中國開放式股票型基金管理策略與績效關係之研究

A Study on Relationship between Mutual Fund’s Management Strategy and Performance — The Case of China Open-End Equity Funds

吳侃庭(Kan-Ting Wu)

指導教授 ： 邱顯比

國立臺灣大學/管理學院/財務金融學研究所/碩士(2012年)

https://doi.org/10.6342/NTU.2012.00322

摘要

基金管理策略與基金績效間的關係，一直是近期熱門的研究議題。然而，中國基金市場近十年始呈蓬勃發展之姿，許多相關研究仍偏重於較為傳統的績效評估、經理人擇時選股能力與績效持續性等議題，因此本文引入較為新穎的基金積極管理策略衡量指標，探討管理策略對績效之影響。
本研究以168支中國開放式股票型基金為樣本，利用Carhart四因子模型做為基準模型，並透過殘差追蹤法得到三個基金積極管理策略衡量的代理變數，在控制其他基金特性變數下，檢驗基金積極管理策略指標與績效間的關係；探討基金積極管理策略指標對於基金績效的持續性；並研究基金管理策略的影響因素。
研究結果顯示，中國開放式股票型基金的積極管理策略對於未來績效有顯著的正向效果，且該結果在三種不同代理變數上均可得到驗證。另外，基金規模、前期績效均與基金績效顯著為負相關；股票投資比例、基金成立期間及基金流量對於基金績效皆無顯著關係。
在基金管理策略與績效持續性分析中，發現積極管理策略衡量指標對於未來績效預測能力的持續性約可達4個月；此外，將前期積極管理策略衡量指標及前期績效等分成25組進行基金管理策略與績效持續性關係分析，發現以殘差標準差做為積極管理衡量指標的結果較其他兩變數為佳。
最後，在基金管理策略影響因素分析中，影響基金管理策略之基金特性變數並無一致性結論。

關鍵字

共同基金 ； 管理策略 ； 績效評估 ； 績效持續性

並列摘要

Recently, the relationship between mutual fund management strategies and fund performance has been an important issue. In the China fund market, however, many studies still focus on some traditional issues like performance evaluation, securities selectivity and market timing ability, and performance persistence. Therefore, this paper introduces a new management strategy measure to investigate the impact of management strategy on China open-end equity fund performance. In this study, we use the Carhart four-factor model to generate three active management measures which are R^2, 〖TR〗^2 and RMSE. Higher RMSE and lower R^2 and 〖TR〗^2 represent a high degree of active management.
The results show that there is a significantly positive relationship between active management strategy and future fund performance, and the results can be verified in the three different proxy variables. In addition, the fund size and performance has significantly negative correlation. Second, we examine the performance persistence. We find that the active management measure has the predictive ability of fund performance lasting for 4 months. Finally, in the determinants of the management strategy measure analysis, there is no significantly relationship between active management and the fund characteristic variables.

並列關鍵字

Mutual Funds ； Management Strategy ； Fund Performance ； Performance Persistence

參考文獻

陳嘉宏(2011)，「大陸開放型共同基金與積極管理之相關性研究」，國立台灣大學財務金融研究所碩士論文。

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