中國的開放式基金近年來高速發展，對中國資本市場的影響與日俱增。然而目前在中國境內對基金所採用的基金績效評價方法仍為較為傳統的方法，如夏普比率、特雷納指數等。而傳統的基金績效評價方法未能很好地顯示基金的真實績效情況。鑒於美國基金有較為先進的績效評價方法，本文利用DEA數據包分析法模型，構建一個包括從基金期初規模、風險收益情況、基金經理人能力及投資人風險偏好等多方面因素的基金績效評價體系。 本研究選擇中國181檔股票型開放式基金，從基金規模及投資風格兩個維度展開深入研究分析。此外，為比較交易量不同期間基金績效的表現情況，本研究依照深證、滬證市場交易量、交易額，將2012年至2015年此段實證期劃分為交易活躍期及交易低迷期兩個階段，對基金績效進行比較分析。結果顯示，交易活躍期的基金績效遠高於交易低迷期；並且無論是交易活躍期或是交易低迷期，小型基金及主動型基金績效表現最佳；而基金的相對績效情況於其基金管理人的資產規模並無顯著相關關係。 在文章最後部分，本文從投資人角度建議投資人在證券市場交易活躍期可增加股票型基金的投資額度，在基金選擇上無需盲目傾向選擇大公司的基金產品，而可以適當傾向投資於小型基金及主動型基金。 / With the rapid development of mutual funds in China in the past decades, open-ended funds have played an important role in Chinese capital markets. To overcome the limitations of traditional performance measurements, this paper establishes a new methodology to analyze open-ended mutual fund performance. This paper uses data development analysis model which considers asset size, risk return, managers’ ability and risk performance of the investors. By utilizing 181 open-ended stock fund data from 2012 to 2015, this paper yields conclusions as follows. First, fund performance is better in strong market periods than that in weak market periods. Second, small size and active funds are more efficient. Third, fund performance is not significant associated with fund asset size and fund units in the fund company. The findings in this paper suggest that investors could do more investment on the open-ended stock funds in the strong market periods. And investors are suggested to invest small size and active fund. What’s more, there is no necessary to consider if the fund’s management company is big enough.

根據投信投顧公會統計數據，近年來台灣地區共同基金淨資產總值維持至少新台幣2兆元的水準，2007年底時甚至一度突破新台幣4兆元，由此可知共同基金在台灣地區投資人投資選擇中所佔重要性。另外近年來隨著大陸經濟的快速成長，大陸金融市場也逐漸成為國內外基金重要的投資訴求。因此本論文將從台灣投資人的角度出發，探討如何藉由各類基金績效評估指標，在以投資大陸股市為號召的各檔主要市場中國股票共同基金中進行選擇。 / 本論文選取了九檔市場交易量大、曾經在台灣熱銷或上市交易的共同基金，範圍包含了國內投信募集基金、境外基金以及ETF。資料期間為2006年元月至2008年十二月、資料頻率為月資料。研究方法所採用之迴歸模型有以下兩者，CAPM單因子迴歸模型、衡量基金經理人擇時選股能力的Treynor & Mazuy模型。所採用之基金績效指標有平均月報酬率、累積報酬率、月報酬率波動度、beta值、Treynor指標、Sharpe指標、Jensen指標及擇時選股能力指標。 / 最後實證結果如下。收益指標：大陸及香港上市的ETF表現最佳，表現最差的則是國內募集基金及台灣上市ETF。風險指標：總風險及beta值最低的是國內募集基金及ETF，最高的則是大陸及香港上市的ETF。風險調整後收益指標：深證100ETF的表現最好，至於國泰大中華基金與寶來台商ETF則是表現最差。擇時選股能力指標：缺乏足夠的證據證明基金經理人具有擇時選股能力。 / 隨著中國大陸經濟的快速成長，中國股票共同基金的募集相信會是未來的重要趨勢。但目前台灣地區針對中國股票共同基金的相關研究較少，希望藉由這篇論文的撰寫，可以帶動更多這方面議題的研究與探討。

共同基金績效評量以夏普比率(Sharpe Ratio)最常被使用，但是由於夏普比率建構於常態分配的假設上，當基金報酬率不為常態時就可能產生偏誤。本文針對國內共同基金進行常態性檢定，發現基金報酬率分配呈現左偏、高狹峰的特質，並非常態分配，因此本文擷取風險值(VaR)衡量下方風險、又不需假設報酬率為常態分配的特長，將風險值應用在共同基金績效衡量上，以改善夏普比率在報酬率非常態分配下的偏誤，作為基金績效評估時輔助參考之用，並以國內共同資料進行實證研究，結論歸納如下： 共同基金績效排名衡量上，以風險值取代夏普比率標準差的指標所得到的排名會與夏普比率所得到的排名的確有所差異。一般類股票型基金方面，以風險值取代夏普比率標準差的指標排名相對夏普比率提升的基金都具有風險值較小的特點；另一方面，上櫃股票型基金及科技類股票型基金排名因報酬率差異較大，所以出現報酬率主導排名順序，改變風險衡量方式影響排名不大的現象。 本文比較以風險值取代夏普比率標準差的指標及以標竿報酬率代替無風險利率的指標、以風險值取代夏普比率標準差的指標及報酬風險值均考慮市場影響的指標，瞭解所處市場走勢對基金績效的影響，實證結果發現上櫃型基金排名均往前攀升；科技類股票型基金在考慮市場因素後所獲得的排名評價有後退之現象產生。 在指標預測性方面，夏普比率和以風險值取代夏普比率標準差的指標在統計上不具顯著性；以標竿報酬率代替無風險利率的指標和報酬風險值均考慮市場影響的指標則在統計上具顯著性，具有預測參考價值。

