| Abstract: | 本研究使用持股變動法與績效決定因素法評估共同基金的管理績效。研究資料為投資於台灣股市的二十一檔共同基金,研究期間始自1993年六月至1996年12月。研究結果顯示,持股變動法與績效決定因素法的結果互相衝突;持股變動法的結果顯示,共同基金在擇時方面有正面績效,但整體績效及選股績效則不佳;相反地,績效決定因素法的結果顯示,共同基金在整體及選股方面有正面績效,但在擇時方面,則有負面績效;兩種評估方法的結果差異,主要是由標竿權重的不同所造成。<
This paper employs both the Portfolio Change Measure and the determinants of performance approach to evaluate the performance of managed funds. First, we develop an improved version of Grinblatt and Titman`s (1993) Portfolio Change Measure and design a market timing measure to evaluate the overall performance as well as the market timing performance of mutual funds in the Taiwan stock market. Next, we design an analysis framework similar to that of Brinson, Hood, and Beebower (1986) to examine the effects of policy asset allocation, market timing, and security selection on total portfolio returns. This research focuses on the period from June 1993 through December 1996. The preliminary results associated with the Portfolio Change Measure show that the managed funds, on average, earn negative but insignificant overall returns over the research period. However, the results show some weak evidence of market timing ability for the managed funds. On the other hand, the results associated with the determinants of performance approach show that the managed funds, on average, earn positive returns in overall performance and security selection. However, the managed funds earn negative returns in market timing. These contradictory results between the Portfolio Change Measure and the determinants of performance approach are mainly due to the choice of the benchmark weights used to compute the active returns.< |
