Performance Evaluation of Equity Funds in Emerging Market: The case of Equity Funds' Issue by Securities Investment Trust in Taiwan

[[abstract]]隨著新興市場的興起，掀起了全球投資人對於開發中國家的青睞，根據FERI(歐洲基金研究公司)統計的資料顯示新興市場股票型基金於2007年淨銷售約159億美金(約4900億台幣)，達所有基金類別之冠，也可看出全球投資人已從成熟市場明顯轉向新興市場;然而海內外以新興市場為投資標的物的基金不勝枚舉，在本文的實證研究中，主要選取國內之投信公司以台幣計價之新興市場基金與國外所發行外幣計價以新興市場為標的之共同基金來做基金績效的衡量，用以比較國內外之基金績效。 利用基金評估績效指標 : Treynor指標、Sharpe指標、Jensen α指標等來評估海內外以新興市場為投資標的基金，並且根據Markowitz 的效率前緣理論以繪出國內外基金的效率前緣線(Efficient Frontier)。此外，我們亦加入了基金手續費、管理費用等成本的考量，用以研究基金之績效是否會受這些成本之影響而改變其基金績效。透過本文之研究可以更進一步的了解國內投信公司所發行的新興國家基金績效之表現。 實證結果得出，未加計手續費與管理費用之基金績效一般來說都超越了大盤之基金績效，除了亞洲區域以外。此外，加計手續費用與管理費用後會使得原本可獲得之超額報酬變為負，表示其加計費用後會使得績效比大盤還要差，再者，效率前緣的分析上可以看出台幣計價之基金績效加入後，會使得效率前緣上升。[[abstract]]As the rising of emerging market, the global investors are very interesting in these countries. According to statistics of FERI which is a company analyze in European mutual funds, Exchange Traded Funds of emerging markets were sold about $15.9 billion in 2007, about NTD 490 billion, and the figure excesses all kinds of mutual funds. Therefore, we can know that global investors change their strategy from mature markets to emerging markets. Nevertheless, the mutual funds which invest the emerging markets in domestic and abroad are too numerous to enumerate. As the result, the research in this thesis mainly selected the mutual funds which are issued by domestic securities investment trust used NTD valuation as well as in abroad securities investment trust used foreign currency valuation invest in emerging market. Our research selected these mutual funds to evaluate the performance and to compare these mutual funds’ performance. Utilize the performance indices of mutual funds such as Treynor index, Sharpe index and Jensen α index to evaluate the performance of mutual funds invest in emerging markets. And base on the theory of Markowitz’s efficient frontier that can describe the efferent frontier includes the selecting sample. Additionally, we also consider the costs of handling expense and administrative expense to research the performance whether may be affected by these costs or not. According to our study, we can know the performance of mutual funds in domestic and abroad. The evidence show the performance of mutual funds which do not consider the costs generally beat the market except for area of Asian. Also, we consider the costs make the performance can’t beat the market and the abnormal returns disappear. This can account for the costs could affect the performance of mutual funds. Next, the analysis of efferent frontier can know if add the mutual funds that use NTD valuation can improve the efferent frontier.[[note]]碩