經理費對績效持續性與資金流量之影響－以台灣股票型基金為例

The Impacts of Management Fees on Performance Persistence and Capital Flows - The Case of Taiwan Stock-Typed Mutual Funds

蕭文姃(Wen-Cheng Hsiao) ； 江慧貞(Hui-Chen Chiang) ； 顏慧明(Huey-Ming Yen) ； 黃詩芳(Shih-Fang Huang)

《管理科學研究》 13卷1期 (2019/06) Pp. 1-17

https://doi.org/10.6873/MSR.201906_13(1).0001

摘要

共同基金帶動分散風險與投資組合風潮，基金經理人代客操作特性引發本研究。本文以股票型基金為樣本，由經理費評估基金經理人績效，將績效分為是否扣除經理費之毛績效與淨績效，分別探討經理費與績效、經理費與風險之關聯，及經理人績效持續性。本研究採台灣經濟新報資料庫，研究台灣股票型共同基金的績效持續性和資本流動以及基金經理人的投資技巧，考慮了績效評估是否包含管理費。評估標準包括超額夏普率（ESR），夏普率和原始報酬。研究方法包含Spearman等級相關係數，Wilcoxon符號相關和卡方檢定。分析結果整體而言，臺灣的基金市場中，經理費與績效間絕大多為負相關，而高績效不一定會產生高風險。在績效持續性部分，由毛績效指標或淨績效指標來衡量，3年內績效表現有攀升趨勢且風險皆降低，可推得基金經理的投資能力有助於基金績效持續存在。另外，績效以異常報酬或原始報酬率衡量，其與次期累積資金流量皆顯著負相關。若績效低於中位數，由於對未來基金績效的樂觀預期，投資者可能會向該基金投入更多資金。然而，高於中位數的表現會導致贖回資金。

關鍵字

經理費 ； 超額夏普率 ； 夏普率 ； 績效持續性 ； 資金流量

並列摘要

Mutual funds drive the diversification of risk and portfolio trends, and fund managers' valet operational characteristics trigger this study. This paper takes equity funds as a sample, and evaluates the performance of fund managers by manager fees. It divides performance into deducting the gross performance and net performance of manager fees, and discusses the relationship between manager fees and performance, manager fees and risks, and manager performance persistent. This study used the Taiwan Economic Journal (TEJ). Evaluation criteria include excess Sharpe ratioe (ESR), Sharp ratioe, and original compensation. The research methods included Spearman rank correlation coefficients, Wilcoxon symbol rank correlation and chi-square test. The overall results of the analysis show that in Taiwan's fund market, manager fees and performance are mostly negatively correlated, while high performance does not necessarily lead to high risks. In the performance persistence part, measured by the gross performance indicator or the net performance indicator, the performance has a rising trend and the risk is reduced within 3 years, which can promote the fund manager's investment ability to help the fund performance persist. In addition, performance is measured by abnormal returns or original rate of return, which is significantly negatively correlated with the cumulative cumulative flow of funds. If performance is below the median, investors may invest more in the fund due to optimistic expectations for future fund performance. However, performance above the median will result in redemption of funds.

並列關鍵字

Management Fees ； Excess Sharpe Ratio ； Sharpe Ratio ； Performance Persistence ； Capital Flow