隨我國資本市場逐漸開放與投資概念普及，民眾對於閒置資金更能有效運用；以投資在共同基金來說，2013年已突破兩兆新台幣。過去針對各檔基金績效分析之相關文獻數量非常多，但對操作基金之投信公司本身的績效研究卻非常少。其原因在於投信公司資料取得困難、模型本身健全度不足、常用指標無法充分反映經營效率等。但由於基金間的轉換成本，投信本身的經營績效，對投資人與經營者而言其實都是非常重要的課題。
本研究參考Premachandra et al. (2012)運用的兩階段生產流程資料包絡分析法，並採用我國2008年至2013年投信公司資料，將整體效率拆解成經營效率與組合效率兩個部分。其中，經營效率反映一家公司使用其資源的效率性，越高的經營效率，代表其可以使用有限的資源創造出越高的資產價值；而組合效率則反映一家投信公司其在使用投資人資金進行投資時，其投資組合的報酬效率。
依本研究發現，我國投信投顧法規部分規定已然過時，現行法規使具有效率的廠商反而不易於存活，當初設為保護投資人之機制，在資本市場逐漸開放之後反而成為投信業發展的絆腳石。而在投信經營方面，發現投信公司的經營效率有其延續性，績效優良的公司在長期接下基本上都能持續維持，故在投信的選擇上，表現得更為重要。本研究試圖藉由效率的拆解，尋找出各家投信不效率的原因，並提供改進的方法與幅度，提供給投資人、投信管理者與政府單位作為參考。

Due to the gradual opening of Taiwan’s capital markets and the spread of investment knowledge, people are able to use idle capital more efficiently. In the end of 2013, the total amount of investment to mutual funds in Taiwan has exceeded two trillion NT dollars. Lots of the existing literature analyzes the performances of particular mutual funds, but few examines the performances of the mutual fund families. The reason may be the complex nature of the analysis involved and hard to get enough data for doing research. In this paper, we use a Two-Stage Process Data Envelopment Analysis which promote by Premachandra et al. (2012) to investigate the relative performance of 38 mutual fund families in Taiwan, over the 8-year period from 2008 to 2013.
In this study, we found out that recent law for Trust industry should improve with times, lots of clauses which were create for protecting investors now become the reason why Taiwan’s mutual fund families lose competitiveness. At the other side, performance for mutual fund families exist continuity: one efficiency in short time period usually being good in long time period. It shows that choosing a good performance mutual fund family would be an important issue for investors.
With two-stage product process of mutual fund families, overall efficiency decomposed to two parts: operational management efficiency and portfolio management efficiency. By this decomposed, we can easily identify which stage cause inefficiency and correctly improve in their performance.

摘要 I
表目錄 III
圖目錄 V
第壹章緒論 1
第一節研究動機與背景 1
第二節研究目的 4
第貳章投信產業簡介與文獻回顧 6
第一節投信產業簡介 6
第二節資料包絡分析法 15
第三節基金與投信績效評估相關文獻 20
第參章實證模型 23
第一節 BCC模型 23
第二節兩階段生產流程DEA模型 27
第肆章樣本資料分析 34
第一節資料選取與變數說明 34
第二節各變數敘述統計 43
第伍章實證結果與分析 47
第一節整體效率 47
第二節經營效率 56
第三節組合效率 58
第四節影響效率的原因 61
第五節效率改善 66
第陸章結論 68
參考文獻 71
附錄 75

&;#63988;哲揚、陳淑芬，2010。「擁有擊敗大盤績效之優質基&;#63754;管&;#63972;團隊」，《會計與財金研究》。3卷2期，33-44。

高蘭芬、陳安琳、湯惠雯、曹美蘭，2005。「共同基金績效之衡量-模擬分析法之應用」，《中山管理評論》。13卷3期，667-694。

游智賢、姚瑜忠，2000。「台灣共同基金操作策略之研究」，《Journal of Financial Studies》。8卷2期，49-76。

戴錦周、林孟樺，2007。「投信與基金績效之研究」，《台灣金融財務季刊》。8卷3期，65-91。

Blake, C. and Morey, M., 2000. “Morningstar ratings and mutual fund performance,” Journal of Financial and Quantitative Analysis. 35: 451–483.

Banker, R.D., Charnes, A., and Cooper, W.W., 1984. “Some for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis,” Management Science, 30: 1078-1092.

Carhart, M.M., 1997. “On persistence in mutual fund performance,” The Journal of finance, 52(1): 57-82.

Charnes, A, Cooper, W.W., Lewin, A.Y. and Seiford, L.M., 1994. “Computational Aspects of DEA,” Data Envelopment Analysts: Theory, Methodology, and Applications, Kluwer: 63-88.

Charnes, A, Cooper, W. W. and Rhodes, 1978. “Measure the efficiency of decision making units,” European journal of operational research. 2: 429-444.