本論文是研究在台灣開放型的股票型共同基金，並且利用資料採掘的技術加以分析並分類所謂優異績效及劣質績效的共同基金。我們使用分類決策樹(Classification and regression trees, CART)的方法來進行共同基金績效的分析及預測。本篇論文，我們採用了13種重要的變數來建構樹並找出優質基金，此外更驗證CART對於我們進行台灣共同基金績效的分析是穩定且有效的。最後，我們利用cross-validation test進行兩個月的基金的選取及持有，並各透過一個月的持有來視其績效。我們特別發現利用此方法選取出來的基金，其平均績效將優於所有共同基金的績效，並且其中有一個月的平均報酬率高於僅投資於高科技股的共同基金平均報酬率。 / We study the performance of open-end mutual funds in Taiwan, and use the technology of data mining to classify the outperforming and underperforming mutual funds. Classification and regression tree (CART) is the method to evaluate and predict the performance of mutual funds. In this paper, we utilize thirteen crucial factors to build trees and pick mutual funds by its classification rules. Moreover, we will verify precision of each tree. We find that the CART is a good tool to evaluate the performance of mutual funds in Taiwan because of its stability in outperforming - underperforming spreads. Moreover, we use two kinds of learning sample to build two trees and pick mutual funds to compose of them into the fund of funds. The results are better than the total average returns monthly, and one of them is better than the mutual funds that its investing target is high-tech stocks.

共同基金在國內已經發展三十餘年，已成為國人一項重要的投資理財工具。唯傳統的基金設計係以「定期定額」的方式來操作，而本研究目的在於設計一套「不定期定額逢低投資」的操作方式，並證實該方式的投資績效係顯著優於傳統的基金操作。具體而言，本研究以2011年1月至2015年12月合計五年之基金每日淨值歷史資料，藉以比較定期定額與不定期定額(實際策略為當台股加權指數跌幅大於前一日1.25%即自動進行定額投資)分別在一年期、三年前、五年期以及金融海嘯期間(2008年)的績效表現。調查結果證實，不定期定額的績效均顯著優於定期定額的表現。本研究的結論可以提供投信產業設計新穎的共同基金，以提供投資人差異化的理財策略選擇。本研究相信，「不定期定額逢低投資組合」相當適合資金較充裕的積極型投資者。 / Mutual funds have been developed in Taiwan for more than 30 years and are now an important investment and financial tools for the people. Nonetheless the practice of traditional funds was designed through “dollar-cost averaging” and the study intends to design a practice of “value averaging bargain investment” to prove that the investment performance of the practice is significantly better than the traditional funds practice. Specifically, this study selected five years of NAV information from January 2011 to December 2015 to compare the performance of dollar cost averaging and value averaging (actual strategy was automatic fixed-amount investment when Taiwan Stock Exchange Capitalization Weighted Stock Index dropped 1.25% lower than previous day) based on strategic investment holding periods of one year, three years, five years and during the financial crisis (2008). The result proved that the performance of value averaging was significantly better than dollar cost averaging. The conclusion of this study could provide differentiated fiscal strategy for investment trust industry to design new mutual funds for investors. The study states that “the combination of value averaging and bargain investment” is more suitable for active investors with sufficient funds.

