共同基金之績效評比－台灣地區之實證研究(1995-2002)

Mutual Fund Performance Evaluations-The Case of Taiwan

10.6365/HKER.200606.0031

黃聖棠(Sheng-Tang Huang)；溫英幹(Yin-Kun Wen)；鄢欽瑞(Chin-Rei Yen)

共同基金 ； 績效評比 ； 風險 ； 生存偏誤 ； 選擇偏誤 ； mutual funds ； performance ； persistence ； survivorship bias ； selection bias

華岡經濟論叢

5卷2期（2006 / 06 / 01）

31 - 67

繁體中文

我們嘗試用Treynor ratio(1965)，Sharpe ratio(1966)及Jensen's Alpha(1968)來評估國內共同基金的績效；並進一步用Treynor and Mazuy(1966)及Henriksson and Merton(1981)等指標衡量國內共同基金經理人的擇時(Market Timing)及選股(Selectivity Ability)能力，最後再檢定國內共同基金績效持續性。結果發現Treynor及Jensen指標對基金績效排名評比具預測能力，可提供投資人選擇基金時的衡量準則。開放股票型共同基金經理人選股能力優於封閉股票型共同基金經理人；僅債券型基金經理人具擇時能力，最後國內共同基金績效表現不具有持續性。

This paper evaluated domestic mutual fund performance with the Treynor ratio (1965), the Sharpe ratio (1966), and Jensen's Alpha (1968). The authors also measured market timing and the selective ability of mutual fund managers with Treynor and Mazuy (1966), and Henriksson and Merton (1981) and tested the persistence of domestic mutual funds as well. The authors discovered that Treynor and Jensen indexes have forecasting ability for the ranking of domestic mutual fund performance; these indexes could be used to offer investors useful information regarding the purchase of mutual funds. In addition, the authors discovered that open-ended equity mutual fund managers have better selectivity than close-ended ones. Only bond mutual fund managers had the ability of good market timing. Finally, the authors discovered that domestic mutual funds perform with no persistence.

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