過去在研究共同基金績效時，多以考量基金報酬率與風險之間的關係為主，主要是以基金的相對績效來判斷基金績效之優劣；近年來研究基金績效與基金經理人擇股與擇時能力的研究日益增加，但是這些績效評估方式主要都是以基金過去的操作紀錄來分析探討，並無法反映出基金未來績效的好壞與較適之持有期間。本研究將使用一個沒有殘存抽樣偏誤的樣本，對於共同基金進行全面性之分析。首先將深入探討動能投資策略是否可運用於台灣股票型共同基金，接著並進一步瞭解台灣共同基金績效是否存在持續性，最後將實證分析基金績效持續性與持有期間是否存在正相關。此外，本研究亦將利用Jegadeesh and Titman(1993)檢定動能策略的方法，尋找出股票型共同基金投資之最適持有期間。實證結果顯示，以基金前期績效為基礎所建構之動能投資策略，均可獲得統計上顯著異於零之平均報酬，此即顯示出台灣股票型共同基金存在持續三年可獲利之績效。在動能投資策略中，以形成期J=24個月大分類之資訊比率(INFORM24)、持有期K=3個月之投資策略績效最佳，平均報酬率為0.7106%，且統計上最為顯著(t值最大)，因此使用24個月大分類的資訊比率(INFORM24)挑選基金，相對可獲得較佳之績效。 Past studies of mutual funds focused on the return of investment and risk, mostly evaluating funds performance by comparative performance. Recent studies turns to evaluate by funds managers’ abilities of security selection and market timing. However, these ways of evaluation are based on analysis of past operation records, and are not reflecting future funds performance trend and holding period. Thus, this research use sampling with no bias to analyze mutual funds comprehensively. First, the research is to discuss whether momentum strategy applies to equity mutual funds in Taiwan. It is then to further understand whether performance persistency exists in Taiwan, and last to empirically analyze whether there is positive correlation between performance persistency and holding time. Besides, this research uses Jegadeesh and Titman(1993) way of examination of momentum strategy to look for the best profitable holding period.The empirical result shows that momentum strategy based on funds prior return could result in an average return, and it also shows that there is a three-year performance persistency. In the momentum strategy, ranking period J=Information ratio (24 month)、holding period K=3 month, average return 0.7106%, is statistically significant. Thus, using Information ratio (24 month) to select funds could result in a better return
