台灣地區開放式股票型共同基金績效表現與股價指數變動之比較

Abstract

摘 要 本研究以2004年1月1日2005年12月31日共計497個交易日，選取40檔國內開放式股票型共同基金為研究對象，以日資料作為計算報酬的基準，再將日資料換算成年資料，績效評估模型採用Sharpe、Treynor及Jensen三指標，藉由不同績效指標檢驗基金績效是否如一般投資人所期望優於國內股價指數變動。並以無母數統計中之Mann-Whitney U檢定方法，來檢定選樣基金與國內股價指數變動間是否具顯著差異。 實證結果，在Sharpe指標下，2004年與2005年分別有13檔及39檔基金之績效優於股價指數變動；Treynor指標計有16檔及36檔基金績效優於股價指數變動；而在Jensen指標則各為30檔及39檔基金績效表現優於股價指數變動。 就實證之整體績效而言，本研究發現復華中小精選、國泰國泰及保德信高成長三檔基金表現較為優異，可供有意投資基金之投資者作為投資標的參考。

ABSTRACT This research studies the performance of 40 domestic open-ended equity funds in Taiwan. The data cover 497 dealing days from January 1, 2004 to December 31, 2005. The daily performance data are first calculated and then converted into an annual basis. Sharpe, Treynor, and Jensen indices are used to evaluate their performance. The Mann-Whitney U test is used to examine if there are significant differences between a fund’s performance and the Taiwan stock exchange index. In 2004 and 2005 there were 13 and 39 mutual funds outperformed the stock market with respect to the Sharpe index. In 2004 and 2005 there were 36 and 36 mutual funds outperformed the stock market with respect to the Treynor index. However, there were 39 and 39 mutual funds outperformed the stock market with respect to the Jensen index, implying that stock selection ability is a key factor of a mutual fund’s performance. Regarding the overall performance, the research discovers that Fuh-Hwa Small Capital, Cathay Cathay, and Prudential High-Growth were the best performerce.