本文主要目的在檢視國內中小型股票共同基金之績效表現及績效是否具有持續性。本文以最近八年之國內中小型股票基金的周頻資料做為實證標的，再依據基金的淨值及淨值報酬率進行排序及分組，接著依個別基金之淨值進行淨值報酬率之加權，並產生高、低淨值暨高、低淨值報酬率的之投資組合，最後依據近一個月之淨值變動率，檢視不同淨值之基金投資組合在績效及績效持續性的差異，其中以Sharpe ratio、Treynor ratio及Jensen’s 做為分析不同淨值表現的基金在一般績效指標的差異，另一方面再分析中小型股票共同基金在擇時及擇股能力表現，據此做為投資人在投資上的參考依據。 The purpose of the study is to investigate the performance and its persistence of small & mid-capital equity funds equity mutual funds in Taiwan. Using weekly NAV (net asset value) and the monthly change of NAV for recent eight years data, we divided the domestic small & mid-capital equity funds into 4 groups. Then, 4 fund portfolios are made by weighting the individual fund’s NAV in the same group. Next, we illustrate the highest and the lowest NAV (or monthly change of NAV) portfolios’ performances by measure their Sharpe ratio, Treynor ratio, and Jensen’s . Finally, the market-timing and selecting abilities are also examined. It will provide the useful information for investors to explore if there is a significant relationship between the NAV and Performance and its persistence.
