過去的研究發現,共同基金的績效往往受到些許因素的影響.根據Carhart(1997)的研究發現,短期基金的績效取決於基金經理人持有過去表現較佳或是較差績效之基金所造成的影響.而長期基金的績效則是取決於費用比率的影響,這是根據Carhart(1992)所作研究顯示的結果.
於本篇研究中,我利用台灣經濟新報(TEJ)的資料,選出7種不同類型的基金,搭配Modern Portfolio Theory(MPT)估計出最適權重,以便重新設計一個新的投資組合.以此來驗證此種模式是否能夠改善共同基金的投資績效.
比較對象依舊是採用相同的樣本,但是並未透過MPT搭配最適權重.研究結果顯示,透過MPT所設計的基金績效確實較為良好.

In the past, some of studies would like to research the mutual fund return persistence into the causes of performance and they find that short-term mutual fund persistence is largely driven by fund managers accidentally holding past winner/loser stocks (Carhart, 1997) and long-term mutual fund persistence is largely driven by persistence in expense ratios (Carhart, 1992). My sample of equity mutual fund is identified themselves by the Taiwan Economy Journal (TEJ) styles (e.g. closed-end, high tech, etc.) and is often confined to trading stocks within their style, style-adjusted fund returns would be a more appropriate measure of fund manager performance. we could find the performance of the portfolio of the style-adjusted mutual funds that truly and conspicuously has advantage over the comparative group consisted of the same funds in the same period, but without weighting. The value of alpha in the portfolio is much greater than the one of that comparative group.

1 Introduction…………………………………………………………… …...1
1.1 The Reason of Style-Adjusted……………………………………………1
1.2 The Measurement of Performance………………………………………2
1.2.1The variable of the measurement………………………………………3

2 Review of Literature……………………………………………………….5
2.1 Issue of Performance of Mutual Funds…………………………………5
2.2 Issue of survivorship bias………………………………………………...7
2.3 Issue of Hot Hands………………………………………………………..9
2.4 Issue of Momentum………………………………………………………9
2.5 The discussion of 4-Factor Model………………………………………12
2.6 Issue of Benchmark Portfolios………………………………………….13

3 Models of performance measurement…………………………………….15
3.1 Models…………………………………………………………………….15
3.2 Modern Portfolio Theory Scheme………………………………………18
3.2.1 Optimal portfolio weights……………………………………………..19
3.3 Data……………………………………………………………………….19
3.4 The method of choosing sample………………………………………...21
3.5 Assumption……………………………………………………………….23

4 Empirical Results and Analysis…………………………………………...25
4.1 The weight of Style-Adjusted funds…………………………………….25
4.1.1The ranking of sample…………………………………………………25
4.1.2 SMB and MOMENTUM………………………………………………25
4.2 The Portfolio of Style-Adjusted Funds…………………………………26
4.2.1The combination of the Weight and Funds…………………………...26
4.2.2The measurement of CAPM of Style-Adjusted funds………………. 26
4.2.3The measurement of 3-Factor Model of Style-Adjusted funds……...28
4.2.4The measurement of 4-Factor Model of Style-Adjusted funds……...28
4.3 the performance of mutual funds without weighting…………………31
4.3.1The measurement of CAPM of mutual funds without weighting…..31
4.3.2The measurement of 3-Factor model of mutual funds
without weighting…………………………………………………….31
4.3.2 The measurement of 4-Factor model of mutual funds
without weighting…………………………………………………….32
4.4 The new portfolio of the Style-Adjusted Mutual funds
(weight>0.001)………………………………………………………..32
4.4.1The new sample………………………………………………………..32
4.4.2The measurement of CAPM of Style-Adjusted funds
(weight>0.001)………………………………………………………..32
4.4.3The measurement of 3-Factor Model of Style-Adjusted funds
(weight>0.001)………………………………………………………..34
4.4.4The measurement of 4-Factor Model of Style-Adjusted funds
(weight>0.001)………………………………………………………..34

5 Conclusions……………………………………………………….………...37

6 References…………………………………………………………………..40

7 Appendix…………………………………………………………………....42

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