積極與耐心投資管理策略對基金績效之影響－臺灣股票型基金之實證

A Study on the Impact of Active and Patient Investment Management Strategies on Fund Performance：Evidence from Taiwan Equity Mutual Funds

張孟樺(Meng-Hua Chang)

指導教授 ： 郭玟秀

國立臺中科技大學/商學院/保險金融管理系/碩士(2019年)

摘要

股票基金的操作績效議題一直引起學界與實務界的興趣及討論。本文主要探討基金積極選股程度(即基金持股偏離基準指數持股程度)與耐心管理策略(即基金買賣交易頻率程度)對基金績效的影響。參考Cremers and Pareek (2016)和P´astor et al. (2017)，本研究利用積極比率(Active Share)衡量基金積極選股程度及基金週轉率(Fund Turnover)衡量基金耐心管理策略，以2003年至2017年國內股票型共同基金為研究對象，以張清發(2015)提出的國內股票型基金之五種基準指數方法來計算積極比例，實證結果顯示，國內股票型基金的積極比例與績效呈現負相關，即基金的持股與大盤持投的偏離程度對基金績效具有負向影響，此與Cremers and Petajisto(2009)和Cremers and Pareek (2016)研究結果不一致；此外，本文亦發現基金週轉率和績效呈現負相關，表示國內基金經理人不常交易地耐心管理基金投資組合績效愈好，此與Cremers and Pareek (2016)的發現一致。整體上，本研究發現積極調整其投資組合之國內主動管理型態股票型基金沒有較佳的績效表現。

關鍵字

股票型共同基金 ； 積極比例 ； 基金週轉率 ； 積極管理 ； 耐心策略

並列摘要

As mutual fund markets grow fast over the past few decades in Taiwan and other countries, the performance of active mutual fund has long been of great interest to researchers and practitioners. The main purpose of this study is to investigate whether funds would generally be more successful by taking positions that are different from the benchmark through holding stocks for long periods or through frequently changing the portfolio with our sample of active Taiwan equity mutual funds during 2003-2017. Following Cremers and Pareek (2016) and P´astor et al. (2017), this work uses portfolio turnover, which represents how frequently the fund manager trades, and active share, which represents the share of portfolio holdings that differ from the benchmark index holdings, as the measures of aggressive stock selections and patient investment strategy, respectively. We employ five benchmark indexes of Chang (2015) to calculate the active share. The empirical results show that active share is significantly negative correlated with fund performance. This evidence is not consistent with Cremers and Petajisto(2009) and Cremers and Pareek (2016). In addition, we also find a significantly negative relationship between fund turnover and performance. This evidence is not in line with P´astor et al. (2017) but consistent with Cremers and Pareek (2016). Overall, our empirical results show that the actively managed funds underperform its benchmark index for emerging Taiwan equity mutual funds markets.

並列關鍵字

Stock Mutual Funds ； Active Share ； Fund Turnover ； Active management ； Patients Investment

參考文獻

參考文獻

【英文參考文獻】

Michael C. Jensen,1968. “The Performance Of Mutual Funds In The Period 1945-1964” Journal of Finance, Vol. 23, No. 2 (1967) 389-416.

Grinblatt, M. and Titman, S. D,1989“Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings.” Journal of Business, July 1989a, 62 (3), pp. 393- 416.

Ippolito, Richard A., 1989, “Efficiency With Costly Information: A Study of Mutual Fund Performance.” The Quarterly Journal of Economics,1965-1984, 104, 1-23..