The analysis for the performance of the passive management index funds

• Main Authors: Po-Chun Chen, 陳柏君
• Other Authors: 黃琮琪
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/32257556779530436084

碩士 === 國立中興大學 === 應用經濟學系所 === 95 === 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.