本研究主要的目的是建立一個可讓投資人挑選出預期未來表現較好的基金群的指標。本研究在估計期（2002年1月至2007年12月）利用因素分析法建立基金綜合指標。建立基金綜合指標後，本研究利用此綜合指標將所有台灣股票型基金分成五個投資組合。最後於回測期（2008年1月至2010年7月）檢測預期表現最好的A組與預期表現最差的E組此兩組的報酬差距，發現A組與E組間的報酬差距為年化報酬4.78%、年化標準差為5.43%且夏普值為0.88。在此低利率的時代，仍能藉由綜合指標獲得每年4.78%的報酬，可證明此綜合指標能幫助投資人選擇表現較好的基金。
此外，本研究延續Huij and Derwall (2011)的做法，進而檢測台灣股票型基金的基金報酬、投資組合集中度與基金策略的廣度三者之間的關係。最後發現台灣股票型基金於2007年6月至2010年5月，擁有較低追蹤誤差並且基金策略較廣的此類基金於上述的空頭時期表現相較其他類別來得好。

The purpose of this paper is to provide investors with a practical composite index for selecting better funds. We use factor analysis to construct the composite index in the estimation period from 2002 to 2007. After constructing the composite index, we use this index to divide Taiwan equity funds into five groups. Then, we test the performance between the top group and the bottom group in the evaluation period from January 2008 to July 2010. The annualized return is 4.78%, the annualized standard deviation is 5.43%, and the Sharpe ratio is 0.88. During periods of low interest rates, the composite index can make a return of 4.78% per year. This proves that the composite index can help investors choose better funds.
We follow Huij and Derwall (2011) to find the relationships among Taiwan fund performance, portfolio concentration, and the breadth of the underlying fund strategies. We find that funds that have a low tracking-error and are concentrated in multiple market segments have better performance when the market turns downward.

誌謝 ii
摘要 iii
ABSTRACT iv
I. INTRODUCTION 1
1.1 Background Information 1
1.2 Research Purpose 2
1.3 Limitations of Research 3
1.4 Research Structure 3
II. LITERATURE REVIEW 5
2.1 Mutual Fund Performance Measures 5
2.2 Performance Persistence 6
2.3 Fund Performance, Portfolio Concentration, and the Fundamental Law of Active Management 7
2.4 Composite Index 8
III. METHODOLOGY 10
3.1 Data Description 10
3.2 Factor Analysis of Estimation Period 16
3.3 Composite Index of Evaluation Period 21
3.4 Fund Performance, Portfolio Concentration, and Breadth of Strategies 23
IV. EMPIRICAL RESULTS 27
4.1 Results of Factor Analysis 27
4.2 The Performance Under the Composite Index 32
4.3 Performance, Concentration, and Breadth of Strategies 37
4.4 Comparison of Results 40
V. CONCLUSION 42
REPERENCES 45

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