本研究旨在探討各類型投資群組的人所獲得的「績效」報酬，以及該投資人交易的「績效」是否具有顯著性的「持續性」特性存在。而樣本起始日為2006年3月27日，此為開放外資得以非避險目的及綜合帳戶從事期貨交易，使得市場更加具有效率的開始日，終止日為2008年7月31日，即目前可取得最近資料的臺灣期貨交易市場中各種類型機構投資人的詳細日內交易資料。而本研究的「績效」主要是細分成三個大類:淨損益、成交損益、以及部位損益。
在績效方面，過去有研究指出機構投資人和期貨自營商通常因為會有較多的資訊，因此會有比個別的投資人有較好的績效表現，這些研究主要是在股票市場上；而在期貨市場方面，過去使用的大多是部位損益的報酬，但是，由於本研究有詳細的交易資訊資料，故此，我們所分析的是實際所擁有的報酬，亦即，由成交損益、部位損益、以及結算損益等去計算的總報酬，之後再扣除交易成本所得之淨報酬。
以往有關「持續性」(Persistence)方面的研究，大多是集中在共同基金或者是避險基金方面。譬如，關於共同基金績效的持續性，Hendricks, Patel, and Zeckhauser（1993）指出，共同基金在一至三年內的績效會具有持續性，而且這一部份主要是歸諸於「熱手」或者是共同的投資策略。而Grinblat and Titman（1992）指出，基金長期績效（5-10年）具有可預測性，而這一部份則是基於基金經理人具有特殊資訊或是選股的能力。Carhart(1997)則發現，費用的持續性趨動共同基金績效的持續性。然而，探討期貨市場各類型的交易群組操作績效持續性的探討則是付之闕如。
所以，本研究以利用探討績效持續性的相關研究為基礎，將兩段期間(Two-period)研究持續性的方法應用在期貨交易的市場上，並深入探討各種交易類型的人，例如:銀行、保險公司、證券商、一般公司法人…等等，其績效是否具有持續性的特性存在。如此，預期將能夠更為精準地掌握聰明投資人的趨勢並且能夠追隨著聰明線(follow smart money)做投資。
根據實證研究結果發現，績效持續性在本國法人這一族群表現最佳，而以往認為績效較好的外國法人則不論使用哪一種檢定方法，包括：簡單迴歸、Cross Product Ratio、Chi-Square、及Spearman Rank Correlation則都得到無績效持續性的結果，所以，可以發現，雖然外國法人在一般認知下具有較優異的績效表現，但是，若是利用檢定績效持續性的檢定方法做分析時，則會發現其較優異的績效表現並不具有持續性。
再者，本研究根據績效表現最好(本國法人)、以及最差(外國法人)的兩類族群之交易者進行成交損益、部位損益的績效持續性檢定時，發現都不能單看這兩種績效表現來決定整體的績效持續性，故可以得到本國法人的績效持續性不是單純的來自於成交損益或是部位損益；而外國法人的績效都不具有持續性也不意味著其在成交損益和部位損益都不具有持續性的表現。

The purpose of this study is to examine the transaction data of different types investors in Taiwan's futures markets from March 27, 2006, when foreign investors can trade in Taiwan Futures Markets, to July 31, 2008, the latest date that we can get, and to explore which type of investors’ groups has positive performance, as well as significant performance persistence.
About performance, previous research found that foreign traders outperform domestic traders, institutional traders and futures proprietary firms are better than individuals, and institutional traders earn higher profit than futures proprietary firms. Furthermore, most of the payoffs defined are the position payoff. In this paper, due to the availability of detail trading information from different accounts, we separate payoffs into three parts: total payoff, trading payoff, and position payoff, to get more precise payoff.
In the previous studies, large parts of persistence research are concentrated on mutual funds, hedge funds, or firms’ growth rate. In the mutual fund performance persistence research, Patel, and Zeckhauser (1993), for example, pointed out that the mutual funds in one to three years will have significant persistence, and it is attributed to the "hot hand" or common investment strategy. Others like Grinblat and Titman (1992) pointed out that the performance of funds in the long-term (5-10 years) is predictable, and it is derived from fund managers who have special information or the ability about stock picking.
We can conclude that, most of the studies about performance persistence are focused on the persistence in the mutual funds and hedge funds. In the study we adopt the method used in the previous studies and try to find the performance persistence in the futures markets in order to follow the smart investors and the smart money to make more profitable investment.
