基金績效之持續性與市場狀態－以台灣股票型基金為例

The Persistence of Fund Performance and Market States-The Case of Stock Fund in Taiwan

林義欽(Yi-Chin Lin) ； 賴鈺城(Yu-Cheng Lai)

《全球管理與經濟》 9卷1期 (2013/06) Pp. 113-126

https://doi.org/10.6565/JGME.2013.9(1).6

摘要

本文根據2003－2012年台灣股票型基金報酬率與標準差的資料，來評估基金的管理績效，以及其持續性與市場狀態的關係。整體而言，我們發現，專業經理人所管理的股票型基金，除了2005年以外，其績效均不如市場的表現。但跨國股票型基金有明顯的較小風險。而基金績效的持續性在多空轉換的市場狀態下，有明顯地相關性。國內股票型基金有在多頭進入空頭市場時，有明顯地管理績效；而在空頭進入多頭市場時，管理績效有明顯地不足。而跨國股票型基金在多空市場轉換時，均呈現管理績效的不足；但在多頭市場持續的年度，跨國股票型基金有明顯地管理績效。

關鍵字

基金績效 ； 市場狀態 ； 持續性

並列摘要

In this article, according to the returns and standard deviations of 2003-2012 Taiwan equity funds, we evaluate the performance of Taiwan equity funds and their persistence. As a whole, we find the performance of Taiwan equity funds managed by professional investor is not as good as the market except 2005. But foreign-invested equity funds have significantly small standard deviation (risk). The persistence of funds performance is significantly dependent when market state transforms between bull and bear markets. When bull market transforms to bear market, the performance of domestic equity funds are good significantly; though they are not good as bear market transforms to bull market. The performance of foreign-invested equity funds are not good significantly when market state transforms between bull and bear markets. But foreign-invested equity funds perform well when market states are persistently bull markets.

並列關鍵字

Fund Performance ； Market States ； Persist