| Summary: | 碩士 === 世新大學 === 經濟學系 === 92 === Investment in mutual fund has the advantage of diversified investment and risk distribution. Professional investment organization can be commissioned for its investment and this has initiated another kind of new era of investment tool. When the development of mutual fund market prospers, for the investors, how to decide and judge on the buying and selling condition amongst so many domestic and overseas fund market, fund performance is one of the important basis for investors to select fund.
This research is mainly based on traditional evaluation model (Sharpe Ratio, Treynor Ratio and Jensen Ratio) and the net return on investment on funds is also utilized as the indicator to evaluate fund performance. In addition, by collection of information in the open information market and by coping with the actual proof method of Panel Data model, this research attempts to find out the factor that may affect fund performance so as to help investor to base on it as a reference to select funds in the future. For research samples, a total of 124 domestic stock funds from 2001 to 2003 is selected and variables include fund flow, fund revolving rate, average net value per person, market rate of return, system risk BETA value and standard deviation STD_DEV are utilized to evaluate the level of effect on four types of evaluation fund performance indicators.
1. Consideration is given that due to the difference in various types of funds, there may be different results. Therefore, all stock fund samples are finely divided as follow: general type, technology category and small-medium type and the different types of funds are utilized to investigate on the relationship between fund performance and various variables. Model test is conducted based on research steps. First, this research conducts LM test to confirm that this research is suitable to adopt Panel Data model. The by order, Hausman test is conducted to decide on whether fixed effect model or random effect model is to be adopted.
2. This research designs six assumptions. As fund performance indicator has consideration in whether there is problem of risk value, therefore, on the explanation of its effect factors, it is also different and the result of the actual proof is as follows:
1. Net fund flow rate and (including risk value) the fund performance are all positive direction relationship. However, with (not including risk value) fund performance, these are all negative direction relationship.
2. For fund revolving rate, it is only with all sample stock funds that is under (not including risk value) fund performance. Only between the two there is positive relationship and is not significant on others.
3. Average net value per person: Mostly there is negative direction relationship with fund performance.
4. Market rate of return: With fund performance, it has positive direction relationship.
5. System risk BETA: With fund performance, mostly it has positive direction relationship.
6. Standard deviation STD_DEV: With fund performance, mostly it has negative relationship.
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