本研究主要目的在於探討晨星基金評等與將一般化逐步預測力優劣檢定法應用於共同基金績效檢定的結果相比，何者較能夠成為投資人在進行基金投資時具備參考價值的衡量指標，在未來創造較佳的報酬。本研究挑選經晨星基金評等並屬於在美國募集資金並投入美國及全球的基金作為研究樣本，並分別利用上述兩種方式，針對同一組基金樣本的評等結果以及檢定結果，做為建構共同基金投資組合的策略，確認何者在未來能夠創造較好的超額報酬。其結果顯示，在債券型基金中全球區域、短期公司債、長期公司債區域以及股票型基金中亞太不含日本、美國小型價值區域，一般化逐步預測力優劣檢定法的基金績效檢定結果在未來能創造較好的風險調整後報酬。

The main purpose of this dissertation is to explore the Morningstar RatingTM result and the generalized Step-SPA test applied on mutual fund performance in order to determine which could better generate a superior performance in the future and would provide investors with valuable mutual fund investment information. United States domestic equity and bond funds, which raise money in the US and are rated by Morningstar, are chosen as samples. Based on the two different judgements on the same mutual funds, we construct two kinds of investment strategies and do a comparison of the predictability of future performance. Our results indicate that the generalized Step-SPA test will generally outperform the Morningstar rating results in the five star, four star, and three stars categories and will also outperform an average weighted portfolio in the same category.

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