台灣開放型股票基金績效持續性之研究

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Title:	台灣開放型股票基金績效持續性之研究
Other Titles:	The Persistence of Trading Performance for Taiwan Open-end Stock Mutual Fund
Authors:	劉庭妤 Liou, Ting-Yu
Contributors:	企業管理學系管理科學碩博士班袁淑芳 Shu-Fang Yuan
Keywords:	開放型股票型基金;基金績效持續性;Sharpe指數;擇時擇股 Treynor指數;四四三三法則 Open-End Stock Mutual Fund;Persistence in Performance;Timing and Selecting Treynor Ratio;Sharp Ratio;4433 Rule
Date:	2016
Issue Date:	2016-10-25 16:08:59 (UTC+8)
Abstract:	本研究的主要目的為探討台灣開放型股票基金之績效，藉由四四三三法則做為績優台灣開放型股票基金的篩選工具，檢視篩選出的台灣開放型股票基金績效及其持續性是否存在，佐以 Sharpe指數(1966)、Treynor指數(1965)，擇時擇股做為分析樣本基金之績效指標，同時再分析四四三三法則是否可篩選出績效持續的績優樣本基金。實證結果顯示四四三三法則適用於台灣開放型股票基金，同時符合四四三三法則之績優基金其績效具有持續性，得做為投資人參考之依據。　　The study aims to study the trading performance of Taiwan open-end stock mutual funds selected by the 4433 rule. For the purpose of testing whether the 4433 rule can be used to select the mutual fund as the investing target and further investigating whether the fund selected by 4433 rule can retain the persistence in performance. This study also employs the Sharpe ratio, Treynor ratios, timing and selecting ability as the proxy for measuring the performance of mutual fund. According to the empirical result, it found the 4433 is proper to be used to select the well-performed fund, and their performance is persistent. That is to say, 4433 rule is valuable to provide the investing information to the mutual fund investors.
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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