國內開放式股票型基金投資價值暨績效評估

論文提要內容：在國內金融市場中，各式的金融商品中以共同基金最為投資大眾所熟悉且接納的投資方法，其中又以股票型基金與股票市場的連動關係最為密切，亦是想獲取高報酬率的投資人所關心焦點所在。故本研究擷取台灣大學財務金融學系邱顯比與李存修兩位教授所編制的基金報酬率之數據並加以整理，透過月、季及年報酬率與集中市場報酬率相比後，建構出相對績效衡量指標；再進一步剖析基金擊敗市場比重與基金平均報酬率及大盤報酬率三者間關係。觀察每年度排名改變，利用Spearman等級相關係數來檢定國內股市開放型基金在績效操作上是否具備持續性及穩定性狀況。最後，以相關分析與逐步迴歸尋找出國內股市中開放式股票型基金可遵循的投資準則。經實證分析後獲得以下結論，即：一、於研究期間中，國內開放式股票型基金操作績效在每年度的五月、七月、八月份均有不錯的表現；季的部分則以第三季最為傑出；而年度是以民國101有較佳的相對績效；但整體所呈現出來的投資價值則是愈來愈糟的。二、國內開放式股票型基金在持續性方面表現的不理想，分析期間裡僅存在一檔基金排名可橫跨三年均保持在前20% (即統一大滿貫)；而排名後20% 持續三年者則有三檔基金，其操作績效均表現的非常糟糕；藉由spearman等級相關係數檢定後發現整體持續性欠佳，只有民國99年與100年會呈現顯著正相關，而在民國97年與98年則出現顯著負相關，一旦橫跨期間超過兩年以上時，績效的持續性亦隨之流失。三、透過Pearson相關分析篩選出金融減大盤作為主導開放式股票型基金相對績效的重要解釋變數，進而透過逐步迴歸的檢驗，得知當金融類股為盤面主流時，國內開放式股票型基金整體相對績效則出現顯著的負面影響，讓我們更加確認當金融類股為主導盤面時，則不是介入開放式股票型基金的理想時機。

關鍵字

開放式股票型基金；操作績效持續性；相對績效；逐步迴歸

並列摘要

Abstract: In the domestic financial market, investors are often regarded mutual funds as their primary investment instruments. This study mainly focuses on open-end stock funds’ data compiled by Chiu Shian Bi and Lee Cun Shiu, who are both professors of NTU Department of Finance. We compare monthly, quarterly and annually fund return with rate-of-return of stock market, then try to establish relative performance index .Besides, we analyze the relationship between fund’s performance beat the market ratio, the average rate-of-return of all funds and rate-of-return of stock market. We observe the change of fund’s annual performance rankings to examine its persistence and stability through Spearman rank correlation coefficient. Finally, we attempted to look for an ideal investment strategy by using correlation analysis and stepwise regression model. The main empirical findings as below: 1.During the research period, we found domestic open-end stock funds had good performance in May, July and August per annually. The third season is the most outstanding with regard to seasons. Besides, 2012 yield a better yearly performance. 2.There was not ideal with respect to persistence of domestic open-end stock funds. Because in our analysis period, the only one fund which kept on top of 20% within three years (UPAMC Quality Growth); however, there were three funds which situated on the last 20% and had bad three years consecutive performance. As a whole, after Spearman rank correlation coefficient test, we found the performance of persistence was not good. There were significantly positive correlation between 2010 and 2011. But, there were significantly negative correlation between 2008 and 2009. As soon as periods beyond more than two years, the performances of the persistence disappeared. 3.We find rate-of-return of financial minus rate-of-return of stock market is important explanatory variable through Pearson correlation analysis. Utilize stepwise regression model, we know when financial stocks become mainstream of the market, then domestic open-end stock funds have negative performance. Moreover, it is not a ideal timing to invest open-end stock mutual funds.