共同基金是未來投資理財約主流!專業法人機構在股市之投資比重日益提高，對國內證券市場生態產生結構性改變。展望未來趨勢，隨著股市發展成熟化、上市上櫃公司遽增與金融市場情勢連動關係複雜化等因素，專業投資理財時代的來臨必將成為事實。「專業、分工理財」投資型態將逐漸取代以往投資人自行下海操作之「自助式理財」型態。故共同基金操作績效正是進行本評鑑研究的最大動機，其中辨認基金經理人操作策略與績效顯現最具代表性的指標--選股能力與擇時能力．乃本研究所欲深入探討的主題。本研究模型之構建乃根據 Lee-Rahman (1990) 所提出之改良評鑑模式，簡言之，該模型的發展歷經早期 Treynor & Mazuy (1966) 的理論雛形，並經過 Jensen 針對評鑑擇時能力方面之改進，然後再經由 Bhattacharya & Pfleiderer (1983) 的進一步修正，產生了較完善的整體架構，最後經由 Lee-Rahman (1990) 針對評鑑過程中評鑑迴歸式之殘餘項異質性問題，作一根本的解決，建構完整的基金選股與市場擇時能力績效之評鑑模式。同時並運用幾個傳統績效評鑑指標 (即 Treynor、 Sharpe 與 Jensen 指標三種)，作為基金整體性績效之輔助研究。 實證結果顯示:(一)在基金整體績效評估方面，得到的結果顯示不論研究期間的長短．基金表現擊敗大盤的比例皆高於五成，約介於 60% 至 70% 左右，而在 Treynor、Sharpe 與 Jensen 指標三種不同評鑑模式分析下，基金績效排名有相當顯著的一致性。(二)在選股與市場擇時能力評鑑( Lee-Rahman 修正模型)方面:1.同時兼具選股與市場擇時能力的基金皆有穩定的一致性;2.大多頭時期基金擇時能力普遍提昇、新投信基金績效表現較優異。(三)整合比較結論方面:1.本研究中不同的評鑑模式所得實證結果十分肯定基金績效的持續性與穩定性;2.基金顯著的擇時能力並非基金整體績效脫穎而出的決定性因素，績效傑出與否幾乎決定於選股功力因素:3.台灣股市投資 Bottom-up 的投資邏輯漸漸取代 Top-down ;4.新投信績效已有凌駕老投信的趨勢。 / Mutual Funds Investment will be very popular! While the professional institutionalist's participation being promoted, domestic stock market environment has beenchanged structurally. In the future, accompanied by several reasons such us the_maturationof stock market, dramatic increasing in listed company numbers and more complex correlation in international financial markets, the age stressing on professional financial adversary will come. "Professional financial investment and adversary" will substitute for"Self-adversary" investment. Therefore, measuring the mutual fund's performance is the mailmotivation of my study', and the insight in selectivity ability and market timing ability will bethe subject for further research. The research model is based on the Lee-Rahman's modified model (1990), that is, the model structure was first built by Treynor & Mazuy (1966), improved by Jensen in Timingability measurement, and then revised by Bhattacharya & Pfleiderer (1983), and throughout structured by solving the "heteroscedasticity" in error terms of regressions finally Therefore, the better integral research model on measuring selectivity ability a timing abilityhas been accomplished. Meanwhile, we also use three traditional performance measure(Treynor, Sharpe & Jensen index) to be the general performance research. Empirical results show that (1)By measuring the general performance of mutual funds, we know that about 60%-70% funds managers beat market at each research period, and there exists consistency of fund's performance ranking among those three measures. (2) By using Lee-Rahman modified model (1990), we got three conclusions. First, for those funds consist of selectivity and timing ability, there exists consistency. In bull market period, timing ability of most funds performed better generally, and new funds had better performance. (3) Integral comparative conclusions have four results. First, no matter what measures being used, empirical results confirm stability and consistency in performance ranking. Second, significant timing ability is not the determinate factor of significant performance, significant selectivity ability plays the determinate role. Third, in Taiwan, bottom-up investment strategy gradually substitutes for top-down investment strategy. Finally, new mutual funds investment co. had outperformed old mutual funds investment institutions.

