國內股票型基金績效評估與持續性之實證研究

Abstract

本研究以計算基金淨額報酬率、Treynor指標與Sharpe指標評估129檔不同類型的國內投資股票型基金在2009年至2018年的表現。此外再根據Jensen指數、Treynor & Mazuy與Henriksson & Merton模型的估計，來檢驗基金經理人是否具有選股與擇時能力。最後則透過Spearman相關係數檢驗這些基金的績效持續性。實證結果顯示在我國的股票型基金中表現最好的是開放式科技類基金，最差的則是開放式中小型基金。而台灣股票型基金經理人整體具有選股能力但不具有擇時能力。在績效持續性的部分，共同基金的績效在研究期間有超過一半的時間具有績效持續性，但偶爾還是會有集中間斷的情形。而績效反轉的部分則同樣也會發生但比例不高。

There are three purposes of this thesis. First is to measure the mutual fund performance by calculating return of net asset value, Treynor Index and Sharpe Ratio. Second is to examine whether the asset managers in Taiwan’s equity fund market have the abilities of stock selection and market timing by Jensen’s Index, Treynor & Mazuy and Henriksson & Merton’s model. Last is to check whether these funds have the performance persistence through the Spearman Rank Correlation. After observing 129 Taiwan equity funds in the period of ten years, the empirical result shows that the open-end technology funds perform best. Besides, the asset managers in Taiwan equity funds have the ability of stock selection and do not have the ability of market timing. For the performance persistence, our markets do have the phenomenon in most of the time, but sometimes the phenomenon would be disappeared in some continuous periods.