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。

本研究係探討「上市公司季盈餘宣告」與「投信持股比例」之關係，希望瞭解季盈餘資訊對基金經理人投資決策之影響方向與程度。樣本涵蓋期間為民國八十四年第四季至八十六年第一季，以國內全體基金及其投資標的為研究對象，採用 t 檢定（單尾、雙尾）及簡單迴歸分析進行研究，實證結果如下： 一、關於「季盈餘成長率」與「持股比例變動百分比」之相關性： 就整體樣本而言，此二項變數間的關係並不顯著，但就產業別而言，「金融類股」與「其他類股」則出現顯著的結果，顯著水準分別是 1%與 5%。 二、關於「好消息」與「持股比例變動百分比」之相關性： 「季盈餘成長率」與「持股比例變動百分比」均達到 1% 的顯著水準，且後者的 t 值為證數，顯示好消息確實會引起持股比例顯著增加。 但就變動幅度的相關性加以分析，整體樣本的迴歸分析結果並不顯著，在產業類別方面，僅有「其他類股」出現顯著的狀況，達到 1%顯著水準。 三、關於「壞消息」與「持股比例變動百分比」之相關性： 「季盈餘成長率」與「持股比例變動百分比」均達到 1%的顯著水準，但後者的 t 值為負數，表示壞消息的出現反而造成持股比例顯著增加。 若就變動幅度的相關性加以分析，全體樣本迴歸分析結果達到 10%的顯著水準，至於在產業別方面，計有塑膠、營建、金融等三種產業出現顯著的結果，顯著水準分別是 10%、1%、1%。 四、關於「好消息的幅度」與「持股比例增加幅度」的分組檢定： 四組「好消息的幅度」均達到 1%的顯著水準，而四組「持股比例增加幅度」亦均達到 5%的顯著水準，顯示只要出現好消息，不論幅度大小，均會引起持股比例顯著增加。 但是迴歸分析方面，四組皆未達到顯著水準，顯示「持股比例增加的幅度」與「好消息的幅度」並不具有顯著的相關性。 五、關於「壞消息的幅度」與「持股比例減少幅度」的分組檢定： 四組「壞消息的幅度」均達到 1%的顯著水準，而四組「持股比例減少幅度」亦均達到 5%的顯著水準，顯示只要出現壞消息，不論幅度大小，均會引起持股比例顯著增加。原因可能亦為投信基金進場承接的結果。 至於在迴歸分析方面，四組皆未達到顯著水準，顯示「持股比例增加的幅度」與「壞消息的幅度」並不具有顯著的相關性，亦即只要出現壞消息投信基金就可能進場承接，但承接時買進的幅度與壞消息的幅度並未沒有顯著的相關性。 六、關於「本季盈餘成長率大於前一季」與「持股比例變動百分比」之相關性： 不論是全體樣本或細分的三組樣本（正正、負正、負負）均出現顯著的結果，除了「負正組」的顯著水準為 5%外，全體樣本與其餘二組（正正、負負）的顯著水準均為 1%。顯示投信業者相當重視上市公司盈餘改善的訊息，只要本季盈餘成長率大於前一季，不論前後二季盈餘成長率究竟是正號或負號，投信基金均會顯著增加持股比例。 七、關於「本季盈餘成長率小於前一季」與「持股比例變動百分比」之相關性： 不論是全體樣本或細分的三組樣本（正正、正負、負負）均出現顯著的結果，全體樣本與「負負組」的顯著水準為 1%，「正正組」與「正負組」的顯著水準為 5%。但四種情況的 t 值均為正數，與假說之預期正好相反，表示本季盈餘成長率小於前一季時，確實會引起投信基金進場承接。 / The purpose of this study is to investigate the impacts of quarterly report announcement on portfolio revision of mutual funds in the Taiwan stock market. Based on economics of information, mutual fund can be considered as a professional investor in the market such that management of mutual fund wold apply his (her) professional knowledge to forecast the realized number of earnings this period. Therefore, this study hypothesizes that mutual funds would response to the announcement of quarterly earnings earlier than other investors such that the porfolio of mutual fund would accord the announcement to make proper revision. The findings of this study can be summarized as follows. ● Except for financial servics and others industry groups, the relationship between the announcement of quarterly earnings and porfolio revisions of mutual funds is not significant. ● The positive growth of quarterly earnings will cause the significant porfolio revisions of mutual funds; but the relationship between their magnitude is not significant. ● The negative growth of quarterly earnings will cause the reverse significant porfolio revisions of mutual funds. This results implies mutual fund may be an instrument for maintaining price; or mutual fund may consider the bad news of this period being the worst condition of the firm. ● It is robust to conclude whatever itis a good news or not, mutual fund will increase its holdings. In particular, these results hold when the next quarter has the same sign of earnings growth.

