| Summary: | 中國的開放式基金近年來高速發展，對中國資本市場的影響與日俱增。然而目前在中國境內對基金所採用的基金績效評價方法仍為較為傳統的方法，如夏普比率、特雷納指數等。而傳統的基金績效評價方法未能很好地顯示基金的真實績效情況。鑒於美國基金有較為先進的績效評價方法，本文利用DEA數據包分析法模型，構建一個包括從基金期初規模、風險收益情況、基金經理人能力及投資人風險偏好等多方面因素的基金績效評價體系。
本研究選擇中國181檔股票型開放式基金，從基金規模及投資風格兩個維度展開深入研究分析。此外，為比較交易量不同期間基金績效的表現情況，本研究依照深證、滬證市場交易量、交易額，將2012年至2015年此段實證期劃分為交易活躍期及交易低迷期兩個階段，對基金績效進行比較分析。結果顯示，交易活躍期的基金績效遠高於交易低迷期；並且無論是交易活躍期或是交易低迷期，小型基金及主動型基金績效表現最佳；而基金的相對績效情況於其基金管理人的資產規模並無顯著相關關係。
在文章最後部分，本文從投資人角度建議投資人在證券市場交易活躍期可增加股票型基金的投資額度，在基金選擇上無需盲目傾向選擇大公司的基金產品，而可以適當傾向投資於小型基金及主動型基金。
=== With the rapid development of mutual funds in China in the past decades, open-ended funds have played an important role in Chinese capital markets. To overcome the limitations of traditional performance measurements, this paper establishes a new methodology to analyze open-ended mutual fund performance. This paper uses data development analysis model which considers asset size, risk return, managers’ ability and risk performance of the investors.
By utilizing 181 open-ended stock fund data from 2012 to 2015, this paper yields conclusions as follows. First, fund performance is better in strong market periods than that in weak market periods. Second, small size and active funds are more efficient. Third, fund performance is not significant associated with fund asset size and fund units in the fund company.
The findings in this paper suggest that investors could do more investment on the open-ended stock funds in the strong market periods. And investors are suggested to invest small size and active fund. What’s more, there is no necessary to consider if the fund’s management company is big enough.
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