本研究利用隨機邊界法套入CAPM模型及T&M模型，以組合誤差判斷基金經理人的操作能力，選取136檔台灣共同基金做為研究樣本，為反應股市結構的改變，將研究期間由2006年1月至2008年12月分為股市上漲與股市下跌二個階段做探討，利用Frontier 4.1求得各檔基金的效率值，結果發現效率值與傳統的詹森指標有高度的正相關，能夠精確的反應基金報酬率與基金經理人的作能力，因此，利用隨機邊界法所估得的效率值是值得投資者參考的相對指標；同時亦發現，在股市多頭期間基金經理人的擇股能力優於股市空頭期間。 To measure the performance of 136 Taiwanese mutual fund employing stochastic frontier. Following the stochastic frontier approach, we can use a compound error component to evaluate the manager’s operating ability. The sample chosen form Jan. 2006 – Dec. 2008. In order to reflect the change of the stock market’s structure, the study period can be divided into two parts. One period is the stock index rise and the other is the stock index slide. TE was acquired by using software Frontier 4.1. I discover that there is highly positive relationship between Jensen Index and TE. Meanwhile, TE could reflect mutual funds’ return precisely. As the result, the approach of stochastic frontier is a dependable relative indicator for investors.
