本文主要是以基金的規模大小、週轉率以及基金經理人管理該基金的任期等重要因素,來研究此三項變數對於基金績效的影響。為避免因績效指標不同而產生研究結果之偏誤問題,本文嘗試以基金績效較常用之Treynor、Sharpe、Jensen等三項績效指標進行衡量。本文先以最小平方迴歸模型(OLS)進行分析外,再以變數遞迴最小平方迴歸分析方法(recursive OLS in variable)來偵測是否發生結構性改變,最後利用變數門檻模型(threshold model in variable)來加以估計,以規模、週轉率、任期作為門檻變數,探討在此三項變數之門檻值以上及以下兩個區間內,對於績效衡量指標之影響情況,以提供基金投資人選擇基金的重要依據之一。 本文實證結果如下:1.基金規模對Treynor、Sharpe、Jensen三項績效指標的影響,在規模門檻值約為10億以下會呈現顯著正相關,但超過門檻值10億以上時,則會轉為不顯著關係。2.基金週轉率對Treynor、Sharpe、Jensen等三項績效指標的影響,發現三項績效指標之門檻值皆為週轉率20.76%以上會呈現顯著負相關,但在門檻值週轉率20.76%以下時,則會轉為不顯著關係。3.經理人任期對Treynor、Sharpe、Jensen等三項績效指標的影響,發現三項績效指標之檢定結果並不顯著。
This paper examines the effects of fund size, turnover rate, and manager’s tenure on domestic open-ended equity fund performance using Treynor, Sharpe, and Jensen indicators. Besides employing the order least squares regression model (OLS), the paper further uses variable recursive least squares regression analysis (recursive OLS in variable) to detect whether there is a structural change. Finally, the threshold model in variable is utilized to explore whether the impacts of fund size, turnover rate, and manager’s tenure on domestic open-ended equity fund performance are different between the above and below threshold value of fund size, turnover rate, and manager’s tenure. The empirical results are as follows: 1. When fund size is below 1 billion, the relationship between fund size and of fund performance is significantly positively correlated. However, the relationship is not significant when fund size is above 1 billion. 2. When fund turnover rate is more than 20.76%, the relationship between fund size and of fund performance is significantly negatively correlated. However, the relationship is not significant when fund turnover rate is less than 20.76%. 3. The relationship between manager tenure and of fund performance is not significant.