本研究將過去五年各ETFs基金之資料，針對Sharpe Ratio、Information Ratio、Omega Ratio、Sortino Ratio及Gain-Loss Ratio等衡量指標當作績效評比依據。 首先，分別從個別平均報酬及本利和的角度，進行ANOVA 之F檢定分析，檢視各績效指標在以一個月或三個月為衡量期間，最好(Winner)和最差(Loser)ETFs之次月(季) 平均報酬及本利和，是否存在顯著差異性。 再來，單獨利用Sharpe Ratio、Information Ratio、Omega Ratio、Sortino Ratio及Gain-Loss Ratio等指標，排序挑選每月(季)之前七檔(Winner) ETFs，除一個月為投資前間之Sharpe Ratio外，其餘各指標在次月(季)的投資績效似乎都不明顯。然而績效指標可預先發出警訊，當指標與下一個衡量期間之報酬率背離時，可當成空頭來臨前的警示燈號。 此時在研究中，思考可擬定投資策略，分別同時做多(long)其最好之七檔ETFs，及做空(short)最差之七檔ETFs，即使是經歷金融海嘯的過程，依此策略Sharpe ratio、Omega ratio、Sortino ratio或Gain-Loss ratio在絕大部分時間裡都是正報酬。 最後，迴歸分析結果顯示，要找出適合解釋ETFs報酬率能力的績效指標並不容易。並未有單一績效衡量指標具有對不同ETF皆有很好的預測能力，可見在金融市場裡，想單靠幾個績效指標來解釋ETFs基金的報酬率並不易達成。同時在研究基金績效是否具有持續性上，結論也發現以各績效衡量指標過去一個月的績效，並沒有能力去預測ETFs基金未來的價格，沒有証據可支持ETFs基金績效具有持續性。符合”所有基金績效，均為過去績效，不代表未來之績效表現”；建議機構或個別投資人買賣ETFs基金應著重於研究產經未來趨勢，而非過去績效。

國外研究證實，由於基金績效具有持續性，則理性的投資人會以過去績效最為投資參考依據，將資金投入過去表現佳的基金，而此一投資決策應能持續創造超額報酬或風險溢酬，因此市場資金應會流向未來績效佳的基金（smart money effect)，此即為現金流量報酬預期效果且由於基金的現金流量變動代表投資人的投資決策變動，故現金流量報酬預期效果亦即為投資人對於股票型基金報酬的預測能力。 為瞭解台灣基金投資是否具有報酬預測能力（選對好基金，將資金由壞基金中抽離的決策），而此能力是否會因基金基金規模產生差異，且市場投資人可否根據此一公開資訊（上上期的現金流量）、累積資訊（累積前三期的淨現金流量）作為投資參考，並賺取超額報酬。本研究根據建構八組投資組合，包括三組不同基礎的現金流入（出）交易策略，比較各投資組合的報酬預期效果。 結果發現，台灣股票型基金投資人並不具備報酬預期能力，且常做出錯誤的決策，通常由好基金中籌離資金，喪失獲取較佳報酬的機會。而市場投資人無法藉由遞延一期的現金流量資訊獲取較佳超額報酬機會，但可藉由過去累積三期的現金流量資訊，將資金由淨現金流入金額大的基金中抽離，並投資於淨現金流出金額較大的基金，可因而獲取較佳的績效。另外，投資人對小型基金的報酬預期能力優於大型基金。

近年基金投資已然成為一般民眾重要的理財工具之一，而投資人最關注的顯然是基金績效的好壞，以及前績效好的基金在未來能否持續先前好的績效表現。因此本論文主要探討台灣的開放式股票型基金之績效、基金績效的持續性，以及投資人買賣基金的行為與基金績效之間的相互影響。論文第一部份是從隨機變數的觀點評估台灣的開放式股票型基金其夏普指標績效值，第二部份則以一般化的馬可夫模型－「漂移者—停駐者」模型評估基金績效持續性的動態行為，第三部份討論投資人的現金流量和基金績效之間的關聯性。 在第一部份的實證結果中，我們認為過去對夏普指標高的基金其績效較佳之想法必須修正，因為從隨機變數的觀點衡量基金的夏普指標值時，所有基金的績效均不顯著異於0。若與市場指數的夏普指標相比，並非所有基金經理人都能打敗市場，雖然以五年評估期間衡量基金績效時，有半數以上的基金其績效顯著優於市場指數，但在二年評估期間下只有極少數基金的績效顯著優於市場。第三，以拔靴法模擬基金的小樣本夏普指標分配時，仍然無法找到基金績效顯著大於零的證據。整體而言，本部份的研究認為從隨機變數的觀點衡量基金的夏普指標績效時，台灣的開放式股票型基金其績效超越市場的證據並不強。 第二部份以「漂移者—停駐者」模型衡量基金績效的動態持續性之實證結果，我們發現整體基金市場具有某種程度的績效持續性，但績效持續性的強弱程度隨著績效組別的不同而有差異，表現最佳與最差兩組基金的績效持續性高於績效中等基金，但整體基金的績效持續性並不很明顯。另外，績效最差組別的停駐基金比率為各組中最高，代表該組別基金的績效持續性較強。第二，基金績效持續性因績效指標的不同而有差異，主要差異反映在各績效組別裡停駐基金比率的估計。第三，「存活偏誤」的確對基金績效持續性的結果有影響，但主要影響反應在停駐基金比率的估計，而非績效漂移基金的轉換機率。第四，以概度比檢定驗證單純馬可夫鏈模型與「漂移者—停駐者」模型對資料的配適程度時，發現「漂移者—停駐者」模型較適合分析台灣開放式股票型基金的績效持續性。 就第三部份基金績效與投資人現金流量的討論，第一，實證結果支持台灣的開放式股票型基金其績效具有持續性，但整體市場的績效持續性並不顯著，其中季資料下基金績效的持續性證據最強，此部份與論文第二部份的結論一致。第二，前一季績效佳的基金在下一季能吸引投資人較多的現金流量，但是放入市場報酬率作為解釋因子後，我們發現投資人的現金流入隨著市場報酬率的上升而提高、隨著基金報酬率的增加而減少，因此投資人買賣基金的主要考量似乎是以市場整體走勢為主，而非基金前期績效。第三，投資人買賣基金的活動對基金後續績效並無影響，這可能是基金經理人的持股比率高於法令規定，或是投資人買入贖回基金的活動對績效的影響通常在數日內即已反應完畢。最後，討論經理人的流動性交易及訊息交易對基金後續績效的影響之前，我們發現基金前期績效的持續大約維持兩個月，但是加入流動性交易及訊息交易作為解釋變數後，基金績效的持續性減弱。 / Mutual funds have been a popular investment vehicle in recent years regardless of the growth of fund assets or numbers of beneficiaries. What investors mind are that whether mutual funds can provide higher return than others, star managers can persist previous dominant performance. For the reasons, we try to examine the performance of Taiwan mutual funds by Sharpe ratio index from new insights, and study mutual fund within best performance group can maintain antecedently superior performance. Finally, we attempt to investigate the relationship between fund performance and fund flows of open-ended stock fund in Taiwan. 