獲獎基金擇股、擇時能力與平均風格之分析

The Analysis on the Stock Picking, Market Timing Ability and Average Style for Outstanding Mutual Funds

李顯儀(Hsien-Yi Lee) ； 廖婉琳(Wan-Lin Liao)

《台灣金融財務季刊》 13卷3期 (2012/09) Pp. 69-92

https://doi.org/10.6985/TBFQ.201209.0069

摘要

本研究以Daniel et al.（1997）所發展的共同基金績效評估模型為基礎，並沿用Wermers（2000）修正後進一步推展的模型，以我國台北金融研究發展基金會所評選之金鑽獎基金為研究樣本，與未獲獎基金進行比較分析，探討獲獎基金的擇股、擇時能力與平均風格是否比未獲獎基金具有優勢？本文實證有三點發現：（一）大部分獲獎基金的擇股能力並沒有比未獲獎基金明顯優秀；（二）在多頭時期，大部分獲獎基金的擇時能力比未獲獎基金明顯優秀。（三）大部分獲獎基金的持股平均風格績效比未獲獎基金明顯優異，且此情形在多頭時期較空頭時期明顯。此結果顯示：大部分獲獎基金的優異績效表現並不是來自於良好的擇股能力，而是來自經理人特定時期的擇時能力，以及採取長期持有策略的持股風格；此結果也突顯時機的選擇與長期投資策略的重要性。

關鍵字

共同基金 ； 擇股能力 ； 擇時能力 ； 平均風格

並列摘要

This research is based on the model developed by Daniel et al. (1997) and Wermers (2000). In this paper, we select the outstanding mutual funds that won the Golden Diamond Award of Taipei Foundation of Finance in Taiwan for the research. The objective of this study is to examine whether the ability of selecting stocks and market timing and average styles for awarded mutual fund managers are better than that of general mutual fund managers. The findings in this paper are the following: firstly, the stock picking ability of most of the awarded mutual funds didn't outperform that of general mutual funds. Secondly, the market timing ability of most of the awarded mutual funds is better than that of general mutual funds in the bull periods. Finally, the average return of awarded mutual funds outperform that of general mutual funds because of the average styles of the fund managers. Further, compared to the fund performance in the bull market, the average return of awarded mutual funds is especially higher than that of general mutual funds in the bear market. The results show that the higher average return and good performance for most of the awarded mutual funds are not from the stock picking ability, but from the average styles of the fund managers in the long-term investing strategies and the ability of selecting market timing. The findings present that market timing selection and the long-term investing strategies are very important.

並列關鍵字

Mutual Fund ； Stock Picking Ability ； Market Timing Ability ； Average Style

參考文獻

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