國內跨國股票組合型基金效率之研究—以運作時間達六年為例

An Efficiency Study of Domestic Multinational Fund of Funds—An Example of the Operations for Six Years

葉致緯(Chih-Wai Yeh)

指導教授 ： 陳和全

國立中正大學/管理學院/經濟系國際經濟研究所/碩士(2015年)

摘要

由於近年來經濟環境起伏不定，風險控管意識逐漸興起，許多金融機構紛紛推廣組合型基金做為投資理財的核心配置。而國內組合型基金起步較晚，且受到了規範上的限制，發展速度與一般共同基金相差甚遠。隨著法規的放寬，其種類與數量開始增加，漸漸地獲得了投資人的青睞和重視。

本篇論文研究期間為2009年至2014年，以6支運作時間達六年的國內跨國股票組合型基金為研究樣本，利用資料包絡分析法來衡量其各項技術效率，並將基金淨值報酬率與技術效率值做進一步分析與探討。本研究的產出項為淨值報酬率，投入項為總和費用、年化標準差及基金總資產。研究結果顯示，此6支跨國股票組合型基金在研究期間內幾乎無效率，以瀚亞趨勢精選組合基金與柏瑞旗艦全球成長組合基金的效率表現最佳，優於其餘4支組合型基金甚多；無效率的跨國股票組合型基金，可藉由經計算後的效率參考集合之參數與差額變數分析所給予的數據，提供經營單位可提升至效率生產的方向與建議；累計淨值報酬率表現優秀的跨國股票組合型基金，效率不一定較佳，因此，投資人在選擇組合型基金時，不僅要考慮累計淨值報酬率，更要將分年淨值報酬率走勢的波動度進行比對，若能將效率值一同納入衡量，則挑選出較優質的跨國股票組合型基金的機會將會提高。

關鍵字

組合型基金 ； 效率 ； 資料包絡分析法

並列摘要

Due to recent volatile economic environment, risk management gradually has been aware, and many financial institutions have been promoting FOF (Fund of Funds) as the core configuration of financial investment. Domestic FOF started late and is limited in regulations, leading to the lateness of development and general mutual funds. With the relaxation of regulations, the type and quantity of FOF began to increase, and gradually get the investors' favor and attention.

This paper did research from 2009 to 2014, taking 6 FOF of international stock which has been operating up to six years as sample, use DEA (Data Envelopment Analysis) to measure the efficiency of its technology and analyze and discuss their ROE (Return on Equity, or RONW) of fund and technical efficiency values. The output of this study is ROE, and the inputs are the sum of the costs, annualized standard deviation and the fund's total assets. The results show that this six FOF of international stock in the study period are almost inefficient, the highest efficiency appeared on Eastspring Inv Umbrella Fund Glbl Eq FOF and PineBridge Flagship Global Growth Fund, much better than the rest four FOF; inefficient FOF of international stock can make advice on direction to efficient production for business units by calculated set of parameters and analysis of slack variable as reference; outstanding FOF of international stock on cumulative ROE, may not be more efficient, therefore, for investors to make good choice of FOF, they not only have to consider the cumulative ROE, but have to compare ROE's yearly volatility trend. If efficiency values can be included in the measurement, then the opportunities of picking out the more high-quality for FOF of international stock will increase.

並列關鍵字

Fund of Funds ； Efficiency ； Data Envelopment Analysis

參考文獻

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