本研究的主要目的在於引用學理上有關共同基金的績效評估模式，對投資

於國內證券市場的共同基金，分別在多頭與空頭市場下，進行績效評估，

並檢定有關的假說。其中，檢定這些共同基金在不同時期的績效表現是否

具有持續的性質，乃本研究最主要的假說檢定。此外，證管會決定開放新

的證券投資信託公司設立，新的競爭者加入經營，其對投信事業以及整個

證券市場在不久的將來所造成的衝擊，也是本研究欲嘗試加以窺探的主題

。本研究得到以下的結論：一?共同基金的績效表現，會隨著評估期間與

績效指標的不同而異。在多頭時期，以福爾摩莎與福元基金表現最好，國

民與中華基金表現最差；在空頭時期，以台灣與福元基金表現最好，光華

與鴻運基金則表現最差。二?績效指標的選擇，可用Sharpe及M.C.V.績效

指標評估共基金整體績效；以Fama模式的淨選擇能力及分散能力評基金的

分散能力和選股能力。三?國內基金的平均報酬率未優於市場投資組合平

均報酬率。四?開放型基金與封閉型基金的績效差異不顯著。五?四家舊

投信的投資績效差異不顯著。六?國內共同基金的績效表現，經由統計檢

定發現，在本研的前後期不具顯著的持續性。七?國內原有四家投信的投

資績效，經由統計檢定發現，前期不具顯著的持續性。八?新投信依照股

權結構區分為專業經營型?證券商主導型財團主導型。各種類型的新投信

有其優缺點，而各家投在專業人才?基金管理?促銷及投資策略上或有異

同。九?主管機關對開放投信設立採取自由競爭的態度。十?新投信開放

設立後將對證券市場及現有投信造成衝擊

中文部份
王俊華，台灣地區共同基金績效評估與研究，國立中山大學企業管理研究所碩士論文，民國78 年7 月
尹衍樑，國內共同基金之研究，台北:台灣經濟研究叢書38，民國80年1月
朱亞琳，共同基金績效評估之研究，私立輔仁大學管理學研究所碩士論文，民國77 年7 月。
林炯垚，“法人機構投資者對證券市場結構的影響" 證券管理，台北:證管會，民國77 年2 月、3 月， pp.15-19 、33-38
林煜宗，現代投資學--制度、理論與實證，修訂四版，作者自印，民國77 年
李存修，”評估國內外共同基金之選股與擇時能力以及國際風險分散效果衡量" 台灣經濟金融月刊， 25 卷，十期，七十八年十月，頁26-40
陳文燦，“ 共同基金( 受益憑證)之發展及其投資績效之評估" 產業金融，五十五期，七十六年六月，頁25 - 40
陳春山，證券投資信託契約論，台北: 五南書局，民國76 年12 月
英文部份
Bauer, R.J.,P .A. Hays & D.E. Upton, "Parameter Instability in Mutual Fund Portfolios: A Shifting Regimes Test," Quarterly Journal of Business & Economics ,Vo1.26, Winter 1987, pp.50-62 .
Bogle, J.C., "Mutual Fund Performance Evaluation" ,Financial Analysts Journal ,Nov. -Dec. 1970, pp.25-33,124.
Brightman, J.S. & B.L. Hanslanger, "Past Investment performance Seductive but Deceptive" ,Journal of protfolio management , Vo1.6, No.4, Winter 1980, pp.43-45.
Brown, K.C. & G.D. Brown, " Does the Composition of the Market Portfolio Really Matter?" ,Journal of Portfolio Management , Vol. 13 ., Winter 1987, pp.26-32.
Carlson, R.S., "Aggregate Performance of Mutual Funds, 1948-1967" ,Journal of Financial and Quantitative Analysis ,Vo1.5, No.1, March 1970, pp.1-31.
Chang, E.C. & W.G. Lewellen, " An Arbitrage Pricing Approach to Evaluating Mutual Fund Performance" , Journal of Financial Research ,Spring 1985, pp .15-30.
Chang, E.C. & W.G. Lewellen, "Market Timing and Mutual Fund In vestment
Performance" ,Journal of Business ,Vo1.57, No.1, Part I, 1984, pp .57-72.
Chen, C.R. & S. Stockum, "Selectivity, Market Timing, and Random Beta Behavior of Mutual Funds: A Generalized Model" ,Journal of Financial Research ,Spring 1986, pp.87-96.
Connor, G. & R.A. Korajczyk, "Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis" , Journal of Finacial Economics ,March 1986, pp.373-394.
Fama, E.F., Foundation of Finance ,New York, Basic Books, Inc. , Publishers,1976.
Fama, E.F., "Components of Investment Performance" , Journal of Finance ,Vo1.27, No .3, June 1972, pp.551 -567.
Ferri, M.G.,H .D. Oberhelman & R.L. Roenfeldt, "Market Timing and Mutual Fund Portfolio Composition " ,Journal of Financial Research ,Summer 1984, pp.143 -150.
Freund, W .C., "The Historical Role of the Individual Investor in the Corporrate Equity Market" ,Journal of Contemporary Business , Winter 1974, pp.1-12.
Friend, I.,M. Blume & J.Crockett, Mutual Funds and other Institutional Investors ,A Twentieth Century Fund Study , New York N.Y. : McGraw-hill, 1970.
Friend, I . & D. Vickers, "Portfolio Selection and Investment Performance" ,Journal of Finance ,Vo1.20, No.3, Sep.1965, pp.395-403.
Friend, I. & M. Blime, "Measurement of Portfolio Performance Under Uncertainty" ,American Economics Review ,Sep.1970, pp . 561-575 .
Fuller, R. & J.Farrel,Modern Investment and Security Analysis , McGraw-Hill ,1987.
