生物資源暨農學院: 農業經濟學研究所指導教授: 吳榮杰洪登凡Hung, Teng-FanTeng-FanHung2017-03-062018-06-292017-03-062018-06-292016http://ntur.lib.ntu.edu.tw//handle/246246/275737本篇論文以2006年第四季至2015年第三季，814支台灣境內外股票型基金為研究對象，探討主動式管理策略與基金績效之相關性。本研究採用Cremers與Petajisto（2009）提出之主動投資比率（Active Share）以及追蹤誤差（Tracking Error）為衡量指標，同時加入費用率、基金規模、基金持有股數、基金成立時間、資金淨流入、基準指數報酬率及超額報酬等控制變數，對風險調整後的基金績效進行迴歸分析。實證結果發現採取主動式管理策略確實可使基金得到較佳的績效，主動投資比率與追蹤誤差對於預測基金績效分別具有正負面影響。此外，本文亦將基金依照主動式管理策略之特性分為五個類型，研究結果發現不同類型之間存在績效差異，以及主動投資比率不可單獨運用，必須結合其他衡量指標。This paper examines the relationship between active management strategy and fund performance by studying 814 foreign and domestic equity funds available for sale in Taiwan from 2006Q4 to 2015Q3. This paper uses Active Share and Tracking Error as measures of active management strategy introduced by Cremers and Petajisto (2009), while controlling for other fund characteristics such as expenses, size and holdings in the panel regression, we examine using funds’ alpha. Empirical results indicate a significant relationship between active management strategy and fund performance, where Active Share has positive effect and Tracking Error has negative effect on future performance. This paper also separate funds into five types according to levels of active management strategy, results show difference in fund performances between strategy types, which further imply that Active Share must be combined with other measures of active management.1371749 bytesapplication/pdf論文公開時間: 2026/6/30論文使用權限: 同意有償授權(權利金給回饋學校)基金績效主動式管理主動投資比率追蹤誤差Fund PerformanceActive ManagementActive ShareTracking Errorthesis10.6342/NTU201600618http://ntur.lib.ntu.edu.tw/bitstream/246246/275737/1/ntu-105-R03627029-1.pdf