委託經營風險控管之實證研究

An Empirical Study on the Risk Control of Delegated Management

江柏毅(Bo-Yi Chiang)

指導教授 ： 繆震宇

淡江大學/商學院/保險學系保險經營碩士班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00793

摘要

論文提要內容：
目前我國政府機關所屬基金為落實基金運作效率，同時亦為減輕國家及人民之負擔，已漸漸朝向委託經營方式委由專業投資經理人代操資產。然而根據過去經驗，無論是國內外專業投資經理人皆無法保證其資產操作績效能勝過大盤報酬率或優於自行操作績效，因此如何有效評估基金經理人之優劣並決定其去留，是目前所有委託人在委託管理上所面對之重要課題，為本研究之主要動機。
本文首度利用連續機率比檢定(SPRT)模式，希望建立符合委託人利益之績效評估方式，擷取民國87年1月至94年12月八年國內上市股票型基金細分類及上櫃型基金季(月)報酬率資料進行實證研究，並設計四種不同委託期間之契約，以月報酬和連續三個月報酬等二種評估方式，並採用兩種不同評估頻率(月評估及季評估)進行停止決策分析。主要的結論有：(一) 利用月報酬資訊每月進行評估除價值型基金外，其餘各類基金普遍而言「接受組」決策結果優於「拒絕組」，(二) 無論每月或每季評估，利用三個月報酬作為評估基礎之月平均超額報酬略優於利用月報酬作為評估基礎之結果，顯示以三個月報酬作為評估基礎應較能為委託人帶來利益，(三)月評估之月平均超額報酬總結數值優於季評估，顯示頻繁的評估下應較能為委託人帶來利益。(四)委託期間應以短年期為主，較長的委託期間對委託人而言未必有利。

關鍵字

退撫基金 ； 績效評估 ； 國內股票型基金 ； 委託經營 ； 最適停止決策 ； 連續機率比檢定

並列摘要

Abstract:
In order to increase the efficiency of funds held by the government and work as a relief for the country and people, the government has been gradually moving its assets to delegated management to try to get better returns. However, from the experiences we’ve learned, neither domestic nor international managers can assure that the returns of a managed portfolio will beat the market index or exceed the returns gained by the government managing the portfolio itself . Therefore, how to effectively evaluate the performance of managers and decide whether to stay with or fire them during the delegation period is the most important topic of delegated management.
In this paper, we adopt Sequential Probability Ratio Test (SPRT) for the first time to try to find a way to effectively evaluate performance that is for the good of the principals. Our empirical data are the quarterly (monthly) returns of domestic-stock mutual funds from January 1998 to December 2005. We design contracts of four different delegation periods using monthly returns and quarterly returns to evaluate performance monthly (quarterly). We conclude as follows: (1) By using monthly returns to evaluate performance monthly, we find that the results of “accepting groups” are better than “rejecting groups”. (2) The results of using quarterly returns to evaluate performance are slightly better than using monthly returns to evaluate performance. (3) The results of monthly evaluation are better than quarterly evaluation, it shows that more frequent evaluation is better for the good of the principals. (4) Delegation periods shouldn’t be too long, long delegation periods are not good for the principals.

並列關鍵字

Public Service Pension Fund ； Performance Evaluation ； Domestic-stock Mutual Funds ； Delegated Management ； Optimal Stopping Decision ； Sequential Probability Ratio Test

參考文獻

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