國內共同基金淨值與未來績效及其持續性之關係

The Relationships between Net Asset Value Per Unit and Both Future Performance and Persistence for Taiwan's Mutual Funds

劉永欽(Yong-Chin Liu) ； 陳香如(Hsiang-Ju Chen) ； 李翊萱(Yi-Xuan Lee)

《台灣管理學刊》 12卷2期 (2012/08) Pp. 179-203

https://doi.org/10.6295/TAMJ.2012.1202.04

摘要

本文目的在解答實務界之爭議：「投資共同基金應買淨值高或低者？」我們檢視1995至2008年國內股票型基金淨值與未來績效及其持續性之關係，使用淨值分組檢定組間之績效差異及追蹤資料迴歸分析，結果發現控制其他影響績效之因素後，淨值對未來績效確有解釋力，且不論期間長短、投資頻率為季或年、不同基金類型及存續年數，淨值與未來績效均為負相關。過去一與三年原始報酬在未來同長度期間會反轉，過去五年報酬至未來五年反轉現象消失；淨值較不會影響一年及五年未來報酬與過去同期長報酬的相關性，但會影響三年報酬反轉幅度。至於超額報酬，反轉幅度也因淨值高低、基金存續年數和類型而異。本文建議投資基金宜同時考量擬投資期間、過去績效和淨值水準。

關鍵字

基金淨值 ； Jensen's績效指標 ； 績效持續性 ； 四因子模式

並列摘要

The objective of this paper is to reply the debate from practitioners that which of mutual funds with high or low net asset value per unit (NAV) should be selected by investors. We examine the relationships between NAV and both the further performance and the performance persistence for Taiwan's equity mutual funds from 1995 to 2008. The methods include the equality tests between sub-groups sorted by NAV with various performance indexes as well as the multivariate regression analyses with panel data. The findings are as follows: after controlling other factors affecting future performance, there is a strong explanatory power for NAV to future performance; that is, regardless of length of time period, quarterly or yearly investment frequency, different fund types and durations, fund NAV-future performance relationship is significantly negative. The past annual and three-year raw returns will reverse in future similarly long periods, and the reverse behaviors dissipate for five-year returns. NAV may not affect the past-future performance correlations for annual and five-year returns, respectively, but there is an effect on the degree of negative relation for past-future three-year performance. As to abnormal return, the extent of its reversal is affected by fund's NAV level, duration, and type. This paper suggests that fund investments should consider intended investment horizon for investors, funds' past performance and NAV level.

並列關鍵字

net asset value ； Jensen's alpha index ； performance persistence ； four-factor pricing model

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