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

The Relationship between NAV and Fund Performance and Persistence: Evidence on Equity Index Fund in Taiwan Market

「共同基金的淨值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。本文主要目的即在探討高、低淨值差異是否會顯見在未來的基金績效表現的差異。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進行高、低淨值基金的分組，並以個別基金之淨值加權後即可產生高、低淨值基金之投資組合，最後再分析二種不同淨值表現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。另一方面，本文同時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。

‘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, Treynor 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.