隨著國人的投資理財觀念日益受到重視，國內的證券投資信託基金在國內己逐漸成為投資人的投資標的。而對於我國的投資信託基金業者，在過去往往缺乏避險管道，使得基金經理人僅能以降低持股比率以達到規避風險的目標。 　　我國自八十三年四月正式展開期貨交易，使得國人可以合法地買賣主管機關所允許的國外的期貨契約，而對於缺乏避險工具的我國投資信託基金業者而言，如果能夠以國外股價指數期貨進行避險，不失為可行之道。因此本研究針對我國的投資信託基金業者所提供的基金投資組合資料，對於國外股價指數期貨進行避險之可行性研究。 　　本研究之實證模型是分別以現貨報酬率與期貨報酬率做為因變數與自變數之迴歸模型，研究期間自1993年2月至1994年9月止，以每週三資料求得一週、二週與四週的現貨部位與期貨部位的報酬率資料，現貨部位採用基金投資組合構建股價指數與基金每股淨值，期貨則取美國S&P 500、日本NIKKEI 225與香港恆生等三種股價指數期貨契約為避險標的對象。 　　經由實證分析，我們得到以下的結論： 　　1. 對於避險所用的期貨契約方面，建議以香港恆生股價指數期貨契約為較佳的選擇。 　　2. 避險期間的選擇方面，避險期間長度的選擇隨著股價指數期貨契約的選擇而有所不同。避險期間愈長，未必避險績效愈佳。 　　3. 對於我國投資信託基金而言，以本研究所選擇的三種國外著名的股價指數期貨進行避險的績效不盡理想，相關程度(R-Square)最高也僅有0.0779。 　　4. 在現貨指標的選擇上，以股價指數法相對於三種國外股價指數期貨進行避險研究，結果顯示並未顯著在各種績效衡量指標方面優於NAV法。

