不同風險等級的共同基金規模與績效之相關性探討

The Study on the Relationship between Performance and Size of Different Risk Return Mutual Fund

孫立穎(Li-Yin Sun)

指導教授 ： 洪茂蔚

國立臺灣大學/管理學院/國際企業學研究所/碩士(2016年)

https://doi.org/10.6342/NTU201603121

摘要

共同基金對於一般投資人是個非常理想的投資工具，一般投資人並沒有財務報表分析等專業可以操作獲利、平常亦不會有很多時間注意市場迅速的變化，而且投資標的種類繁多，無法對每一種投資組合深入研究、更不會有足夠的資金做出分散性投資，使投資人面臨無謂的市場風險。因此，要怎麼要挑選出值得長期投資的共同基金是現今最值得深入研究與探討的議題。
　　因此本研究就以風險收益等級分類基金，再使用Spearman等級相關係數檢定 (Spearman's rank correlation coefficient test)，找出共同基金淨資產規模與基金淨值報酬率的相關性，再找出不同風險收益等級下的共同基金表現最好的規模，藉以挑選出最適合投資人投資的共同基金。
　　而實證結果顯示，五種風險收益等級就長遠的月資料做觀察，均有顯著正相關，意即隨著規模的增加會有較佳的績效表現，而如果僅以單檔共同基金做觀察，風險等級在RR1與RR2的共同基金會有中度正相關而風險等級在RR5的共同基金則是有著低度正相關的結果，RR3與RR4則是沒有顯著的相關。共同基金最適規模方面，風險等級在RR1與RR2的共同基金，最適合的規模區間是就是在10億至20億，而RR3、RR4與RR5的共同基金最適合投資區間均為至少超過40億。

關鍵字

Spearman等級相關係數檢定 ； 基金規模 ； 基金績效 ； 風險收益等級 ； 最適合規模

並列摘要

Mutual funds is a ideal investment tool for most investors .But, there will not be much time to pay attention to market changes rapidly. Because of a wide range of investment targets, they can't do diversification. Therefore, how to pick a worthy long-term investment in mutual funds is the most worthy of further study and discussion topics.
　　Therefore, this study on the Risk Return(RR) use Spearman's rank correlation coefficient test, find the correlation between the fund size and fund net rate of return, then find the optimum size, in order to pick out the most suitable mutual fund for investors.
　　The results show that five kinds of RR on a long-term monthly observations are significant positive correlation, meaning that with the increase in the fund size, the performance will be better. If only a single mutual funds is observed, mutual funds in RR1 and RR2 are moderately positive correlation, and mutual funds in RR5 are low positive correlation. Mutual funds in RR3 and RR4 are not significant. About the optimum size of the mutual fund, the most optimum size of RR1 and RR2 is in the range from 1 billion to 2 billion, and the most optimum size of RR3, RR4 and RR5 is in range more than 4 billion.

並列關鍵字

Fund Size ； Fund Performance ； Risk Return ； Optimum size

參考文獻

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