但是隨著交易次數的增加，交易手續費也隨之增加，由於「寶來台灣卓越50基金」的總費用較國內股票型基金低廉，因此不論在Sharpe指標、Treynor指標、Jensen’α指標及四因子模型的α值的結果，「寶來台灣卓越50基金」較大部分的國內股票型基金的排名大幅度邁進。

關鍵字

指數股票型基金 ； 基金績效 ； 國內基金

並列摘要

In the current Taiwan funds market, the asset under management (AUM) of domestic equity funds has shown little growth, even contraction; in contrast, the AUM of equity index funds is growing tremendously. Polaris Investment Trust launched the “Polaris Taiwan Top 50 Tracker Fund” on June 25th, 2003, since then the AUM has grown to 100 billion TWD, with more than thirty thousand retail investors investing in the fund. This clearly indicates that domestic investors are becoming more and more open to equity index funds.
The objective of my thesis is to investigate the performance difference between domestic equity funds and Polaris Taiwan Top 50 Tracker Fund. In the first part, Sharpe ratio, Treynor ratio, Jensen’s α, and the four-factor analysis are utilized to assess fund performance. In the second part, I expand the analysis to take account of the impact of subscription and redemption fees. The result shows that before consideration of transaction fees, Polaris Taiwan Top 50 Tracker Fund does not have an advantage in terms of performance over domestic equity funds. However, as the number of transaction increases, transaction fees accumulate, the performance of Polaris Taiwan Top 50 Tracker Fund due to its lower total expense ratio starts to improve substantially against most of other domestic equity funds, no matter in terms of Sharpe ratio, Treynor ratio, Jensen’s α, or the α of the four-factor model.

並列關鍵字

mutual funds ； index funds

參考文獻

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