利率期限結構變動與債券型基金投資績效

Term Structure Movements and the Performance of Bond Mutual Funds

周建新(Jian-Hsin Chou) ； 于鴻福(Hong-Fwu Yu) ； 張千雲(Chien-Yun Chang)

《臺大管理論叢》 20卷1期 (2009/12) Pp. 189-225

https://doi.org/10.6226/NTURM2009.20.1.189

摘要

本文以債券型基金的時間序列與橫斷面資料，利用主成份分析將利率期限結構變動，拆解出代表水平移動(β0)、斜率變化(β1)和曲度變化(β2)的三種主成份因子，以探討利率風險對國內債券型基金績效的影響。實證結果說明國內債券型基金超額報酬率對於水平移動(β0)和曲度變化(β2)變動所帶來的利率風險最為敏感；此外，固定收益型債券基金對於利率期限結構變動的敏感度，則較類貨幣型債券基金為低。最後，本文以利率期限結構變化資訊為依據，模擬債券型基金的投資策略，實證亦發現無論是固定收益型或類貨幣型債券基金，利率期限結構變動的有效預測，將有助於投資人獲取較佳的投資績效。

關鍵字

債券型基金 ； 利率期限結構 ； 主成份分析

並列摘要

This paper uses the principle component analysis to investigate the impact of term structure movements on the investment performance of bond mutual funds. More specifically, based on the panel data, we decompose term structure movements into three principal factors (i.e., level parameter, β0; slope parameter, β1; and curvature parameter, β2), and to illustrate the effects of the movements of term structure on the bond fund returns. The empirical results indicate that the level and curvature factors have significantly positive and negative effects on the investment performance of bond mutual funds, respectively. In addition, the effects of term structure movements on the real bond fund returns are less sensitive than those of the quasi money market fund. Finally, this paper simulates an active trading strategy based on the embedded information of the term structure movements. And we conclude that, for both quasi money market fund and real bond fund, it can help to obtain better investment performance if the term structure movements are effectively predicted.

並列關鍵字

bond fund ； term structure of interest rate ； principle component analysis

參考文獻

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