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    Title: 建構共同基金投資組合之研究:開放式股票型基金為例
    Authors: 倪衍森;李仁在;李方瑋
    Contributors: 淡江大學管理科學學系
    Keywords: 共同基金;績效評估;績效持續性;Mutual Funds;Performance Evaluation;Performance Persistence
    Date: 2010-12
    Issue Date: 2014-04-24 11:35:09 (UTC+8)
    Publisher: 臺中市:逢甲大學企業管理學系
    Abstract: 共同基金是國內主要的理財工具之一,如何評選基金應是值得探索的課題,本研究透過五種操作策略來找出優於大盤的基金投資策略,並探討何種篩選法則來選取基金為優,並進一步分析影響基金績效之成因;經由本研究實證發現,某些篩選法則,如4433法則與54321法則,及考量貝他值與Sharpe值下所選取之基金的投資組合,其績效是能打敗大盤;此外淨值報酬率與入選次數、基金規模有正向影響,然而與基金成立年資的影響反而是負向,此好像說明,雖然有人說歷史是寶貴的資產,但有時候也會背負著沈重的包袱。
    Mutual funds are important investment instruments for domestic investors, so how to evaluate the performance of the portfolio of mutual funds would be a worthwhile topic to investigate. This paper employs five different rules for selecting the portfolio of mutual funds superior to the market index, and the factors of affecting the performance of mutual funds portfolios are examined as well. In this empirical study, we find the performance of mutual funds selected by 4433 rule, 54321 rule, and rule with concerning beta and sharpe index will outperform than the market index. In addition, we also find that the scale of a mutual fund and the number selected as superior mutual fund has positive effect to the performance of the mutual fund; however, the longer the mutual fund is, the inferior performance is. It seems that someone says history is a valuable asset, but, historical burden might be too heavy to load occasionally.
    Relation: 臺灣企業績效學刊=Taiwan Bussiness Performance Journal 4(1),頁45-65
    Appears in Collections:[管理科學學系暨研究所] 期刊論文

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