1. We analysis the statistical distribution of the Sharpe ratio in Taiwan Mutual Funds developed by Lo(2002) and explore fund performance. First, we construct the confidence intervals of Sharpe ratio of Taiwan stock funds under different assumption for the return-generating process is independently and identically distributed returns (IID) and Non-IID but stationary, then, annualize Monthly Sharpe ratios by Time Aggregation technique. To avoid small sampling errors, we utilize bootstrap sampling conception to simulate the small sample distribution of Sharpe ratio of stock funds. We find that (1) there are not significant evidences that mutual funds in Taiwan have superior performance than riskless rate or market returns in several conditions. (2)By Bootstrapping sampling technique, we still cannot find stock funds have comparatively better performance than market indexes from empirical result. Accordingly, we believe that the usual methods about Sharpe ratios must be modified. That is, a mutual fund with higher Sharpe ratio is not necessarily a good performance, absolutely. Cause, Sharpe ratio index is not a constant, but a random variable, and we must build up its interval estimation and then test if there are significant differences between funds performance. Consequently, we argue it is relatively important to construct the performance-ranking system of mutual funds similar the bond credit-rating. 2. We employ the mover-stayer model to study the dynamics of performance persistence of mutual funds in Taiwan. This model provides us more detailed information about and help us further understand the nature of mutual fund performance persistence. We find (1) that there exists certain degree of persistence in mutual fund performance. Such persistence is, however, not very significant. It is because most funds are mover funds with unstable performance rather than stayer funds with consistence performance. More interestingly, funds within the best and the worst performance groups have more persistent performance than those within the middle performance group. It implies that in view of the previous mediocre performance, fund managers within the middle group have strong intention to improve their future performance. In addition, the fact that the worst performance group has the highest proportion of stayer funds implies that losers are more persistent than winners in Taiwan mutual fund industry. Overall, mutual funds in Taiwan have only weak performance persistence. (2) that consistent with the literature, the degree of persistence in performance is dependent on the performance evaluation criteria. It seems that this difference of degree of persistence is reflected in the estimation of stayer fund proportion, not in the estimation of the transition probability matrix of mover funds. (3) that there exists survivorship bias in our study. It mainly influences the estimation of stayer funds proportion, not that of the transition probability matrix of mover funds. Having said that , we believe that this bias will not alter the important conclusions of this article. 