基金經理人特性、過度自信與風險調整後基金績效之關係

本研究以臺灣2001年至2016年基金公司之經理人資料為研究樣本，首先探討不同基金公司在基金經理人之選用上、過度自信以及風險調整後基金績效是否有差異；其次探討基金經理人特性(性別、學歷、任期、年資)與過度自信(買入週轉率、賣出週轉率、平均週轉率)之關係；最後探討基金經理人特性、過度自信與風險調整後基金績效(Beta值、Sharpe指標、Treynor指標、Jensen指標)之關係。研究發現不同基金公司會因經理人特性而在選用上有差異，基金公司聘用男性經理人且學歷為碩士(含)以上居多，基金經理人任期的平均數為4.32年，操作基金年資平均數為8.65年。且買入週轉率高於賣出週轉率，不同基金公司之週轉率是有差異的，即有些基金公司之經理人有過度自信之現象。基金之平均風險小於市場風險，當基金考量總風險後，平均能賺到10%之報酬，而Treynor指標之平均數為48%，Jensen指標之平均數為19%，且不同基金間承擔市場風險後所賺得之超額報酬差異相當大。研究結果顯示在基金經理人特性方面，女性基金經理人較不會有過度自信之現象，則風險調整後基金績效較佳，學歷為碩士(含)以上之基金經理人亦不會有過度自信之現象，則風險調整後基金績效較佳，而基金經理人操作一檔基金之時間長短，並不影響其風險值，但操作一檔基金期間愈久，可賺取愈多之超額報酬，則風險調整後基金績效較佳，此外，當基金經理人進入基金產業之年資若愈久，並不一定能賺取較大之報酬率；在過度自信方面，本研究需分別以買入週轉率與賣出週轉率進行衡量過度自信，買入週轉率與風險之間無關，但其風險調整後基金績效較佳，而基金經理人之賣出週轉率若愈高，則下一期基金風險愈小，且風險調整後基金績效愈差。

關鍵字

基金經理人特性；過度自信； Beta值；夏普指標；崔納指標；詹森指標

並列摘要

This study firstly examines whether different fund companies have differences in the selection of fund managers, overconfidence, and risk-adjusted performance of mutual funds. Secondly, we discuss the relationships between fund managers’ characteristics (gender, education, tenure, seniority) and overconfidence (buy turnover rate, sell turnover rate, average turnover rate). Finally, we analyze the relationships among the managers’ characteristics, overconfidence and risk-adjusted performance of mutual funds (Beta, Sharpe index, Treynor index, Jensen index). A sample of managers in Taiwan gathered from the FundDJ and TEJ database covered the years 2001 through 2016 is used to fulfill these purposes. This study shows the different fund companies have differences in the selection of managers due to managers’ characteristics. The fund companies prefer to employ male managers with a master degree or above, the average of fund managers’ tenures is 4.32 years, and the average of fund managers’ seniority is 8.65 years. However, the buy turnover rate is higher than the sell turnover rate, the turnover rates of different fund companies are different, indicating that some managers of fund companies have phenomenon of overconfidence. The average risk of the fund is less than the market risk, and the fund considers the total risk, it can earn about 10% return. Moreover, the average of the Treynor index is 48%, the average of the Jensen index is 19%, and then after undertaking market risks can earn the excess return is quite different. Furthermore, the empirical results show that in the characteristics of fund managers, female fund managers are less likely to have phenomenon of overconfidence, and the risk-adjusted performance of mutual funds is better. The fund managers with a master degree or above don’t have phenomenon of overconfidence, and the risk-adjusted performance of mutual funds is better. The lengths of time the fund managers operate a fund don’t affect risk value, but the longer time spent operating a fund, they can earn more excess return, and the risk-adjusted performance of mutual funds is better. In addition, when fund managers enter the fund industry longer years, they do not necessarily earn a higher rate of return. In terms of overconfidence, this study measures overconfidence by buying turnover rate and selling turnover rate respectively. There is no relationship between the buy turnover rate and the risk, but the risk-adjusted performance of mutual funds is better when the buy turnover rate is higher. However, the sell turnover rate of fund managers is higher, the risk is smaller at next period, and the risk-adjusted performance of mutual funds is worse.