美國共同基金績效持續性與交易策略之研究

共同基金之歷史績效是投資人購買基金時的重要依據。若績效持續性存在，則投資人可依據過去績效選擇基金。近年來相關研究大多支持基金績效具有持續性。但學術論文方法艱深難懂，且許多研究採用之績效衡量指標並不常見，故實在難以造福投資大眾。因此本文試圖尋找較簡便易行的方法提供投資人作為參考。　本文研究1992至2005年美國一般股票型基金之績效，採用最常用的幾種基金績效衡量指標，用以驗證績效持續性，並探討投資策略。由文中結論得知：績效持續性僅存在於兩年內之短期，歷史績效與未來績效存在正向關係。績效二分法結果顯示：過去三個月、六個月、一年、兩年、三年報酬率與其排名皆可用來預測未來一年、兩年報酬率；過去一年、兩年報酬與接續三年報酬亦有正相關。　　在一年投資期間之下，過去三個月、六個月、一年排名在前之基金表現明顯勝過其他組合。同時參考兩種歷史績效選購基金可顯著改善績效；進一步同時參考三種過去績效投資，亦可改善獲利。將篩選條件設定愈加嚴格，則獲利水準亦會提升。因此投資人可依照排名作為依據購買基金。　　此外在研究期間內市場處於多頭空頭時，購買排名在前的基金皆能擊敗市場及其他組合，但市場多空轉換時基金績效顯著反轉。因此投資人應注意市場情勢是否有劇烈變動，並在多空轉換時採取反向策略。

關鍵字

共同基金；績效持續性；基金排名

並列摘要

Most investors spend a great deal of time studying past performance of mutual funds when considering investment. Although previous studies suggest that performance persists, they may not benefit investors very much. Complicated methodology in those studies is very difficult for investors, and many performance measures employed are unavailable in practice. Thus this study attempts to find an easy way for investors to select among funds. This study adopts most common performance measures and examines performance persistence in U.S. domestic equity funds over the period from 1992 to 2005. The results show statistically significant persistence for one- and two-year horizons. Moreover, three-month, six-month, one-year, two-year, three-year returns and their rankings can be used to predict future one- and two-year returns. When considering a three-year investment period, only one-year, two-year returns and rankings convey information about future performance. The strategy of buying top-ranking funds from previous year generates higher returns and consistently beats the market. Adopting double and triple criteria to choose funds could also improve performance. When the criteria are set more restrictive, funds tend to have higher return and risk as well, but they still have the ability to beat the market after adjusting for risk. Thus investors could easily use past rankings as criteria to choose funds. Moreover, strategy of chasing winners does not work at economic turning points (especially when it reverses from a bull market to a bear market). Investors who adopt this strategy should pay attention to the economic conditions to avoid possible loss owing to performance reversal.

並列關鍵字

Mutual Fund ； Performance Persistence ； Fund Ranking

參考文獻

References

Google Scholar

1. Bers, M. K. (1998). “Causal Relations among Stock Returns, Inflation: Persistence of International Mutual Fund Performance.” Global Finance Journal, 9, 225-240.

Google Scholar

2. Blake, C. R. and Morey, M. R. (2000). “Morningstar Ratings and Mutual Fund Performance.” Journal of Financial and Quantitative Analysis, 35, 451-483.