3. This part studies three important issues including the performance persistence of mutual funds, the relationship between mutual fund performance and investor fund flows, and the influence of investor fund flows on the performance of mutual funds. Our analyses are based on the data of mutual funds in Taiwan with three different frequencies that include monthly, quarterly, and yearly data. The methods we utilize to perform the analyses are those from Gruber (1996) and Edelen (1999). There are three main findings in this article: (1)During the sample period from 1996 to 2004, the evidence on the performance persistence of mutual funds in Taiwan is at best weak regardless of various risk-adjusted models and data frequencies. In sum, mutual funds in Taiwan do not perform persistently no matter how their performance is measured. (2)We are not able to discover a significant relationship between mutual fund performance and investor fund flows based on monthly data. This result is not consistent with that of Gruber (1996). However, this relationship becomes stronger if we look at quarterly data. In addition, the most interesting thing is that it seems that it is the quarterly stock market return that derives most of investor fund flows rather than the quarterly mutual fund performance itself. This result implies that the key factor for investors to decide whether to invest more capital into mutual funds is the overall market performance. In other words, the market sentiment may be the most importance factor that induces investors to purchase or sell mutual funds. (3) In contrast to the results of Edelen (1999), the liquidity-trading of fund managers induced by investor fund flows does not have a significant adverse effect on fund performance. Interestingly, the contemporaneous information-trading of fund managers has significant negative impact on fund performance while that in the previous month actually improves fund performance. Furthermore, the performance persistence normally lasts for two months but it diminishes when we incorporate both the liquidity-trading and information-trading of fund managers into the regressions.

本研究以修改傳統 模型為出發點，探討基金經理人所具備的動態行為特質。傳統模型重點主要放在經理人對於市場報酬率走勢的預期，並未考慮到其對市場未來波動性走勢的預期能力。因此本文認為有失偏頗。故研究方法即加入波動擇時能力特質進入模型，希望能強化傳統模型的擇時能力表現，以更完整地建立有關經理人擇時能力的資訊。 本研究採用三十支國內股票型共同基金為研究樣本。研究期間為2001//7/1~2005/6/30四年。利用日資料方法來補捉基金經理人每日動態特質，並且建立了隨機投資組合作為比較基準點，期望能更客觀的分析經理人是否具備優良從事交易策略的能力。 研究結果發現，研究樣本的基金經理人，以三因子或單因子模型分析，多數經理人具備波動擇時能力，但是報酬擇時能力並不顯著。這說明國內共同基金經理人在面對股市的未來報酬高度不確定性，會重視高波動所帶來的高風險。故會在未來走勢高波動時，適時的減少市場風險曝露及投資部位。 另外，研究結果也發現，當模型中異常報酬考慮到市場上波動時，基金經理人波動選股能力係數並不顯著，故無法說明其會隨著市場波動性改變，而運用選股能力強化績效，創造基金異常報酬。