不同投資運作型態的共同基金之績效比較

Abstract

近年來，由於共同基金市場競爭激烈，投信公司推出各種不同型態的基金，以滿足投資人的需求。而基金的型態不同，強調其投資風險與報酬率必有所差異，所以對相同型態的基金進行績效評比方具意義。以此作為出發點，本研究的主要目的如下： 1.評估不同型態的共同基金其投資績效。 2.比較不同型態的共同基金在投資績效上是否呈現著差異性。 3.探討共同基金的績效持續性是否只存在某些型態下。 本研究以國內31個開放型基金為研究樣本，共分為四類。研究期間自八十六年二月十二日至八十八年一月二十日，以週為研究單位，共計有一百週。本研究所採用的績效評估指標為Sharpe、Treynor、Jensen、修正Jensen，並以Treynor & Mazuy模型、Henriksson & Merton模型評估基金的擇時及選股能力。實證分析結果顯示： 1.不同型態基金在整體投資績效上存有差異性。 2.國內共同基金大都不具備擇時能力，一部分的基金具有選股能力。 3.不同型態基金在擇時能力上不具有差異性。 4.共同基金在績效上不具有持續性。

investment trust companies offer various funds of different styles to meet investors. Funds of different styles put accent on different level of risk and rate of return, so to rank funds' performance of the same style is more meaningful. Base on this, the objectives of this study are as follows : 1.To evaluate the performance of mutual funds of different styles. 2.To compare the variation in the performance of mutual funds of different styles. 3.To discuss the performance persistence of mutual funds of different styles. There are 31 mutual funds adopted as samples in this study, divided to four groups. The period is from Feb. 2 1997 to Jan. 20 1999. All the information was provided by week. Sharpe, Treynor, Jensen and modified Jensen indices are used to evaluate the performance. Treynor & Mazuy model and Henriksson & Merton model are used to evaluate the selective ability and timing ability. The results demonstrate the following points： 1.The variation exists in the performance of mutual fund difference styles. 2.Most mutual funds in Taiwan do not posses the timing ability, and some mutual funds posses selective ability. 3.The variation does not exist in the timing ability of mutual fund s of different styles. 4.The Performance persistence does not exist under each style