基金經理人擇時能力與選股能力—評估國內股票型基金績效

A Mutual Fund Manager's Timing and Selectivity Abilities—Evaluating the Performance of Domestic Equity Funds

徐清俊(Ching-Jun Hsu) ； 陳欣怡(Shin-Yi Chen)

《大葉學報》 13卷2期 (2004/12) Pp. 49-59

https://doi.org/10.7119/JDYU.200412.0049

摘要

以往對於共同基金的研究大都強調共同基金的整體績效表現，然而，基金經理人亦有兩個方法可以去獲取超額報酬，也就是擇時能力與選股能力，但是鮮少文章會探討基金經理人的能力。有鑑於此，本研究乃對國內68支股票型基金的個別績效進行評估，檢定基金經理人的擇時能力與選股能力。另外，一般金融資料的時間序列，常常發現有波動群聚的現象，於是本文亦將一般化自我條件異質變異數(geoeral autoregcssion conditional hctcroskedasticity, GARcH)因素列入考慮以探討其影響。主要研究結果指出，現階段台灣共同基金在擇時能力的表現上普遍優於市場，但是其選股能力表現卻不佳，而擇時能力與選股能力存在抵換關係。加入GARCH效果並不影響基金績效的排名，而會使結果更顯著，因此若要探討擇時能力與選股能力，應將GARCH效果加入。

關鍵字

共同基金 ； 擇時能力 ； 選股能力 ； 抵換關係 ； GARCH效果

並列摘要

Many previous studies have emphasized the performance of mutual funds, but few articles have analyzed fund managers’ abilities. Moreover, mutual-fund managers have two methods for obtaining excess returns, including timing ability and selective ability. Therefore, in this study, the performance of sixty-eight equity funds are evaluated by examining the fund manager's timing and selective abilities. Furthermore, the time series of common financial data often exhibit a volatility-clustering phenomenon; hence, GARCH (general autoregression conditional heteroskedasticity) effects are also considered to analyze its influence. The major findings indicate that mutual funds have timing abiltity, but do not have selective ability. Also, trade-off relationships exist between timing and selective abilities. The GARCH effect does not affect the ranking of a fund's performance; however, the results become more significant. Therefore, the GARCH effect should be incorporated into the evaluation of the timing and selective abilities of mutual-fund managers.

並列關鍵字

mutual fund ； timing ability ； selective ability ； trade-off ； GARCH effect