臺灣博碩士論文加值系統

本研究主要目的在驗證影響台灣基金市場獲利的因子，應用新的績效表現評估指標Performance Index、投資領域經常使用的Sharpe Ratio以及主動性評估指標R2，每月依據指標高低實際建構基金投資組合。其中Performance Index及Sharpe Ratio依據過去文獻在期望報酬為負時並不適用，但仍能計算出指標數值，此二指標將分別用有限制和無限制兩種方法建構，故總共有五種指標。研究結果以上五種指標均能幫助我們區分基金的優劣。
為求嚴謹，本研究再應用四因子迴歸模型判斷各指標之最佳的投資組合是否能取得異常報酬，進一步驗證Performance Index及Sharpe Ratio均能取得異常報酬，R2投組則無法獲得異常報酬，表示台灣主動型基金並無顯著良好的獲利能力。
後續比較各投資組合的報酬率分配，雖然Sharpe Ratio投組報酬率較高，但Performance Index指標建構的投資組合標準差明顯較低。最後使用六種方法將兩種指標形成混合因子進行投資，期望能同時達成高獲利低風險的效果，仍無法取得特殊效果。在利用主成分分析進行混合因子的過程中，模型計算的結果均為等權重，表示台灣基金市場中Performance Index和Sharpe Ratio間並無明顯差異，未來可針對其他風險較高的金融商品進行實證研究，探討Performance Index其他應用層面。

The purpose of this study is to identify significant performance evaluation index and profit factors in Taiwan’s mutual fund market. Here we apply three indices: Performance Index, Sharpe Ratio, and R2 to mutual fund investments. We constitute five mutual fund portfolios monthly according to the rank of each index. The indices mentioned above can all divide superior and inferior mutual funds effectively.
We apply a Four-Factor model to inspect whether abnormal return exists. Performance Index and Sharpe Ratio help to earn abnormal return, but R2 does not. We compare monthly return distribution of the best portfolio constructed by each index. The portfolio constructed using Sharpe Ratio produces higher profits, but the one constructed using Performance Index has smaller standard deviation and lower maximum drawdown.
Finally, we apply six methods to mix Performance Index and Sharpe Ratio, but do not discover any special findings. We recommend applying Performance Index in higher risk financial instruments such as futures, options, or other derivatives for future research.

論文審定書 i
誌謝 ii
摘要 iii
ABSTRACT iv
List of Figures vi
List of Tables vii
I. INTRODUCTION 1
II. LITERATURE REVIEW 6
III. METHODOLOGY 11
3.1 Data description 11
3.2 Introduction of indices to evaluate performance 13
3.2.1 Performance Index 13
3.2.2 Sharpe Ratio 16
3.2.3 1-R2 17
3.3 Research Steps 18
3.3.1 Indices with limitation and without limitation 18
3.3.2 Method to recognize the performance of each index portfolio 19
3.3.3 Index forming period and portfolio rebalancing frequency 20
IV. EMPIRICAL RESULTS 21
4.1 Summary Statistics and Overview of Indices 21
4.2 Recognizing Mutual Fund Portfolio Performance 24
4.2.1 Cumulative Returns of Portfolios 24
4.2.2 Empirical Tests of Portfolios and Benchmark 27
4.2.3 FFC Model Testing the Performance of Each Portfolio 29
4.3 Characteristics of Portfolios 34
4.3.1 Compare the best portfolio of each index 34
4.3.2 Mixing Performance Index and Sharpe Ratio 36
4.4 Consideration of transaction costs of mutual funds 39
V. CONCLUSION 41
REFERENCES 43
APPENDIX 44

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