國內股票型基金最適風險投資組合之研究

THE STUDY OF THE OPTIMAL RISKY PORTFOLIO IN DOMESTIC STOCK MUTUAL FUND

李國忠(KUOCHUNG-CHUNG LEE)

指導教授 ： 古永嘉

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2008年)

摘要

長期而言，共同基金具有分散風險及獲利穩定之雙重特性，但短期之操作績效卻有很大差異，本文以國內股票型基金為對象，期望在眾多基金當中挑選兼具績效與風險分散的投資標的，透過最佳權重之計算，建立一個風險-報酬最適化的短期預測模型，研究目的：
一、從共同基金歷史報酬挑選最適風險投資組合，並驗證是否具有超額報酬？
二、驗證最適風險投資組合績效之短期預測能力，是否優於同業基金及大盤？績效是否具持續性？
三、驗證最適風險投資組合在不同的移動平均期數、投資組合基金數、多頭與空頭市場之報酬率與預測能力，以探討最適投資策略。
影響基金績效因素很多，如經理人的特性、選股能力、擇時能力、基金發行公司規模等，由於研究期間不同、研究假設條件亦有差異，國外、國內學者對基金績效持續性之研究結果看法不一，多數認為不具持續性，過去績效無法正確預測未來。
本文以馬可維茲(Markowitz)投資組合理論為基礎，以基金過去3~6個月之報酬率透過最佳權重之計算，挑選每一單位風險報酬最大化的投資組合，作為預測基礎，即建立短期績效預測模型，以大數法則概念，在92~96年的股票型基金當中，以移動窗格法（moving window）利用SAS軟體篩選與運算，實證結果顯示：
ㄧ、最適風險投資組合具有相對穩定之超額報酬。
二、最適風險投資組合短期預測能力相當顯著，持有3個月至1年，可獲得高於同業及大盤之穩定報酬，機率分別約六成及七成五，但同時優於同業及大盤則較為困難。
三、以過去3~6個月四個期間所篩選之組合報酬差異性不顯著；而投資組合基金數目與組合報酬率呈負相關，以2~4支基金數預測能力最佳；無論市場為多頭或空頭，投資組合平均報酬率均顯著高於同業基金及大盤，而在多頭市場之績效表現明顯較佳。

關鍵字

共同基金；績效持續性；移動窗格法；最適風險投資組合

並列摘要

Mutual fund investing has enjoyed phenomenal growth in recent years. It owns stable returns and risk diversification in long-run, but the performance is different in short-run. For the growing up stock market scale in Taiwan, the concept of finance is getting better. Thus, in this paper, I construct a measure model of fund portfolio with best weight based on past performance . The useful sample encompassed 154 domestic stock mutual funds in Taiwan from 2005-2007. The purposes of the study as follow:
1. Do the fund portfolios which based on past performance have extra returns in enar future?
2. Is fund portfolio’s forecast return better then market or business ?
3. To determine the best way for selecting with three factors：in bull market, number of fund in portfolios, snd the periods of moving window.
In this paper, I construct a measure model based on Markowitz’s Mean-Variance Portfolio Framework, using past performance of 3~6 month to build a portfolio, then to forecast the average returns in the near future 1, 3, 6, 12 month. I find that the forecast ability of fund portfolio is better then market and business.
Overall, my empirical evidence in this study. First, the model has extra return in the future 1,3,6,and 12 month. Second, the performance persistence that better then business is about 3 month and significantly better then market for 3 month to one year, the probability is near to 75%. Third, it is significantly better then market and better then business of performance in bull market, and more funds in portfolio is lake of performance persistence.

並列關鍵字

performance persistence, moving window , Mutual fund, optimal risky portfolio

參考文獻

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