由於國內股市具有濃厚的投機性質，因此政府於民國八十一年一舉核准十一家新投信成立，使國內的投信家數擴充至十五家，基金數目及種類亦呈快速成長。共同基金具有分散風險及專業操作的優點，對一般投資大眾而言為一良好的投資管道，但究竟應如何選擇操作績效優異之基金亦深深困擾投資人。 　　本文主要探討三個主題：1、評估國內共同基金的績效；2、探討投資決策、市場擇時及選股能力三者對基金績效之影響；3、檢定基金績效是否具有持續性。由於以往國內有關基金績效的研究主要是採用傳統的Treynor、Sharpe、Jensen等績效指標，或Treynor & Mazuy法、Fama法、M.C.V績效指標、Fabozzi Francis法，較少利用基金持股的資料，因此本研究主要參考Gary P. Brindon, L. Randolph, and Gilbert L. Beebower(1986)及Grinblatt and Titman(1993)之模式，利用基金每月的持股明細來評估國內共同基金的報酬率及影響基金績效最重要的投資決策。 　　本研究係以在國內募集並投資於國內證券市場的共同基金為研究對象，包括二十一個基金，其中十六個為封閉型股票基金，五個為開放型股票基金。研究期間為民國82年5月至民國84年12月，以月資料為研究單位，共計32期。 　　經由實證分析獲致以下幾點結論： 　　1、國內的基金績效雖有差異，卻不具備統計上之顯著性。 　　2、影響基金績效最大的因素為投資政策，其次為擇時與選股能力。 　　3、在選股能力及擇時能力的評估方面，國內基金普遍具有正的選股能力，卻不具備擇時能力。 　　4、國內共同基金績效具持續性，因此過去的績效應可作為未來績效的參考。進一步檢定基金投資政策績效及擇時與選股能力則發現，基金的投資政策績效與選股能力具持續性，但擇時能力則不具持續性。

在資產管理公司的全球化浪潮下，國內資產管理的規模大幅成長，其商品種類也不斷地推陳出新，而投資人再選取商品上，經由過去的文獻發現投資人自身在判斷一檔基金投資與否通常會看其過去的績效，在近期有較高績效的共同基金較會受到投資人青睞。故在投資人有這種追求過去歷史績效的現象時，如何選擇有績效持續性的共同基金就變成一個重要的議題。 而一直以來，基金績效持續性的探討所找到的結果各家看法不一，部分文獻顯示出基金績效的持續性非來自於基金經理人的強調選股特徵，而亦有學者認為基金經理人可能會有能力上或是訊息上的優勢。經由歸納，常發現已發展國家的股票型基金持續性是不顯著的，而新興國家可能由於經理人的資訊程度較大眾的消息取得容易且迅速。 本文經由探討台灣股票型基金發現擁有較好強調選股特徵(1-R2)的基金其在未來績效較有持續性，若再搭配當期α來考量，則短期，投資強調選股特徵弱但α大的群組或是投資強調選股特徵強但α小的群組，績效表現較好；然而，若放眼長期，擇投資強調選股特徵強的基金，績效表現會較為出色，尤其是α落在較大群族的基金。整體而言，淨資產對於持續性的影響是顯著負向的，可能原因為規模不經濟導致；週轉率越高代表其績效持續性較強。另外新資金湧入導致基金績效持續性較不佳，原因可能為其淨資金流入會造成基金操作管理上效率的問題。 / Under the globalization tide of the asset management company, the asset managed in Taiwan has been grown dramatically, and much more various products have been launched. Empirical evidence found that investors tend to take past performance into consideration before they invest in funds. As a consequence, funds with recent outstanding performance are more popular than others. So performance persistence becomes an important issue. Empirical researches did not reach consensus on whether funds have performance persistence, some paper shows that performance persistence does not stem from stock picking ability, however, some evidence show that fund managers might have some information or ability advantages. And performance persistence is more likely happened in emerging countries than developed countries due to fund managers have more efficient and latest information than general investors. This paper finds that Taiwanese stock fund which emphasize more on stock picking ability (higher 1-R2) tend to persist. If analyzed with current α, funds with less emphasis on stock picking and bigger current α in the short run, or funds with more emphasis and weaker α will have better performance in the future. In the long run, more emphasis on stock picking, better performance in the future，especially those with strongerα. Greater asset under management and net sales rate might cause worse performance persistence due to inefficiency in management. And higher turnover help performance persistence.

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。

本研究的主要目的，在於探討中國大陸的得獎基金之績效持續性是否存在？本研究利用晨星與理柏兩家國際專業評級機構於2004年至2012年所頒發的中國大陸得獎基金為研究樣本（前者的樣本為41檔基金，後者的樣本為53檔基金），資料來源分別為晨星資訊（深圳）有限公司及新浪網。在分別採用累計淨值報酬率、Sharpe指標作為績效衡量指標，並使用Spearman等級相關檢定、績效二分法與迴歸分析，以驗證中國大陸得獎基金在頒發前後不同期間的績效表現是否具有持續性。研究結果發現，前兩種檢定方法皆呈現基金績效在短期（三個月及六個月）具有持續性，而在長期甚至出現績效反轉的現象。而迴歸模型分析的主要發現為，在控制其他變數後，獲得晨星中國基金獎之基金在短期才具持續性，在一年時出現績效反轉。而獲得理柏中國基金奬之基金，在六個月的評估期間就可能出現績效反轉的現象。 / The purpose of this study is to investigate whether the persistence of awarded funds’ performance exist in China. This study employs awarded funds of MorningStar award and Lipper award in China as the sample provided by Morningstar website in China and Sina website. Using accumulated rate of return and Sharpe index as the measurements of awarded funds’ performance and Spearman’s rank correlation coefficient, two-way table constructed by Goetzmann and Ibbotson (1994) and regression analysis as methodologies to analyze this issue in different before-and-after periods, the primary finding of this study is that the former two methodologies show that the performance persistence of awarded funds exist only in three- and six-month periods, and performance reversal appears in the long-run. According to regression analysis, this study suggests that MorningStar awarded funds might have persistent performance in the short-run, but performance reversal after 1-year period. However, Lipper awarded funds do not have persistent performance, but performance reversal after six-month period.

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.