開放型共同基金累計報酬率與傳統績效指標之研究

Abstract

近年來，定時定額投資共同基金的方式已逐漸在國內形成風氣，而以往用 來評估基金績效的傳統指標多源於CAPM理論，定時定額投資的累計報酬率 在應用時並無法滿足該理論的前提假設。因此本研究將以累計報酬率做為 基金績效的評估指標，主要的研究目的如下：一、瞭解投資共同基金的累 計報酬率是否優於市場投資組合。二、研究共同基金的累計報酬率排名是 否具有持續性。三、研究不同類型共同基金的各項績效指標是否存有顯著 差異。四、將共同基金以傳統績效指標與累計報酬率的高低予以排名，並 比較其中差異。本研究所選取之研究樣本為26種國內開放型基金，資料期 間為民國83年4月底至民國86年9月底，以月為單位，共計41個月。採取的 評估模式除了累計報酬率之外，尚有平均月報酬率、Treynor、Sharpe、 Jensen、修正Jensen等績效指標。所得之實證結果顯示：一、以定時定額 方式投資共同基金，長期而言可能提供較高報酬，甚至可以超越市場投資 組合。二、定時定額投資共同基金的累計報酬率排名不具持續性。三、投 資於國內股票市場的不同類型共同基金，各種績效指標並無顯著差異。四 、共同基金的累計報酬率與其他傳統績效指標的排名結果具相關性。 Recently, regular investment in mutual funds has become a common practice. Most of the traditional indices adopted to evaluate performance of mutual funds are based on CAPM. Nevertheless, the accumulative returns of mutual funds do not match the prerequisite of CAPM. This study will take accumulative return as an indicator to evaluate performance of mutual funds. The objectives are as follows: 1. To compare accumulative returns of mutual funds with that of market portfolio 2. To discuss the persistence of accumulative returns 3. To discuss the variation in performance of different types of mutual funds4. To rank mutual funds by traditional indices and by accumulative returns respectively and to compare the differenceThere are 26 open-end mutual funds adopted as samples in this study. The period is from Apr. 1994 to Sep. 1997. All the information was provided by month. The models used to evaluate performance are accumulative returns, average monthly returns, Treynor, Shape, Jensen, and modified Jensen indices. The results demonstrate the following points:1. To long term investment, mutual funds may provide higher accumulative returns than market portfolio does2. The ranks of the accumulative returns of mutual funds are not sustainable3. There is no significant difference in performance within different types of mutual funds4. The results of ranking by accumulative return and by traditional indices are related to each other