After empirical research, we can conclude that the performance persistence of domestic institutional investors is the best and better than foreign institutional investors. It is some different from our previous thinking, because we always find that foreign institutional investors will perform better than domestic investors.
Furthermore, we can find that in the best performance persistence group (domestic institutional investors) and the last group (foreign institutional group) that the trading payoff and position payoff cannot explain the net payoff persistence, that is, in our samples trading payoff and position payoff cannot explain the persistence, that we use net payoff to test.

仰大信(2005)，以行為財務學觀點探討避險基金績效持續性，朝陽科技大學財務金融研究所碩士論文。
伊振華(1997)，美國股票型共同基金分類型態與績效持續性之研究，國立臺灣大學財務金融研究所碩士論文。
李明枝(1996)，國內共同基金績效持續性之研究，國立中興大學企業管理研究所碩士論文。
徐嘉慶(1993)，臺灣地區共同基金績效持續性及證券投資信託事業開放影響之研究，國立政治大學企業管理研究所碩士論文。
許淑琇(2002)，美國對沖基金績效持續性與績效動量週期之研究，銘傳大學財務金融學系研究所碩士論文。
楊晉昌(1995)，共同基金型態與操作績效之研究，國立政治大學企業管理研究所碩士論文。
Agarwal, V., and N. Y. Naik, (2000a). “Multi-Period Performance Persistance Analysis of Hedge Funds,” Journal of Financial and Quantitative Analysis, 35, 327-342.
Agarwal, V., and N. Y. Naik, (2000b). “On Taking the Alternative Route: Risks, Rewards, and Performance Persistence of Hedge Funds,” Journal of Alternative Investments, 2, 6-23.
Agarwal, V., and N. Y. Naik, (2000c). “Performance Evaluation of Hedge Funds with Option-Based Buy-and-Hold Strategies,” Working Paper.
Agarwal, V., and N. Y. Naik, (2004). “Risk and Portfolio Decisions Involving Hedge Funds,” Review of Financial Studies, 17(1), 63-98.
Alangar, C. B, and R. Rao, (1999). “Impact of Analyst Following and Institutional Interest On the Information Content of Dividend Changes,” Journal of Financial Research, 22(4), pp. 429–448.
Almus, M., and E. A. Nerlinger, (2000). “Testing Gibrat's Law for Young Firms - Emperical Results for West Germany,” Small Business Economics, 15, 1-12.
Barber, B., Y. Lee, J. Liu, and T. Odean, (2008). “Just How Much Do Individual Investors Lose By Trading?” The Review of Financial Studies, 22, 151-186.
Bares, P. A., R. Gibson, and S. Gyger, (2002). “Performance in the Hedge Funds Industry: An Analysis of Short and Long-Term Persistence,” Journal of alternative investments, winter 2003.
Berger, A. N., (1995). “The Profit-Structure Relationship in Banking: Tests of Market Power and Efficient Structure Hypotheses,” Journal of Money, Credit and Banking, 27, 404-431.
Berger, A. N., A. Demerguc-Kunt, R. Levine, and J. C. Haubrich, (2004). “Bank Concentration and Competition,” Journal of Money, Credit and Banking, 36, 433-451.
Berger, A. N., S. D. Bonime, D. M. Covitz, and D. Hancock, (2000). “Why Are Bank Profits So Persistent? The Roles of Product Market Competition, Information Opacity and Regional Macroeconomic Shocks,” Journal of Banking and Finance, 24, 1203-1235.
Brown, S. J., and W. N. Goetzmann, (1995). “Performance Persistence,” Journal of Finance, 50, 679-698.
Capocci, D. P. J., (2002). “An Analysis of Hedge Fund Performance 1984-2000,” Working Paper.
Capocci, D. P. J., A. Corhay, and G. Hubner, (2003). “Hedge Fund Performance and Persistence in Bull and Bear Markets,” Working Paper.
Carhart, M., (1997). “On Persistence in Mutual Fund Performance,” Journal of Finance, 52(1): 57–82.
Carlson, R. S., (1970). “Aggregate Performance of Mutual Fund,” Journal of Financial and Quantitative Analysis, 5, 1-31.
Chakravarty, S., (2001). “Stealth Trading: Which Traders’ Trades Move Stock Prices?” Journal of Financial Economics, 61, 289-307.
Choe, H., B. C. Kho, and R. Stulz, (2005). “Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea,” Review of Financial Studies, 18, 795-829
Christensen, R., (1990). “Log-Linear Models,” Springer-Verlag, New York.
