| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 106 === With the characteristics of diversified investment and high dividends, bond fund investments have become the new darling of the investing public in recent years. In view of the fact that most of the past used indicators derived from the Capital Asset Pricing Model (CAPM) to assess fund performance, they were proposed by Treynor (1965), Sharp (1966), and Jensen (1968) respectively. The method is represented by the major traditional performance indicators. However, the traditional performance indicators have the limitation of the efficient-market hypothesis, and they are different from the current market conditions. The model does not consider the transaction costs of the funds and the fees of the procedures. Therefore, this study intends to use Data Envelopment Analysis (DEA) as the research method for the performance of bond funds. DEA can add the cost conditions that traditional indicators cannot consider.
The empirical model is constructed with cost rate, scale, standard deviation, and rate of exchange rate change. The empirical results show that the remuneration of bond funds is not subject to normal distribution, and does not apply to traditional performance evaluation indicators. The DEA model has good distinguishing ability. Different performance funds can be distinguished, and DEA efficiency values are consistent with traditional performance indicators. Investors should examine the convenience of data acquisition and select performance indicators that meet their needs as a reference for making investment decisions. In addition, DEA performance has significant continuity. Judging that the annualized standard deviation, expense rate, and rate of exchange rate change have a negative effect on the effectiveness of the fund. The fund size has no obvious evidence to prove that it has a significant impact on the performance of bond funds.
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