How to evaluate mutual fund performance correctly and determine the investment targets of mutual funds are the important issues to investors. In this study, we apply an innovative bootstrap statistical technique, to solve the small sample size problem and the distribution assumption disturbance in previous research. We examine the performance of domestic open-end mutual funds over the period from 1998 to 2003 using five performance measurement models. We further test the persistence of mutual fund performance. This study shows that¡G 1. On average, mutual fund managers do not own superior ability in stock selection. Most funds experiencing abnormal performance may simply result from good luck, since random selection also creates abnormal performance. 2. Mutual fund managers do not own market-timing ability. Classified further by investment objectives, the sample indicates that only the group of small-scale stocks shows significant market-timing ability. 3. Performance persistence does not exist no matter in long-term or short-term period.

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.