共同基金績效之衡量－模擬分析法之應用

The Performance Measures for Mutual Funds: A Simulation Approach

10.6160/2005.09.05

高蘭芬(Lan-Feng Kao)；陳安琳(An-Lin Chen)；湯惠雯(Hui-Wen Tang)；曹美蘭(Mei-Lan Tsao)

共同基金 ； 績效衡量 ； 模擬分析 ； Fama-French模式 ； 報酬動能 ； Mutual fund ； Performance measure ； Simulation ； Fama-French model ； Momentum

中山管理評論

13卷3期（2005 / 09 / 01）

667 - 694

繁體中文

共同基金的績效衡量方式有Sharpe measure, Treynor measure, Jensen's α及appraisal ratio，這些衡量指標彼此之間對於基金之績效常有不一致的看法。本文以模擬分析法來探討共同基金績效指標的正確性。研究結果發現，衡量共同基金的風險－報酬比率的相對績效指標，如：Sharpe、Treynor、Appraisal等傾向於低估基金的風險－報酬比率。而絕對績效指標中，如不考慮基金的擇時能力，Jensen's α最能正確的衡量出共同基金的投資績效；而在考慮基金的擇時能力時，則以Carhart四因子模式α較能正確的衡量基金績效。而擇時模式通常低估基金的擇時能力被。另外，小規模股票基金及低淨值市價比股票基金有較佳之績效，而股票動能策略並不存在於台灣共同基金市場之中。

The literature about measurement of portfolio performance is exclusive but controversial. This paper employs a simulation approach to evaluate fund performance of randomly constructed portfolios and stylized portfolios. We find that without market-timing consideration Jensen's α measures fund performance precisely. On the other hand, under market-timing consideration, α under Carhart model does a better job in measuring fund performance. Furthermore, market-timing ability is typically under-estimated.

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