國內共同基金之績效評估

Taiwan Mutual Fund Efficiency Estimation

本文主要在建立一基金績效評估指標，其同時考量基金單位風險的超額報酬率與基金的交易成本、基金經理人的操作次數等要素，以彌補 Sharpe、Jensen及Treynor績效指標之不足，提供投資大眾作為投資時之參考。本研究分析民國91年到民國95年，國內132支股票型基金績效，以共同基金的直接交易費用率、銷售費率、週轉率等為投入，Sharpe、Jensen及Treynor三大指標為產出，利用非傳統的資料包絡分析法（DEA）進行績效評估。實證結果顯示如下：1、基金績效具有持續性。2、基金規模與基金績效呈顯著正相關，表示規模經濟存在。3、基金在股市多頭行情下較具有效率。4、資料包絡法與傳統基金績效指標的正相關性很高，顯示資料包絡法適合用於基金績效的衡量。

In this study, we adopt two DEA methods- BCC(Banker-Charns-Cooper) andSuper-SBM model to investigate mutual fund performance. Unlike the traditionalmethods, this paper takes excess return of unit risk and mutual fund managerperformance to evaluate the performance of 132 Taiwan stock mutual funds during2002 to 2006. Sharpe, Jensen, and Treynor indexs are the outputs and expense ratio,loads, purchase and sales turnover are the inputs. The empirical result shows that: 1.Mutual fund performance has persistence. 2. There is a positive correlation betweenefficiency score and size of mutual fund. In other words, mutual fund performancehas economy of scale. 3. Mutual funds have better performance in bull market. 4. Theefficiency score index has observably positive correlation with information ratio. Thisresult shows efficiency score index can replace the traditional methods to evaluatemutual fund performance.