Henriksson, R.D. & R.C. Merton, "On Market Timing and Investment Performance II . Statistical Procedures for Evaluating Forecasting Skills" ,Journal of Business, Vo1.54, No.4, 1981, pp.513-533.
Henriksson, R.D., "Market Timing and Mutural Fund Performance: An Empirical Investigation" ,Journal of Business ,January 1984, pp . 73 -96.
Ippolito, R.A., "Efficiency with Costly Information: A Study of Mutual Fund Performance,1965-1984" ,Quarterly Journal of Economics ,Vol.104, Feb.1989, pp.1-23.
Kim, T., "An Assessment of the Performance of Mutual Fund Management: 1969 -1975" ,Journal of Financial and Quantitative Analysis ,Vol.13, No.3, Sep.1978, pp.385-406.
Lee, C.F. & S. Rahman, "Market Timing, Selectivity, and Mutual Fund Performance: An Empirical Investigation" ,Journal of Business, Vo1.63, Apr.1990, pp.261 -278.
Lehmann, B.N. & D.M. Modest, "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons " ,Journal of Finace ,June 1987, pp.233-265.
Mains, N.E., "Risk ,the Pricing of Capital Assets, and Evaluation of Investment Portfolios: Comment" ,Journal OF Business ,Vo1.50, No.3, July 1977, pp .371-384.
Madden, G.P.,K .P. Nunn & A. Wiemann, "Mutual Fund Performance and Market Capitalization" ,Financial Analysts Journal ,Vol.42, Jul.-Aug. 1986, pp.67-70.
Markowitz, H.M., "Portfolio Selection," ,Journal of Finance ,March 1952, pp.77-91.
Martin,J .D., A.J. Keown & J.L. Farrel, "Do Fund Objectives Affect Di-versification Policies?" ,Journal of Portfolio Management , Winter 1982, pp .19-28 .
Mcdonald, J.G., "Objectives and Performance of Mutual Funds, 1960-1969" ,Journal of Financial and Quantitative Analysis ,Vo1 .9, No.2, June 1974, pp.311 -333.
Miller, T .W. & N. Gressis, "Nonstationarity and Evaluation of Mutual Fund Performance" ,Journal of Financial and Quantitative Analysis ,Sep.1980, pp.639-654.
Moses, E .A.,J .M. Cheyny & E.T. Veit, " A New and More Complete Performance Measure" ,Journal of Portfolio Management ,Vol. 13, No.2, Summer 1987, pp.24-33.
Radcliffe, R.C., Investment: Concepts, Analysis, and Strategy ,3rd. ed., Glenview Ill.: Scott Foresman, 1989 .
West, R.R.," Institutional Trading and the Changing Stock Market" ,Financial Analysts.
Robson, G.N., "The Investment Performance of Unit Trusts and Mutual Fund in Australia for the Period 1969 to 1978" , Accounting & Finance (Australia) ,Vol.26, Nov.1986, pp .55-79 .
Rugg, D.D., "Using Risk-Adjusted Performance to Select Top Mutual Funds" ,Journal of Financial Planning ,Vol.4, Oct. 1991, pp. 164-168.
Sharpe, W., "Mutural Fund Performanc" ,Journal of Business ,Vo1.39, No.1, Part II, Jan.1966, pp.119-138 .
Shawky, H.A ., "An Update on Mutual Funds: Better Grades " , Journal of Portfolio Management ,Vol.8, No.4, Winter 1982,pp.19-34.
Smith, K.V. & D.A. Tito, "Risk-Return Measures of Ex Post Portfolio Performance" ,Journal of Financial and Quantitative Analysis Vol.4, Dec.1969, pp.449 -471.
Treynor, J.L., " How to Rate Management of Investment Funds" Harvard Business Review ,Vo1.43, Jan.-Feb. 1965, pp.63-75.
Treynor, J.L. & K.K. Mazuy, "Can Mutual Funds Outguess the Market? " Harvard Business Review ,Vo1.44,July-Aug . 1966,pp. 131-136.
Veit, E.T. & J.M. Cheney, "Are Mutual Funds Market Timers ?" , Journal of Portfolio Management ,Vo1.8, No.4, Winter 1982, pp.38.
Williamson,J .P., "Measurement and Forecasting of Mutual Fund Performance: Choosing An Investment Strategy" , Financial Analysts Journal ,Vo1.28, No.6, Nov.-Dec. 1972, PP.78-84.