| Summary: | 碩士 === 國立中山大學 === 企業管理學系 === 86 === Since aggravating marketable weight of incorporatator is one of major tonalities of government in developing security market, the most direct mode in a short term is allowing investment trust issue new funds. And government wants to improve domestic stock market. Therefore, as more and more marketable funds are increased, the status of mutual funds is more and more important day by day .
Because domestic funds performance evaluation that was used by tradition CAPM model in the past, as Jensen Index Treynor Index , Sharpe Index, Treynor and Mazuy Model, Henriksson and Merton, etc., had some disadvantages, The disadvantages were benchmark was improbably effective investment portfolio, miscalculation timer performance and so on .. This Research a dopt a characteristic-based benchmark model, propounded by Daniel, Grinb latt, Titman and Wermers in 1997. The modeling is not CAPM Model but a characteristic-based benchmark model, that is built by holdings, contents of mutual funds and stock characteristic. Besides a characteristic-based benchmark model has empircal advantage.( Daniel, Grinblatt, Titman and Wermers, 1997) Therefore we can measure performance of fund correctly and objectively.
The conclusing of this research was fellows:
1.The result of a characteristic-based model adopted by this research is that most mutual funds have no significant stock selectivity and timing ability.
2. The correlation between all performance index of a characteristic-based model in pairs is that most mutual funds have no consistency and represents all performance index in pairs can not combine each other.
3.The results of stock characteristic preference in all perfornance indes of a characteristic-based model by using multi-regression are:
(1) The preference for stock characteristic of most performance inde of a characteristic-based model in the period of old funds is market value to be considerated for making a decision.
(2) The preference for stock characteristic of most performance inde of a characteristic-based model in the period of new funds is market value to be considerated for making a decision.
4.All performance indes rank in a characteristic-based model and CAPM-based models have no comsistency.
5.Most performance index of a characteristic-based model of most funds have no persistence.
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