大陸開放型共同基金績效與積極管理之相關性研究

An Empirical Study on Relationship between Fund Performance and Active Management – China Open-End Mutual Funds

陳嘉宏(Chia-Hung Chen)

指導教授 ： 邱顯比

國立臺灣大學/管理學院/財務金融學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.03441

摘要

本篇論文中，我們引入了積極比例 (Active Share) 做為衡量基金積極管理程度的量化指標之一，這項指標衡量了基金之資產組合偏離基準組合之資產組合的程度。同時我們將積極比例和傳統用以衡量基金積極管理程度的量化指標 - 追蹤誤差 (Tracking Error)，共同放入159個大陸股票型共同基金的樣本，以衡量此兩種積極管理的量化指標是否能用以衡量及預測開放型股票共同基金之績效。我們採用基準組合調整後報酬、CAPM調整後報酬 (Jensen’s alpha)、三因子調整後報酬 (Fama-French Model) 以及四因子調整後報酬 (Carhart Model) 做為共同基金績效評估之方法。最後發現若採用基準組合調整後報酬和CAPM調整後報酬時，積極比例對於衡量和預測基金績效是有正向的顯著效果，追蹤誤差於當期的基金績效衡量上有顯著效果，但由於其缺乏持續性，因此無法採用追蹤誤差來做為預測基金績效之指標。

關鍵字

積極管理 ； 積極比例 ； 追蹤誤差 ； 基金績效衡量及預測

並列摘要

In this paper, we introduce Active Share as one of the quantified measures for active management. Active Share measures to which extent that a fund’s portfolios deviate from its benchmark portfolio. We also use Tracking Error, a traditional measure of active management, with Active Share to examine if these two quantified measures for active management could evaluate and predict the open-ended equity mutual fund performance in China. We take benchmarked-adjusted return, CAPM-adjusted return (Jensen’s alpha), three factor-adjusted return (Fama-French Model), and four factor-adjusted return (Carhart Model) as the mutual fund performance measures. In terms of benchmarked-adjusted return and CAPM-adjusted return, we find that funds with higher current and previous Active Share significantly outperform other funds with lower Active Share, which means Active Share shows performance predictability. Funds with higher current Tracking Error significantly outperform other funds. However, Tracking Error does not show performance predictability due to its poor persistence.

並列關鍵字

Active Management ； Active Share ； Tracking Error ； Fund Performance Evaluation and Predictability

參考文獻

Grinold, Richard C., and Ronald N. Kahn, 1999, Active Portfolio Management, 2nd ed., New York, McGraw-Hill.

Berk, Jonathan B., and Richard C. Green, 2004, Mutual Fund Flows and Performance in Rational Markets, Journal of Political Economy, 112, 1269-1295.

Carhart, M., 1997, On Persistence in Mutual Fund Performance, Journal of Finance, 52, 57-82.

Chen, Joseph, Harrison Hong, Ming Huang, and Jeffery Kubik, 2004, Does Fund Size Erode Performance? Organizational Diseconomies and Active Money Management, American Economic Review, 94, 1276-1302.

Cremers, Martijn, Antti Petajisto, and Eric Zitzewitz, 2008, Should Benchmark Indices Have Alpha? Revisting Performance Evaluation. Working Paper, Yale University.