本文針對2002年11月至2011年10月台股共同基金的績效，評估是否具有統計上的顯著性。計量檢定方法則是採用Hsu、Kuan and Yen (2013)所提出的廣義逐步預測力優劣檢定法( Generalized Stepwise Test for Superior Predictive Ability , SSPA(k) test)，並分別運用月平均超額報酬、夏普值(Sharpe ratio)及一、三、四因子模型alpha值等績效指標與台灣加權指數、台灣50指數、MSCI台灣指數等基準指數逐一比較。實證結果顯示，僅有少數的共同基金績效顯著優於基準指數。此外，本文亦同時比較了廣義逐步真實性檢定法(Generalized Stepwise Test for Reality Check(k), SRC(k))與廣義逐步預測力優劣檢定法，由於SRC檢定法容易受到較差模型的影響進而降低篩選率，而SSPA因為增加了一指標函數後提升了篩選率，本研究內容在2002年至2011年期間的月平均報酬及因子模型中亦驗證了SSPA(k)的篩選率優於SRC(k)檢定法。

In this thesis, we evaluate the performance of Taiwan stock mutual funds from November 2002 to October 2011 and analyze the statistical results using SSPA(k)( Generalized Stepwise Test for Superior Predictive Ability , SSPA(k) test) proposed by Hsu, Kuan and Yen(2013). We also compare the “Average Monthly Excess Return Index”, “Sharpe ratio” ,”One-Factor alpha ”, “Three-Factor alpha” and “Four-Factor alpha” of the performance index with Taiwan Stock Index, Taiwan Top 50 Tracker Fund, MSCI Taiwan Index respectively. The results indicate that a few mutual funds had better performance than the target index. In addition, we compare the SRC(k)( Generalized Stepwise Test for Reality Check) and SSPA(k) test since SRC test is easily subject to unexplained models which lead to reduce screening rate. On the contrary, SSPA(k) test take an additional index function into account which improves screening rate. This thesis also demonstrates that SSPA(k) test is better than SRC(k) test by using Average Monthly Excess Return and Factor alpha from 2002 to 2011.

莊惠菁, 管中閔,「以無資料窺探的檢定分析共同基金績效」,《證券市場發展季刊》Review of Securities & Futures Markets, 22:3, 181-206 (2010)
洪嘉陽(2012)”修正一般化族系誤差率於逐步真實性檢定改進其檢定效力:實證於商品交易顧問型基金 ” 國立中興大學統計學研究所碩士論文
孫秀蓮(2012)”避險基金績效持續性探討-應用廣義k逐步預測力優劣檢定法 ”國立成功大學財務金融研究所碩士論文

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