Claessens, S., and L. Laeven, (2004). “What Drives Bank Competition? Some International Evidence,” Journal of Money, Credit and Banking, 36, 563-583.
Contini, B., and R. Revelli, (1989). “The Relationship Between Firms Growth and Labor Demand,” Small Business Economics, 1, 309-314.
Daigler, R. T., and M. K. Wiley, (1999). “The Impact of Trader Type On the Futures Volatility-Volume Relation,” Journal of Finance, 54, 2297–2316
Degroot, M. H., and M. J. Schervish, (2002). “Probability and Statistics,” Addision Wesley, New York, 3rd Edition,.
Dennis, P., and J. Weston, (2001). “Who's Informed: An Analysis of Information and Ownership Structure,” Working Paper, Rice University.
Dick, A. A., and T. H. Hannan, (2009). “Competition and Antitrust in Banking,” Oxford: Oxford University Press, In Berger, A.N., Molyneux, P. and Wilson, J.O.S. (eds.) Oxford Handbook of Banking.
Dunne, P., and A. Hughes, (1994). “Age, Size, Growth and Survival: UK Companies in the 1980s,” Journal of Industrial Economics, Wiley Blackwell, vol. 42(2), pages 115-140, June.
Dvorak, T., (2005). “Do Domestic Investors Have an Information Advantage? Evidence from Indonesia,” Journal of Finance, 60, 817-839.
Edwards, F. R., and M. Caglayan, (2001). “Hedge Fund Performance and Manager Skill,” Journal of Futures Markets, Vol. 21, pp. 1003-1028.
Erenburg, G., A. Kurov, and D. J. Lasser, (2006). “Trading Around Macroeconomic Announcements: Are All Traders Created Equal?” Journal of Financial Intermediation, 15, 470–493.
Fama, E. F., and K. R. French, (1992). “The Cross-Section of Expected Stock Returns,” Journal of Finance, Vol. 47, Issue2, 427-465.
Fama, E. F., and K. R. French, (1998). “Value Versus Growth: The International Evidence,” Journal of Finance, 1975-1999.
Geroski, P. A., and A. Jacquemin, (1988). “The Persistence of Profits: A European Comparison,” Economic Journal, 98, 375-389.
Glen, J., K. Lee, and A. Singh, (2001). “Persistence of Profitability and Competition in Emerging Markets: A Time Series Analysis,” Economic Letters, 72, 247-253.
Glen, J., K. Lee, and A. Singh, (2003). “Corporate Profitability and the Dynamics of Competition in Emerging Markets: A Time Series Analysis,” Economic Journal, 113, F465-F484.
Goddard, J. A., and J. O. S. Wilson, (1996). “Persistence of Profits For UK Manufacturing and Service Sector Firms,” Service Industries Journal, 16, 105–117.
Goddard, J., and J. O. S. Wilson, (1999). “Persistence of Profit: A New Empirical Interpretation,” International Journal of Industrial Organization, 17, 663-687.
Goddard, J., P. Molyneux, and J. O. S. Wilson, (2001). “European Banking: Efficiency, Technology and Growth,” John Wiley, Chichester, UK.
Goddard, J., P. Molyneux, and J. O. S. Wilson, (2004a). “The Profitability of European Banks: A Cross-Sectional and Dynamic Panel Analysis,” Manchester School, 72, 363-381.
Goddard, J., P. Molyneux, and J. O. S. Wilson, (2004b). “Dynamics of Growth and Profitability in Banking,” Journal of Money, Credit and Banking, 36, 1069-1090.
Goetzmann, W., and R. G. Ibbotson, (1994). “On Winners Repeat?” Journal of Portfolio Management, 20, 9-18.
Grinblatt, M., and M. Keloharju, (2000). “The Investment Behavior and Performance of Various Investor Type: A Study of Finland’s Unique Data Set,” Journal of Financial Economics, 55, 43-67.
Grinblatt, M., and S. Titman, (1992). “The Persistence of Mutual Fund Performance,” Journal of Finance, 47, 1977-1984.
Gruber, M., (1996). “Another Puzzle: The Growth in Actively Managed Mutual Funds,” Journal of Finance, 51, 783-810.
Harri, A., and B. W. Brorsen, (2004). “Performance Persistence and the Source of Returns for Hedge Funds,” Working Paper.
Hartzmark, M. L., (1987). “Returns to Individual Traders of Futures : Aggregate Results,” The Journal of Political Economy, Vol. 95, 927-952.
