基金經理人特質、更換次數與操作績效關係之實證分析

An Empirical Analysis of the Relationship among the Fund Manager’s Characteristics, Switches and Operational Performances

林宗緯(Zong-Wei Lin)

指導教授 ： 王親仁

國立臺中科技大學/商學院/企業管理系事業經營碩士班/碩士(2012年)

https://doi.org/10.6826/NUTC.2012.00016

摘要

專業的基金經理人彙集投資人的資金，透過多樣化的投資與管理以分散投資風險與提升基金操作績效，故投資人為獲得良好報酬則必須慎選基金經理人。由於投資人無法直接與基金經理人接觸，因此基金經理人的個人特質與更換次數成為判斷基金經理人績效表現的依據。本研究以2008年至2010年間240位國內投資股票型基金經理人為對象，探討基金經理人特質(包含性別、任期、年資、教育程度、學歷背景及商管背景)、更換次數對基金操作績效的影響，並以T檢定、單因子變異數分析及多元迴歸模型進行分析。實證結果發現當淨報酬率為正時，任期短之基金經理人績效表現較佳，因任期短的基金經理人為能在短期內有好的操作績效表現故選擇積極操作基金，而任期長且更換次數多者績效表現較差，因任期長的基金經理人操作判斷上較趨於保守，加上曾有被更換過的經驗，所以為確保自己的職位，使其在操作上更加保守。凡Treynor指標、Sharpe指標或Jensen指標為負時，任期長之基金經理人操作績效表現較佳，因任期長的基金經理人擁有較豐富的操作經驗，且操作判斷上較任期短的基金經理人趨於保守，因此較不易發生重大失誤。

關鍵字

基金經理人特質 ； 更換次數 ； 操作績效

並列摘要

Specialized fund managers collect investors’ money to make varied investment and management for spreading investment risks and enhancing operational performances. If investors want to get a good return, they should choose the fund manager carefully. Investors can only use fund manager’s characteristics and switches to predict managers’ performance, because investors can’t directly contact with fund managers. This study constructs the panel data, 240 domestic stock investment fund managers during 2008-2010, to analyze the relationship among the fund managers’ characteristics (sex, tenure, service year, education level, experiences and commerce background), switches and operational performance by means of T-test, One-way ANOVA and multiple regression analysis. We find that short-tenure managers have better performance when the net return rate is positive, because they aggressively operate fund for obtaining excellent performance in short term. However, the managers who have long-tenure and more switches have poor performance, because they have past switching experiences and resulted in conservatively managing funds. Furthermore, a long-tenure managers have better operational performance on the negative Treynor index, Sharpe index and Jensen index, because they have more experiences and the conservative judgment with making less big mistakes in fund manipulation.

並列關鍵字

Fund manager’s characteristics ； switches ； operational performances

參考文獻

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