本研究首先針對下列不同市場類型、不同投資期限及不同投資方式，全面探討市場股票指數其績效報酬及風險的差異為何。 一、 投資全球型、新興市場、區域型及單一國家等不同類型。 二、 3個月、半年、1年、3年、5年、10年、20年及30年等不同投資期限。 三、 單筆、「定期定額」等不同策略。 其後，以基金淨值之RSV技術指標，來調整扣款時機，來探討定期定額及調整式定期定額等2種投資方式，何者所獲得之資本利得較佳。 本研究主要結論及建議如下： 一、 投資地區投資期間及投資方式對報酬及風險的影響： （一） 除台灣市場外，投資期間加長確實使風險（標準差）明顯下降，且平均報酬率差異不大。 （二） 投資地區仍以區域型為較佳考量，單一國家之股票市場可能因選擇誤差而產生較大風險，至各區域之投資如將報酬率與風險併同考量，則可用延長投資期間來獲取穩定投資報酬。 （三） 以拉丁美洲、全球、美國及全球新興等市場較具投資價值；台灣市場不宜作為非專業人士之投資標的。 （四） 單筆投資報酬率明顯優於定期定額，如以年利率3%來進行資金折現後，年平均投資報酬率約為6%-9%，顯示及早將資金投入可獲較佳報酬。 （五） 迴歸模型實證結果（99％的顯著水準下） 1. 投資地區、投資期間、投資方式對報酬率的影響是否存在差異性：投資期間及投資方式2變數與報酬率有密切的關係，至投資區域除全球新興市場外，餘5個區域與報酬率皆有密切的關係。 2. 不同投資地區報酬率的影響是否存在差異性：除全球及美國2區域外，餘4個區域顯示投資期間與報酬率有密切的關係，且報酬率隨投資期間的增長而減少，惟差距甚小。另6個投資區域皆顯示投資方式與報酬率有密切的關係，且以單筆投資報酬率較高，惟差距幅度亦甚小。 3. 若以「標準差」當作基金的風險指標，經統計分析後『風險』與『報酬』呈現正相關，表示高風險可相對獲得較高之報酬。 4. 投資期間與Sharp值有密切的關係，且投資期間加長可提高每單位風險之報酬；投資方式與Sharp值無密切的關係；至投資區域除亞洲(不含日本)及美國與Sharp值有密切的關係外，餘4個區域與Sharp值皆無密切的關係。 二、 “定期定額”與”定期定額+RSV指標”的績效比較 （一） 以全部樣本(方式Ａ)、RSV區分(方式Ｂ) 2分類方式，其10年之超額平均報酬小；以投資地區(方式Ｃ)分類，其10年之超額報酬最高為8.9(拉丁美洲) ，最低為-5.95(亞洲(不含日本))，差異不大。 （二） 進行T檢定後，僅方式Ｃ分組呈現“定期定額”較”定期定額+RSV指標”二者報酬率具顯著差異。

<p>Background: Mutual funds have become an important part of the Swedish deposit market. Savings in mutual funds add up to almost 20 percent of the households'assets. When the pension reform is carried out all employees are going to have savings both in mutual and bond funds. But only if the fund overperforms the market it is worth investing. </p><p>Purpose: The purpose of this study is to explore if Swedish mutual funds have generated higher returns than market portfolio in the late nineties. </p><p>Research method: Returns of the mutual funds have been examined by four different measures. These are return on investment, the Sharpe ratio, the Treynor ratio and Jensens alpha. </p><p>Results: According to the results from my study only one mutual fund has performed better than the market on the average. Some funds had higher return than expected under some years but no extraordinary performance was found. Even lower return than expected was found in some mutual funds.</p>

Background: Mutual funds have become an important part of the Swedish deposit market. Savings in mutual funds add up to almost 20 percent of the households'assets. When the pension reform is carried out all employees are going to have savings both in mutual and bond funds. But only if the fund overperforms the market it is worth investing. Purpose: The purpose of this study is to explore if Swedish mutual funds have generated higher returns than market portfolio in the late nineties. Research method: Returns of the mutual funds have been examined by four different measures. These are return on investment, the Sharpe ratio, the Treynor ratio and Jensens alpha. Results: According to the results from my study only one mutual fund has performed better than the market on the average. Some funds had higher return than expected under some years but no extraordinary performance was found. Even lower return than expected was found in some mutual funds.

