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研究生:劉正民
研究生(外文):Cheng-Ming Liu
論文名稱:美國共同基金績效持續性與交易策略之研究
論文名稱(外文):Performance Persistence and Trading Strategies of U.S. Mutual Funds
指導教授:王銘杰王銘杰引用關係
指導教授(外文):Ming-Chieh Wang
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:國際企業學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:63
中文關鍵詞:共同基金績效持續性基金排名
外文關鍵詞:Mutual FundPerformance PersistenceFund ranking
相關次數:
  • 被引用被引用:9
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  • 評分評分:
  • 下載下載:143
  • 收藏至我的研究室書目清單書目收藏:3
  共同基金之歷史績效是投資人購買基金時的重要依據。若績效持續性存在,則投資人可依據過去績效選擇基金。近年來相關研究大多支持基金績效具有持續性。但學術論文方法艱深難懂,且許多研究採用之績效衡量指標並不常見,故實在難以造福投資大眾。因此本文試圖尋找較簡便易行的方法提供投資人作為參考。

  本文研究1992至2005年美國一般股票型基金之績效,採用最常用的幾種基金績效衡量指標,用以驗證績效持續性,並探討投資策略。由文中結論得知:績效持續性僅存在於兩年內之短期,歷史績效與未來績效存在正向關係。績效二分法結果顯示:過去三個月、六個月、一年、兩年、三年報酬率與其排名皆可用來預測未來一年、兩年報酬率;過去一年、兩年報酬與接續三年報酬亦有正相關。

  在一年投資期間之下,過去三個月、六個月、一年排名在前之基金表現明顯勝過其他組合。同時參考兩種歷史績效選購基金可顯著改善績效;進一步同時參考三種過去績效投資,亦可改善獲利。將篩選條件設定愈加嚴格,則獲利水準亦會提升。因此投資人可依照排名作為依據購買基金。

  此外在研究期間內市場處於多頭空頭時,購買排名在前的基金皆能擊敗市場及其他組合,但市場多空轉換時基金績效顯著反轉。因此投資人應注意市場情勢是否有劇烈變動,並在多空轉換時採取反向策略。
 Most investors spend a great deal of time studying past performance of mutual funds when considering investment. Although previous studies suggest that performance persists, they may not benefit investors very much. Complicated methodology in those studies is very difficult for investors, and many performance measures employed are unavailable in practice. Thus this study attempts to find an easy way for investors to select among funds.

 This study adopts most common performance measures and examines performance persistence in U.S. domestic equity funds over the period from 1992 to 2005. The results show statistically significant persistence for one- and two-year horizons. Moreover, three-month, six-month, one-year, two-year, three-year returns and their rankings can be used to predict future one- and two-year returns. When considering a three-year investment period, only one-year, two-year returns and rankings convey information about future performance.

 The strategy of buying top-ranking funds from previous year generates higher returns and consistently beats the market. Adopting double and triple criteria to choose funds could also improve performance. When the criteria are set more restrictive, funds tend to have higher return and risk as well, but they still have the ability to beat the market after adjusting for risk. Thus investors could easily use past rankings as criteria to choose funds.

 Moreover, strategy of chasing winners does not work at economic turning points (especially when it reverses from a bull market to a bear market). Investors who adopt this strategy should pay attention to the economic conditions to avoid possible loss owing to performance reversal.
I. Introduction-01
II. Related Literature
 2.1 Performance Measures-03
 2.2 Survivorship Bias-04
 2.3 Performance Persistence-05
 2.4 Trading Strategies-15
III. Data and Methodology
 3.1 Data-20
 3.2 Performance Measures-22
 3.3 Persistence Tests-25
 3.4 Simulation of Strategies-30
IV. Empirical Results
 4.1 Data Description-33
 4.2 Performance Persistence-36
 4.3 Predictability of Past Performance-44
 4.4 Trading Strategies-50
V. Conclusion-61
Reference-62
Appendix A-64
Appendix B-65
References
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