臺灣博碩士論文加值系統

當投資者面臨抉擇基金投資選取時，績效衡量為參考指標之一，故本文探討股票型基金、債券型基金、組合型基金以及股債型基金分析之績效。基金管理團隊型態攸關投資基金績效表現情況，本文參考Bertin (2009)之作法，將組合型基金投資決策過程分為三種管理團隊型態(個人、可識別之管理團隊以及不可識別之管理團隊)作探討，亦討論管理型態在組合型基金中之費用以及流量之差異化，期能提供投資人做投資決策時之重要參考。
研究其結果如下:四種類型基金在夏普指標之下，股債平衡型基金和股票型基金優於組合型基金以及債券型基金。組合型基金的管理型態不同，會影響到其基金績效之差異性，由結果顯示，對於可辨識的經理團隊績效優於個別經理人以及不可辨識的經理團隊，最後組合型基金的管理型態不同，會影響到基金的操作特徵。

The performance index is an important indicator and should be the focus for investors. Therefore, this research analyzes equity funds, bond funds, funds of funds and balance funds performance. Management style could also affect funds of funds performance. This study uses Bertin (2009) as a reference and divides the funds of funds investing process into three different aspects, individual management style, identified team management style, and unidentified team management style. This research compares the cost and flow differences between the three management styles. This result shows that compared with these four style funds using the Sharpe ratio, balanced and equity funds significantly outperformed funds of funds and bond funds; a different management structure of funds of funds will influence funds performance. Performance with the identified team outperformed the individual manager and unidentified team. Finally, different management structures of funds of funds influence funds operating characteristics. Flow and fee in funds all have significantly positive effect on operating characteristics.

目錄 目錄 ...................................................................................................................... V 圖目錄 .................................................................................................................VI 表目錄 ............................................................................................................... VII
第壹章 緒論 ...................................................................................................... 1
第一節 研究背景與動機........................................................................... 1
第二節 研究目的 ....................................................................................... 5
第三節 研究流程 ....................................................................................... 6
第貳章 文獻探討 ............................................................................................. 7
第一節 共同基金之介紹........................................................................... 7
第二節 基金投資標的分類之定義 ........................................................ 10
一、股票型基金定義......................................................................... 10
二、債券型基金定義......................................................................... 11
三、組合型之定義 ............................................................................. 11
四、平衡型基金定義......................................................................... 13
第三節 基金投資標的分類之特徵 ........................................................ 13
第四節 基金相關議題之研究 ................................................................ 15
第五節 基金經理人之相關研究 ............................................................ 16
第六節 管理型態之相關研究 ................................................................ 17 第七節 共同基金操作特徵之議題 ........................................................ 20
第參章 研究方法 ........................................................................................... 22
第一節 資料來源 ..................................................................................... 22
第二節 基金衡量指標與基金特徵之介紹 ............................................ 22
一、 詹森指標之介紹 ...................................................................... 22
二、 夏普績效指標之介紹 .............................................................. 23
三、修正式Jensen’s α指標之介紹 .................................................. 24
四、基金費用 ..................................................................................... 25
第三節 管理團隊分類之定義 ................................................................ 26
一、威爾考克森符號排序檢定 (Wilcoxon Signed RankTest) ........ 27
第肆章 實證結果 ........................................................................................... 28
第一節 四種基金類型之敘述性統計 .................................................... 28
第二節 四種類型基金之績效分析 ........................................................ 30
第三節 組合型基金之管理結構績效分析 ............................................ 32
第四節 組合型基金操作特徵之分析 .................................................... 34
第伍章 結論與建議 ....................................................................................... 39
參考文獻 ............................................................................................................. 40

圖目錄
圖1.1 研究流程 ................................................................................................... 6

表目錄
表1.1 投信投顧產業概況分析 .................................. 1
表2 四種基金類型之基金數及規模 ........................... 10
表4.1 四種基金類型的敘述性統計 ............................. 29
表4.2 指標分析之係數 ....................................... 31
表4.3 組合型基金之管理結構績效分析 ......................... 34
表4.4 組合型基金之管理結構流量分析 ......................... 35
表4.5A費用率 ............................................... 36
表4.5B直接交易成本率 ........................................ 37
表4.5C 成本費用率 ........................................... 38

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三、網路資源
中華民國證券投資信託暨顧問商業同業公會 2011年12月10日，
(http://www.sitca.org.tw/)。
美國投資機構 (Investment Company Institute, ICI) ICI Research Perspective 17, no.5(October 2011) 2011年12月3日，
(http://www.ici.org/pdf/per17-05.pdf)。
台灣證券交易所 2011年12月23日 ，(http://www.twse.com.tw/ch/listed/governance/cg_01.php)。
行政院金融監督管理委員會在99.11.10修正「證券投資信託基金管理辦法」 2011年12月28日，
(http://www.fscey.gov.tw/Layout/main_ch/News_NewsContent.aspx?NewsID=41111&;path=1172&;LanguageType=1)。
【經濟日報╱記者何佩儒／台北報導】11檔投信基金 連賺三年2012/01/03 2012年1月8日，(http://momey.udn.com/fund/storypage.jsp?f_MAIN_ID=339&;f_SUB_I D=3099&;f_ART_ID=254770#ixzzlix0Y6kxi)。