積極比例是否解釋台灣共同基金績效？

本篇論文以2000年至2014年底，台灣249檔投資國內股票型共同基金為研究樣本，參考Cremers及Petajisto(2009)，設計出一套為台灣股票型基金選擇基準指數的方法，並以選擇出的基準指數來計算積極比例與追蹤誤差，做為基金積極管理程度的代理指標，藉以探討基金積極管理程度對績效的影響。實證結果發現積極比例與同期及未來績效皆呈顯著正相關，此結果與Cremers及Petajisto(2009)一致，而與台灣過去相關研究皆不同；而追蹤誤差與未來績效呈顯著負相關，代表精緻選股對未來績效有正面影響，而風險擇時則相反，因此可以此兩構面來做為預測基金績效的指標。最後以積極比例與追蹤誤差把基金的管理風格分成五類，我們發現基金整體績效扣除費用後，績效落後於大盤，與過去研究相同，但高積極比例低追蹤誤差的“股票精選型?主動型管理風格顯著打敗大盤，且績效顯著高於偏被動管理風格的“近似指數型?基金，指出雖然基金主動管理平均下未能擊敗大盤，但存在某些主動管理方式可以擊敗大盤，體現出基金主動管理的價值。

關鍵字

共同基金；積極比例；追蹤誤差；基金積極管理；基金績效預測；基金管理策略；基金管理策略；基金經理人行為

並列摘要

This paper use Taiwan domestic equity mutual fund data from 2000 to the end of 2014 as sample. Referring to Cremers and Petajisto (2009), I proposed a set of selection criteria for the Taiwanese equity mutual fund to select benchmark index. I next used the benchmark selected to calculate active share and tracking error, and regards them as the proxies for active management degree to examine how active management affects the fund performance. The empirical results show a significantly positive relationship between active share and both the future and contemporary fund performance. This result is consistent with Cremers and Petajisto (2009), and inconsistent with Taiwan domestic past research. Tracking error is significantly negative correlated with future fund performance. It means that stock selections can add value to performance, and systematic factor bets destroyed value. Therefore, we can combine these two dimensions of active management to forecast fund performance. Finally, I used active share and tracking error to sort domestic all-equity mutual funds into five categories. I found that after deducting expenses from performance, the overall performance of the fund fell behind the broader market. It is consistent with previous studies. However, I found that “stock pickers” with high active share and low tracking error have been able to significant outperform its benchmark, and its performance is significant higher than “closet indexers” with passive management style. It pointed out that although the average actively managed mutual fund has underperformed its benchmark index, some active management style still matters considerably for performance. It proves the value of actively managed mutual fund.

並列關鍵字

Mutual funds ； Active Share ； Tracking Error ； Active Management ； Fund Performance forecast ； Fund Management Strategy ； Fund Management Style ； Behavior of Fund Managers

參考文獻

1. 池祥萱(Hsiang-Hsuan Chih)、林煜恩(Yu-En Lin)、周賓凰(Pin-Huang Chou)(2007)。基金績效持續與聰明錢效果：台灣實證。管理學報，24(3)，307-330。

2. 陳嘉宏(2011)。大陸開放型共同基金績效與積極管理之相關性研究(碩士)。臺灣大學財務金融學研究所學位論文，臺北市。

3. 陳沛瑄(2012)。臺灣股票型共同基金積極管理策略與績效之相關性(碩士)。臺灣大學財務金融學研究所學位論文，臺北市。

4. 張景勛(2013)。台灣股票型共同基金績效與積極比例之實證研究(碩士)。臺灣大學財務金融學研究所學位論文，臺北市。

1. Berk, Jonathan B., and Richard C. Green, 2004, Mutual Fund Flows and Performance in Rational Markets, Journal of Political Economy, 112, 1269-1295.

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積極比例是否解釋台灣共同基金績效？

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