Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/27320
標題: 被動式管理指數型基金績效分析
The analysis for the performance of the passive management index funds
作者: 陳柏君
Chen, Po-Chun
關鍵字: benchmark
標的指數
active management
passive management
The Capital Asset Pricing Model
主動式管理
被動式管理
資本訂價模型
出版社: 應用經濟學系所
引用: 1.李建興 彭琪祿 施仁貴,「以限制追蹤誤差方式建構增長型指數基金:以台灣50指數為例」,風險管理季刊第三期P.1~P.26,民國九十四年。 2.邱俊義,「台灣電子產業類指數型基金-電子產業為例」,中山大學財務管理研究所論文,民國九十一年。 3.邱顯比著,「基金理財的六堂課」,天下遠見出版股份有限公司,民國九十四年。 4.柳文龍,「台灣股市上市公司股權成本之估計-CAPM與APT模型之比較與運用」,中興大學經濟研究所論文,民國七十七年。 5.許經阡,「台灣股價指數基金之建構與績效評估」,中山大學財務管理研究所論文,民國八十四年。 6.張菁惠,「指數基金在台灣發行之可行性研究」,國立中山大學財務管理研究所論文,民國九十年六月。 7.鄭義 張菁惠,「台灣指數基金之市場潛力」,貨幣觀測與信用評等,民國九十年十一月。 8.廖宜隆,「共同基金操作績效相關研究介紹」,證交資料文章第470期,民國九十年六月。 9.台灣證券交易所網站 http://www.tse.com.tw/ 1.Bogle, John C., “ Six things to remember about indexing and one not forgot “ speech presented at the 1996 AIMR annual conference in Atlanta, George, May 8, 1996. 2.Bongle,John C.,“ The implications of style analysis for mutual fund performance evaluation”, Journal of Portfolio Management, V. 24, summer 1998, pp.34-42. 3.Bruce N.Lehmann and David M. Modest 1987, Mutual fund performance evaluation: A comparison of benchmark and benchmark comparisons,Journal of Finance 42,p233~265. 4.Lichtenstein, Donald R; Kaufmann, Patrick J; Bhagat, Sanjai, “ Why consumers choose managed mutual funds over index funds: hypothesis from consumer behavior”, The Journal of Consumer Affairs, V. 33, 1999, pp. 187-205. 5.Michael C Jensen,1968,The performance of mutual funds in the period 1945-64,Journal of Finance 23,p389~416.
摘要: 由國外學術研究發現,以打敗標的指數(benchmark)為主要訴求的主動式管理(active management)共同基金其績效表現並不如標的指數。相較於歐美共同基金市場,台灣仍以主動式操作基金為主流。由此推測,其中應有問題存在,如能釐清理論與實務之間的問題,將能夠使整體基金市場更具投資價值。 本文採用國內基金評比權威台大財務金融所教授邱顯比、李存修提出之「四四三三法則」來挑選基金,就其選定之基金績效能否超越台灣加權股價指數。國內指數型基金績效分析將採用資本訂價模型 (The Capital Asset Pricing Model),探討其中之α與β值,確認指數型基金績效表現是否能與對應之標的指數相當,亦或超越其績效。依實證結果可歸納以下幾個重點: 一、主動式基金績效表現起伏相當大,不易持續獲選打敗大盤或其他主動式基金。 二、整體主動式基金績效而言,仍有一半以上之基金績效表現較加權指數遜色。因此在台灣被動式指數型基金在整個基金市場中,確實有其存在的價值。 三、國內指數型基金α值長期而言接近於0,β值則趨近於1,表現可說與對應之指數相當。
From the foreign academy's reports, the performance of the active management mutual fund, which is regarded to defeate the benchmark, is not so good as the benchmark. Relatively to the American-European mutual fund market, the active operation fund is still the main stream in Taiwan. By this conjecture, the problem should be existed. If the problem can be distinguished between the theory and practice, it will make whole fund market have more invested value. This study adopts the “4433 rule”which is raised by Professor Ciou and Professor Li to select funds, and observing if the performance of the selected fund can be better than the Weighted Price Index of the Taiwan Stock Exchange. Internal index fund performance analyse will adopt the Capital Asset Pricing Model, discuss the value of α and β, confirm if the performance of the index fund can be equal to the corresponding benchmark or exceed it. According to the real results, it can be induced the following points: 1. The change of the performance of the active fund is quite large, and it is difficult to defeat great group or other active funds continuously. 2. As to the whole active fund performance, over half of the fund performances is not as good as the weight index. So the passive index fund have its value of existence in the whole fund market in Taiwan. 3. The value of α of the internal index fund approaches 0 on long terms, and β approaches 1, the performance is equal to the corresponding index.
URI: http://hdl.handle.net/11455/27320
其他識別: U0005-0902200701055100
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-0902200701055100
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