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系統識別號 U0002-2806200617033900
中文論文名稱 多準則決策分析在共同基金績效評估指標建構上之研究
英文論文名稱 Performance Evaluation of Selected Taiwanese Mutual Funds Under Multi-Attribute Decision Analysis Approach
校院名稱 淡江大學
系所名稱(中) 統計學系碩士班
系所名稱(英) Department of Statistics
學年度 94
學期 2
出版年 95
研究生中文姓名 江妙真
研究生英文姓名 Miao-Chen Chiang
學號 693460015
學位類別 碩士
語文別 英文
口試日期 2006-06-17
論文頁數 97頁
口試委員 指導教授-林志娟
委員-林秋華
委員-蔡桂宏
委員-封德台
中文關鍵字 多屬性決策分析  理想解類似度偏好順序評估  共同基金 
英文關鍵字 Multi-Attribute Decision Analysis  TOPSIS  Mutual Fund 
學科別分類 學科別自然科學統計
中文摘要 Treynor Ratio、Sharpe Ratio、Jensen's Alpha和Information Ratio為一般常用的基金績效評估指標,但每一指標考量的風險不盡相同,且投資者也不清楚哪一個指標較合適,故難以單一指標作為選購基金的參考,本研究除了比較這四個單一準則績效評估指標外,再透過多屬性決策分析方法將這四個指標綜合考量以評估共同基金績效,主要採用的多屬性決策分析方法為理想解類似度偏好順序評估方法(Technique for Order Preference by Similarity to the Ideal Solution),以13種加權距離法建立13個多準則績效評估指標,研究2002年9月到2005年6月的82支台灣開放式股票型(投資國內)共同基金發現,在單一準則績效評估指標中以Jensen's Alpha較佳,多準則績效評估指標中則以CRITIC權重下的城市街道加權距離法最好,13個多準則績效評估指標雖然沒有顯著優於單一績效評估指標,但由於多準則績效評估指標能同時將更多的風險和資訊納入考量,所以本研究提出的多準則績效評估指標能作為投資共同基金另一參考的指標。
英文摘要 The purpose of this study is to evaluate the performance of mutual funds. "Treynor Ratio", "Sharpe Ratio", "Jensen's Alpha" and "Information Ratio" are four commonly used indices for evaluating the competing mutual funds. However, it is not clear which measure is the most robust. This study has a different focus not only on investigating the four criteria separately but also combining all the indices at the same time in making a final ranking of the mutual funds. This study found that Jensen's Alpha outperforms the rest indices of both uni-criterion and multi-criteria. Although multi-criteria indices are not noticeably better than uni-criteria indices, the index using CRITIC weight method under City block distance measure is recommended if the correlation between the rankings is concerned. Even though the new indices are not noticeably more accurate than uni-criterion indices in ranking the mutual funds. But a good and informative index should be able to chart aggregate changes in market levels. Those uni-criterion indices only justify the risk or a mutual fund manager's ability partially. Multi-criteria indices are another choices which can be used to evaluate the mutual funds and can take all the criteria into consideration simultaneously. That's the main contribution of this research.
