Treynor Ratio、Sharpe Ratio、Jensen''s Alpha和Information Ratio為一般常用的基金績效評估指標，但每一指標考量的風險不盡相同，且投資者也不清楚哪一個指標較合適，故難以單一指標作為選購基金的參考，本研究除了比較這四個單一準則績效評估指標外，再透過多屬性決策分析方法將這四個指標綜合考量以評估共同基金績效，主要採用的多屬性決策分析方法為理想解類似度偏好順序評估方法（Technique for Order Preference by Similarity to the Ideal Solution），以13種加權距離法建立13個多準則績效評估指標，研究2002年9月到2005年6月的82支台灣開放式股票型（投資國內）共同基金發現，在單一準則績效評估指標中以Jensen''s Alpha較佳，多準則績效評估指標中則以CRITIC權重下的城市街道加權距離法最好，13個多準則績效評估指標雖然沒有顯著優於單一績效評估指標，但由於多準則績效評估指標能同時將更多的風險和資訊納入考量，所以本研究提出的多準則績效評估指標能作為投資共同基金另一參考的指標。 The purpose of this study is to evaluate the performance of mutual funds. "Treynor Ratio", "Sharpe Ratio", "Jensen''s Alpha" and "Information Ratio" are four commonly used indices for evaluating the competing mutual funds. However, it is not clear which measure is the most robust. This study has a different focus not only on investigating the four criteria separately but also combining all the indices at the same time in making a final ranking of the mutual funds. This study found that Jensen''s Alpha outperforms the rest indices of both uni-criterion and multi-criteria. Although multi-criteria indices are not noticeably better than uni-criteria indices, the index using CRITIC weight method under City block distance measure is recommended if the correlation between the rankings is concerned. Even though the new indices are not noticeably more accurate than uni-criterion indices in ranking the mutual funds. But a good and informative index should be able to chart aggregate changes in market levels. Those uni-criterion indices only justify the risk or a mutual fund manager''s ability partially. Multi-criteria indices are another choices which can be used to evaluate the mutual funds and can take all the criteria into consideration simultaneously. That''s the main contribution of this research.
