[[alternative]]A Study of Survivorship Bias, Fund Categories and Fund

博士商業教育學系[[abstract]]共同基金績效持續性對投資大眾、投資顧問以及共同基金的經理人而言，是一個非常典型的重要議題。本文藉由考量存續者偏誤、績效衡量指標不同與基金績效分等級時的差異，來分別檢視台灣境內基金的績效持續性的影響，並運用績效二分法、Spearman的等級相關檢定，以及Fama- MacBeth 橫斷面迴歸分析法作檢視及穩健測試，最後提供投資策略給投資人參考。研究結果顯示：(1)檢視股票型基金的績效年持續性時，將受到存續者偏誤的影響。(2)檢視基金績效衡量指標不同時，考量風險調整與否之績效對整體基金績效年持續性之測試結論將相反；對樣本不含清算合併之股票型基金及其他類型基金而言，衡量績效不同對持續性檢測有差異，反之則無；債券型基金則非常穩定。(3)檢視依據績效優劣作等級分法時，績效最佳組與績效最差組皆相對於中等績效基金，更具有兩年績效持續性之強度。(4)本文支持台灣境內共同基金具有某種程度的績效持續性，而且績效持續性的強弱程度會因為依據投資標的分類、績效評估指標不同，呈現不一致的情況。(5)投資人可投資具有兩年績效優越持續性的債券型基金，以獲取正向報酬。[[abstract]]For most of investors, investment advisors, and fund managers, mutual fund performance persistence is an important issue. However, most of the empirical studies do not provide consistent results. This study focuses on factors that measuring the mutual fund performance persistence, such as survivorship bias, definition of performance, and method of return categories. This study emploies a standard statistical test of two-way table which is based on the log odds ratio. The study use Spearman’s rank correlation test and Fama-Machbetch cross-section regresstion anlysis to run robust tests. The empirical results of study support the following notions. First, survivorship bias and different performance affect performance persistence of stock funds and balance funds. Second, there exists a certain degree of persistence in mutual fund performace for different performace and categories. Finally, funds within the best and the worst performance groups have more persistent perfomace in mutual funds classification algorism. Investors can get positive return by investing bond funds