論文目次 List of Figures IV
List of Tables V
Acronyms VII
Notations X
Chapter 1 Introduction 1
1.1 Preliminaries 1
1.2 The Research Purposes and Problems 2
1.3 The Research Scope 4
1.4 The Research Structure 4
Chapter 2 Literature Review 7
2.1 Performance Evaluation of Mutual Funds 7
2.2 Multi-Criteria Decision Making 10
2.2.1 Decision Problems 10
2.2.2 Categories of Multi-Criteria Decision Making 11
2.2.3 Multi-Attribute Decision Analysis 11
Chapter 3 Research Method 18
3.1 Performance Evaluating Measures of Mutual Funds 18
3.2 TOPSIS Method 21
3.3 The TOPSIS Method with Different Objective Weights and Distances Approach 24
3.3.1 Problem Setup 24
3.3.2 Objective Weights 26
3.3.3 Weighted Distances 28
3.3.4 Overall Index 33
3.4 Methods Evaluation 35
3.4.1 Spearman's Rank Correlation Coefficient r_s 35
3.4.2 Proportion of Rankings Matched with Rankings of AR 36
Chapter 4 Empirical Results 38
4.1 Uni-criterion 39
4.2 Multi-criteria 40
4.2.1 An Illustrative Example 44
4.2.2 Distance Measures Effect 51
4.2.3 Weight Methods Effect 62
4.2.4 13 Indices of TOPSIS Method 68
4.3 Comparison of Uni-criterion and Multi-criteria 71
Chapter 5 Conclusion and Suggestion 73
Bibliography 74
Appendices
Appendix A Derivation of the Result that s_{j/prop}^2 Is Proportional to (CV_j)^2 79
Appendix B List of the Mutual Funds in the Sample 81
Appendix C Results of the Illustrative Example 84

List of Figures
Figure 1.1 Flow Chart for the Research 6
Figure 2.1 A Taxonomy of MADM (Yoon and Hwang (1995)) 12
Figure 2.2 A Taxonomy of Weights 14
Figure 3.1 The Idea of TOPSIS Method 23
Figure 3.2 Distance Curves: EU, CB and MI 31
Figure 3.3 Distances of the Positively Correlated Criteria 34
Figure 3.4 Distances of the Negatively Correlated Criteria 34
Figure 4.1 Histograms of r_s for Uni-criterion Cases, 2002.09-2005.06 41
Figure 4.2 Time Series Plot of r_s for Uni-criterion Cases, 2002.09-2005.06 42
Figure 4.3 Histograms of r_s under MW, 2002.09-2005.06 59
Figure 4.4 Histograms of r_s under EW, 2002.09-2005.06 60
Figure 4.5 Histograms of r_s under CV, 2002.09-2005.06 61
Figure 4.6 Histograms of r_s under CR, 2002.09-2005.06 62

List of Tables
Table 4.1 Methods Evaluation for Uni-criterion Cases 43
Table 4.2 Original Data (September, 2002) for 82 Mutual Funds Studied 46
Table 4.3 Transformed Data by Location Shift 47
Table 4.4 IDR, ANIDR and Objective Weights for 4 Criteria 48
Table 4.5 WDIDR, WDANIDR, INDEX and Rankings under Euclidean for MW Method 49
Table 4.6 Methods Evaluation for the Period in September, 2002 50
Table 4.7 Weights of Each Criterion under Four Objective Weight Methods 54
Table 4.8 Spearman's Rank Correlation Coefficients r_s under Fixed Weight 56
Table 4.9 Methods Evaluation for Fixed Weight Methods for 34 Periods 58
Table 4.10 Spearman's Rank Correlation Coefficients r_s under Fixed Distance 65
Table 4.11 Methods Evaluation for Fixed Distance Measures for 34 Periods 67
Table 4.12 Methods Evaluation for 13 Indices for 34 Periods 70
Table 4.13 Methods Evaluation for Uni-criterion and Multi-criteria Cases for 34 Periods 72
Table B.1 List of the Mutual Funds Studied 81
Table C.1 WDIDR, WDANIDR, INDEX and Rankings under City Block for MW 85
Table C.2 WDIDR, WDANIDR, INDEX and Rankings under Minkowski for MW 86
Table C.3 WDIDR, WDANIDR, INDEX and Rankings under Euclidean for EW 87
Table C.4 WDIDR, WDANIDR, INDEX and Rankings under City Block for EW 88
Table C.5 WDIDR, WDANIDR, INDEX and Rankings under Minkowski for EW 89
Table C.6 WDIDR, WDANIDR, INDEX and Rankings under Euclidean for CV 90
Table C.7 WDIDR, WDANIDR, INDEX and Rankings under City Block for CV 91
Table C.8 WDIDR, WDANIDR, INDEX and Rankings under Minkowski for CV 92
Table C.9 WDIDR, WDANIDR, INDEX and Rankings under Euclidean for CR 93
Table C.10 WDIDR, WDANIDR, INDEX and Rankings under City Block for CR 94
Table C.11 WDIDR, WDANIDR, INDEX and Rankings under Minkowski for CR 95
Table C.12 WDIDR, WDANIDR, INDEX and Rankings under Mahalanobis 96
Table C.13 The Yearly Rate of Actual Return and the Corresponding Rankings 97
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