Hendricks, D., J. Patel, and R. Zeckhauser, (1993). “Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance,” Journal of Finance, 48, 93-130.
Herzberg, M. M., and H. A. Mozes, (2006). “The Persistence of Hedge Fund Risk: Evidence and Implications for Investors,” Journal of Alternative Investments, Vol. 6, No. 2, 2003, pp. 22-42.
Huang, R. D., and C. Y. Shiu, (2009). “Local Effects of Foreign Ownership in an Emerging Financial Market: Evidence from Qualified Foreign Institutional Investors in Taiwan,” Financial Management, 38, 567-602.
Hurlin, and Venet, (2001). “Granger Causality Tests in Panel Data Models with Fixed Coefficients,” Mimeo, University Paris IX.
Jensen, M., (1968). “The Performance of Mutual Funds in the Period 1945-1964,” Journal of Finance, 23, 389-416.
Kahn, R. N., and A. Rudd, (1995). “Does Historical Performance Predict Future Performance?” Financial Analysis Journal, 51, 43-52.
Kat, H. M., and F. Menexe (2003). “Persistence in Hedge Fund Performance: The True Value of a Track Record,” Working Paper.
Koh, F., W. T. H. Koh, and M. Teo, (2003). “Asian Hedge Fund: Return Persistence, Style, and Fund Characteristics,” Working Paper.
Kouwenerg, R., (2002). “Do Hedge Funds Add Value to a Passive Portfolio?” Journal of Management, Vol.3, pp. 361-382.
Kumar, M. S., (1985). “Growth, Acquisition Activity and Firm Size: Evidence From the United Kingdom,” Journal of Industrial Economics, 33(March), pp 327-338.
Leuthold, R., Garcia, and P. R. Lu, (1994). “The Returns and Forecasting Ability of Large Traders in the Frozen Pork Bellies Futures Market,” Journal of Business, 67(4), 459-473.
Levonian, M. E., (1993). “The Persistence of Bank Profits: What the Stock Market Implies,” Working Papers in Applied Economic Theory, No. 93-15, San Francisco, Federal Reserve Bank of San Francisco.
Malkiel, B. G., (1995). “Return From Investing in Equity Mutual Funds 1971 to 1991,” Journal of Finance, 50, 549-572.
Marayuma, N., and H. Odagiri, (2002). “Does the Persistence of Profits Persist? A Study of Company Profits in Japan, 1964-1997,” International Journal of Industrial Organization, 20, 1513-1533.
McGahan, A. M., and M. E. Porter, (1999). “The Persistence of Shocks to Profitability,” Review of Economics and Statistics, 81, 143-153.
Mueller, D. C., (1986). “Profits in the Long Run,” Cambridge University Press, Cambridge, UK.
Oliveira, B., and A. Fortunato, (2005). “Firm Growth and Persistence of Chance: Evidence from Portuguese Microdata,” Working paper from Grupo de Estudos Monetarios e Financeiros (GEMF).
Park, J. M., and J. C. Staum, (1988). “Performance Persistence in the Alternative Investment Industry,” Paradigm Capital Management, Inc., Unpublished Manuscript.
Roland, K. P., (1997). “Profit Persistence in Large U.S. Bank Holding Companies: An Empirical Investigation,” Economics Working Paper, 97-2. Office of the Comptroller of Currency.
Shaffer, S., (2004). “Patterns of Competition in Banking,” Journal of Economics and Business, 56, 287-313.
Sharpe, W. F., (1966). “Mutual Fund Performance,” Journal of Business, 119-138.
Singh, A., and G. Whittington, (1975). “The Size and Growth of Firms,” The Review of Economic Studies, 42, 15-26.
Szewczyk, S., G. Tsetsekos, and R. Varma, (1992). “Institutional Ownership and the Liquidity of Common Stock Offerings,” Financial Review, 27, 211–225.
Wagner, J., (1992). “Firm Size, Firm Growth, and Persistence of Chance: Testing Gibrat’s Law With Establishment Data From Lower Saxony 1978-1989,” Small Business Economics, 4, 125-131.
Wagner, J., (1994). “The Post-Entry Performance of New Small Firms in German Manufacturing Industries,” The Journal of Industrial Economics, 92, 141-154.
Waring, G., (1996). “Industry Differences in the Persistence of Firm-Specific Returns,” American Economic Review, 86, 1253-65.
Williamson, J. P., (1972). “Measurement and Forecasting of Mutual Fund Performance: Choosing an Investment Strategy,” Financial Analysis Journal, 28, 78-84.