國內指數型股票基金的淨值與操作績效、績效持續性之關係分析

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Title:	國內指數型股票基金的淨值與操作績效、績效持續性之關係分析
Other Titles:	The Relationship between Nav and Fung Performance and Persistence-Evidence on Equity Index Fung in Taiwan Market
Authors:	曾琪雯 Tseng, Chi-Wen
Contributors:	企業管理系管理科學碩博士班袁淑芳 Shu-Fang Yuan
Keywords:	基金淨值;Treynor指標;Sharpe指標;擇時擇股;績效持績性 performance persistence;market timing and selecting ability;Trynor ration;Shape ratio;NAV
Date:	2014
Issue Date:	2014-11-20 11:45:02 (UTC+8)
Abstract:	共同基金的淨值及操作績效是否得做為投資人擇選基金的參考依據？一直為基金投資人思考的問題。據此本文主要目的即在探討共同基金淨值及操作績效與基金未來績效表現的關聯性之分析。首先本文一探討高、低淨值差異是否會顯見在未來的基金績效表現的差異，再次，再檢視基金績效是否具有持續特性，以做為判斷指數型基金是否存在動能的效果。藉由共同基金的淨值表現與基金績效的關係分析，及基金績效持續性的分析，以提供投資人判斷基金淨值是否適合做為擇選績效佳基金的準則。本文以2005年1月至2013年12月之國內指數型股票基金的週頻資料為實證標的，將樣本內基金之近月淨值或淨值報酬率進行分組，並以個別基金之淨值加權後即可產生高、低淨值或高、低淨值報酬率之投資組合，最後再分析二種不同淨值表現或淨值報酬率的投資組合在未來績效的表現差異，其中績效指標分別以Sharpe指標、Treynor指標、Jensen指標及擇時擇股能力等做為衡量的標準。由實證結果顯示基金淨值高、低與基金績效表現部份呈現正相關，尤其是低淨值基金其在績效表現亦屬低較差的族群；然而，高淨值基金組合中僅有約3成左右的基金其在績效表現仍屬高績效族群；至於基金績效的持續性，實證結果顯示國內指數型股票基金具有高度的持續性，當期歸屬於高績效的基金，於下一期的績效表現仍優於其它基金。　　‘Does NAV provide the useful information in selecting good performance fund? ’ This question is an interesting but still unexplored for investors. This study aims to examine if there is a significant relationship between fund NAV and funds’ performances. Using the weekly NAV of the equity index fund of Taiwan market from Jan-2005 to Dec-2013, we construct two fund portfolios, high NAV and low NAV portfolios, by weighting NAV of individual fund which be categorized in the same group. Then, their performances are measured respectively using Sharpe ratio, Trynor ratio, market timing ability and selecting abilities. Besides that, this study further investigates the persistence of funds with the superior performances. In conclusion, the purpose of this study is providing the useful information for investors in investing equity index fund.
Appears in Collections:	[Department of Business Administration, Master/Ph.D Program in Management Sciences] Disserations and Theses(Master and Doctoral Program in Management Sciences)

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