共同基金報酬持續性之探討

RETURNS PERSISTENCE OF MUTUAL FUNDS

余嘉嘉(Chia-Chia Yu)

指導教授 ： 陳瑞璽

大同大學/經營設計學院/事業經營學系所/碩士(2010年)

摘要

近年來，國人投資的觀念日益增加，各種金融商品不斷推陳出新，基金市場發展趨於成熟。共同基金的歷史績效是投資人購買基金時的重要依據。本研究的目的在探討國內共同基金報酬表現是否具有持續性現象，若基金報酬持續性是存在的，那麼投資人便可依據過去表現選擇基金。本研究以2008年1月1日至2008年12月31日共113檔之國內開放式股票型共同基金作為研究對象。研究結果得到的結論有下列幾項：1.基金績效不具持續性且有績效反轉之現象。2.本研究在基金效率的評估中發現，基金效率具有持續性，前後期之基金效率呈正相關。因此，進行績效評估時不能僅對績效做衡量，而應同時衡量效能與效率才能增進評估時的有效性。

關鍵字

基金效率持續性 ； 基金報酬持續性 ； 資料包絡分析法 ； 共同基金

並列摘要

In recent years there has been much discussion of investment ideas regarding the many types of financial products available in Taiwan. Most investors spend a great deal of time studying past performance of mutual funds when considering investment. The purpose of this study was to investigate whether returns persistence exists among domestic mutual funds. If returns persistence of funds exists among domestic mutual funds that investor can follow it and chose the funds. A total of 113 domestic open-ended equity mutual funds available during Jan 1st, 2008 and Dec 31st, 2008 were selected as the research subjects. The research findings were summarized as follows: (1) Performance persistence of funds does not exist and we can find the situation for performance reversals.
The evaluation of fund efficiency in this study demonstrates that there is sustainability in fund efficiency, and positive correlation between the fund efficiencies of earlier and later stages. Therefore, the performance evaluation should not only focus efficiency measurement, and effect and efficiency should be measured simultaneously, and then the effectiveness and accuracy of evaluation can be enhanced.

並列關鍵字

Efficiency Persistence of Funds ； Returns Persistence of Funds ； Data Envelopment Analysis ； Mutual Funds

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