Chen, Y., Cook, W.D., Li, N. and Zhu, J., 2009 “Additive efficiency decomposition in two-stage DEA,” European Journal of Operational Research 196(3): 1170-1176.

Chen, Y., Liang, L., Yang, F. and Zhu, J., 2006. “Evaluation of information technology investment: a data envelopment analysis approach,” Computers &; Operations Research, 5(33): 1368-1379.

Choi, Y.K. and Murthi, B.P.S., 2001. “Relative performance evaluation of mutual funds: anon-parametric approach,” Journal of Business Finance &; Accounting 28: 853–876.

Coelli, T.J., Rao, D.S.P., O’Donnell, C.J. and Barrese, G.E., 2005. “An Introduction to Efficiency and Productivity Analysis,” Brisbane, Australia: Springer.

Elton, E., Gruber, M.J. and Green, T.C., 2007. “The impact of mutual fund familymembership on investor risk,” Journal of Financial and Quantitative Analysis , 42:257–278.

F&;auml;re, R. and Whittaker, G., 1995. “An intermediate input model of dairy production using complex survey data,” Journal of Agricultural Economics. 46: 201–213.

Gorman, L., 1991. “A study of the relationship between Mutual Fund return and asset size, 1974-1987.” Akron Business and Economic Review 22(4): 53-61.

Grinblatt, M. and Titman, S., 1994.“A study of monthly mutual fund returns and performance evaluation techniques.” Journal of financial and quantitative analysis 29(3): 419-444.

Holod, D. and Lewis, H.F., 2011. “Resolving the deposit dilemma: a new DEA bankefficiency model” Journal of Banking and Finance. 35: 2801–2810.

Jensen, M.C., 1968. “The Performance of Mutual Funds in the Period 1945-1964,” Journal of Finance 23: 389-416.

Kempf, A. and Ruenzi, S., 2008. “Family matters: rankings within fund families and fund inflows. Journal of Business,” Finance and Accounting. 35: 177–199.

Kao, C. and Hwang, S.N., 2008. “Efficiency decomposition in two-stage data envelopmentanalysis: an application to non-life insurance companies in Taiwan,” EuropeanJournal of Operational Research. 185: 418–429.

Liang, L.,Cook. W.D. and Zhu, J., 2008. “DEA models for two-stage processes: Game approach and efficiency decomposition,”Naval Research Logistics. 55: 643-653.

Malkiel, B., 1995. “Returns from investing in equity mutual funds 1971 to 1991,” Journal of Finance. 50: 549–572.

Malhotra, D.K., Martin, R. and Russel, P., 2007. “Determinants of cost efficiencies in themutual fund industry,” Review of Financial Economics. 16: 323–334.

McMullen, P.R. and Strong, R.A., 1998. “Selection of mutual funds using data envelopment analysis,” Journal of Business and Economic Studies 4(1): 1-12.

Murthi, B.P.S., Choi, Y.K. and Desai, P., 1997. "Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach." European Journal of Operational Research. 98(2): 408-418.

Premachandra, I.M., Zhu, J., Watson, J. and Galagedera, D., 2012. “Best-performing US mutual fund families from 1993 to 2008: Evidence from a novel two-stage DEA model for efficiency decomposition,” Journal of Banking &; Finance.36: 3302-3317.

Seiford, L.M. and Zhu, J., 1999. “Profitability and marketability of the top 55 US commercial banks,”Management Science. 9(45):1270-1288.

Sharpe, W., 1966. “Mutual fund performance,” Journal of Business. 39: 119–138

Sherman, H.D. and Gold, G., 1985. “Bank Branch Operating Efficiency,” J Banking and Finance 9(2): 297-315.

Tower, E. and Zheng, W., 2008. “Ranking of mutual fund families: minimum expensesand maximum loads as markers for moral turpitude,” International Review ofEconomics. 55: 315–350.

Treynor, J., 1965. “How to rate management of investment fund,” HarvardBusiness Review. 43: 63–76.

Volkman, D.A. and Wohar, M.E., 1995. “Determinants of persistence in relative performance of mutual funds,” Journal of Financial Research. 18(4): 415-30.

Wilkens, K. and Zhu, J., 2005. “Classifying hedge funds using data envelopment analysis.In: Gregoriou, G.N., Rouah, F., Karavas, V.N. (Eds.), Hedge Funds: Strategies,RiskAssessment, and Returns,” Beard Books, Washington, D.C.

CMoney財金資料庫

TEJ台灣經濟新報資料庫

MoneyDJ財金資料庫，http://www.moneydj.com

中華民國銀行公會，http://www.ba.org.tw/

中華民國證券投資信託暨顧問商業同業公會，http://www.sitca.org.tw/

中華民國財政部證券暨期貨發展委員會，http://www.sfb.gov.tw/

公開資訊觀測站，http://mops.twse.com.tw/mops/web/index