The first essay examines how board structure affects manager dismissal decisions in mutual funds. We first find some evidence suggesting that the likelihood of managerial replacement is higher when fund boards are more independent and receive lower levels of compensation. Manager turnover is more likely when funds underperform the objective average. We then investigate the manager turnover decision conditional on the funds experiencing a merger. We find that funds with more independent boards are more likely to employ target managers with a track record of superior performance. Overall, these results suggest that more independent boards make manager retention/replacement decisions in the interests of their shareholders. The second essay studies the relationship between managerial ownership and mutual fund performance. We first document that almost half of the mutual fund managers own shares in their funds, though the absolute amount of investment is modest. Fund future performance is positively related to the level of manager ownership. Manager ownership is higher in equity funds than bond funds, in funds with better past performance, smaller sizes, and where managers have been in charge for a longer time period. When we decompose manager ownership into predicted and residual parts, we find that both components are significant in explaining fund future performance. Our findings suggest that managerial ownership has desirable incentive attributes for mutual fund investors. The third essay investigates how managerial ownership affects the investment behavior of portfolio managers. We first examine the disposition effect exhibited by different fund managers, and find that those with positive ownership show significantly less disposition effect. Specifically, they sell losers faster and hold on to winner stocks for a longer period. Disposition effect is less pronounced in bigger funds, funds with smaller boards, and funds with higher percentage of board independence. We then test the relation between managerial ownership and the tournament behavior, investigating how the degree of managers manipulation of fund volatilities in the latter part of a year is related to their personal stakes in the funds. However, we do not find evidence suggesting the existence of such a relationship.

Recently, the market of mutual fund is getting larger and larger; and the need of determining which fund to buy is more important as well. In this study, we want to find out the relationship between mutual fund managerial team and mutual fund performance. We examine the performance of 64 mutual funds over the 3 year period 1997 through 1999 using Fama and French¡¦s 3-factor model. Then we test the persistence of mutual fund performance and whether a mutual fund manager have market timing ability. Results show that a fund¡¦s performance is significantly impacted by its manager¡¦s number, fund age, turnover, expense, and mutual fund company¡¦s age. All else equal, investors can expect better performance from funds with few manager numbers, low fees, low buy turnovers, high sale turnovers, and younger mutual fund companys. On average, mutual fund managers do not have market timing ability, and mutual funds exist performance fersistence over the 3 year period.

Abstract Mutual fund, which has become a popular domestic investment tool possess a lot of advantages. However, how on earth investors could choose the fund that worth investing is often confusing. This research begins from the qualities of mutual fund itself and it¡¦s manager. I¡¦ll discuss the influence that the type of fund, achievement in the past, scale of fund, turnover rate, risks and investors¡¦ age, sex, schooling record and experiences would have on its achievement. Hoping through these different sides of thinking would provide a direction for investors when choosing Mutual fund. This research was done in the period from January, 1997 to January, 2002, after excluding some of the survivorship bias, we sift through the whole information in the five years, and we acquire 59 open type that would be used as sample fund in this research. We adopt Jensen-performance-estimated model and 4-factor model as achievement measure standard. By setting tests of Pearson Correlation Coefficients and Durbin-Watson, plus OLS, we estate mate Jensen-performance-estimated model and 4-factor model, and the result of its alpha would be cross-analyzed with the multiple linear regression model, thus we¡¦ll clearly see the relation of quality between mutual fund and their managers. Before going on the cross-analysis, in order to seek for the best estimating method, we test heteroscedasticity by residual pattern and Breusch-Pagan Test. Since it comes out there is no heteroscedasticity, we still conduct the process by OLS to observe how the relation between the qualities of mutual fund itself and that of managers will affect on fund achievement. We found 4-factor model is more convincing among all other achievement evaluation model though the results vary from types of model. In the achievement index, a positive and remarkable difference type of fund is from Jensen index,, which coincided with Dahlquist, Engstrom, and Soderlind(2000)¡BJia-ling Hong(2000). Under 4-factor model, global fund and region ones appear obvious negative related, but high-tech types and general are not convincing at all. Besides, the influence of reward in the past and the scale of it shows the conclusion that two model are related positively in achievement side of short and long term, but negative in scale. Moreover, the risks can¡¦t explain the achievement difference, and turnover-rate doesn¡¦t affect achievement directly, the outcome coincided with the prove of Ippolito(1989) . Finally, which this research shows that the types results vary from managers personal qualities, but most of them can¡¦t explain the achievement differences. We only catch that under Jensen index, managers who get their MBA degree abroad tends to have positive relation in achievement of fund.

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