臺灣共同基金經理人替換之績效與風格分析

The Study of Fund Performance and Investment Style around Management Changes: Evidence from Open-End Equity Funds in Taiwan

李唯甄(Wei-Chen Li)

指導教授 ： 林修葳

國立臺灣大學/管理學院/國際企業學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.00183

摘要

本研究以1998年到2003年之間曾經發生經理人替換的74支台灣開放式股票型基金為研究對象，探討基金經理人替換前後，基金績效、風險、與風格型態的變化情形，並試圖找出造成經理人替換後基金績效、風險與風格型態差異的可能原因。本研究採用不同的方法檢測本文的研究假說，基金績效衡量方式包括：基金淨值報酬率排名百分比、Jensen績效指標與四因子績效指標；風險的測度有總風險與系統風險；基金風格型態的分類則是依照其資產配置情形進行區分。
本研究的實證結果顯示：一、基金在經理人替換後的平均績效比經理人替換前好，且基金在經理人替換後績效有改善的個數也比惡化的個數多，但只有淨值報酬率排名百分比的檢定結果為顯著。二、如果新任經理人未曾擔任過基金經理人者，則多數樣本基金在經理人替換後的績效有改善，但不具有統計上顯著的差異。然而，對於新任經理人曾經擔任過基金經理人而言，不同績效指標所得的結果並不相同，且都不具有統計上顯著的差異。三、在新任經理人是從其他投信公司挖角過來的前提下，不論基金成立時間的長短，不同績效指標所得的結果並不相同，且都不具有統計上顯著的差異。四、基金在經理人替換前屬績效差者，多數新任經理人傾向調高投資組合的風險，但只有系統性風險的檢定結果為顯著。然而，基金在經理人替換前屬績效好者，多數新任經理人會調降投資組合的系統風險，但並沒有顯著的差異。五、大多數的基金在經理人替換後仍維持相同的風格型態，且完全集中在大型成長。如果採用更細的風格分類方式，則基金在經理人替換後風格型態會有顯著的改變。此外，基金在經理人替換前的績效與風格移轉之間可能沒有關連。

關鍵字

共同基金 ； 風險 ； 績效 ； 風格 ； 經理人替換

並列摘要

I examine changes in performance, risk, and investment style for mutual funds that replaced managers, and attempt to find the possible reasons that may explain the differences. I use a sample of 74 open-end equity funds during 1998-2003 in Taiwan. This study adopts different methods to check hypotheses. Fund performance measurements include the percentage rankings of the fund returns, Jensen alpha and Carhart's (1997) four-factor model. I employ the standard deviation of monthly returns and beta which proxy for total risk and systematic risk. The classification of investment style is based on the fund's asset allocations.
Results show that funds experiencing managerial changes performed better after the changes, but only the percentage rankings were found to be significant. If new managers hadn't been fund managers, fund performances improved after the management changes, but they aren't significant. Whether the funds' establishment time was long or short, new managers who were moved from another firm had uncertain performances. I document that funds' systematic risk increased significantly after the management changes, if former managers belonged to underperformers. More than 77 percent of the funds maintained the same style after the management changes, and centralize on large-cap/growth. Using detailed classification, funds experienced shifts in investment style significantly after the management changes. It had no relation between pre-replacement performance and style shift.

並列關鍵字

Investment Style ； Mutual Fund ； Performance ； Risk ； Management Change

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