共同基金績效之研究

A study for the performance of mutual funds

黃佩君(Pei-Chun Huang)

指導教授 ： 張麗娟

國立虎尾科技大學/管理學院/經營管理研究所在職專班/碩士(2010年)

摘要

經濟學上假設市場是有效率的，人是理性的，但逐漸的被行為財務學所質疑，學者研究指出投資者在做決定時，會受心理因素及過去經驗的影響，在股票市場上追高殺低，無法適當的逢低買進、逢高賣出，因此較難獲得高報酬。而透過投資共同基金，由基金經理人以較專業且中立的態度衡量風險及報酬，故本文將對共同基金橫斷面及縱斷面的績效報告書中，艱辛複雜難懂的數字彙整簡化，以提供投資者慎選基金時，作投資決策的重要參考依據。
研究樣本為國內開放式股票型基金，資料來源取自於TEJ台灣經濟新報、情報贏家及郵局定存，資料期間為1999年01月至2008年12月共計10年，以夏普指數和崔納指數為衡量基金績效指標。利用?述性統計、複迴歸分析、獨立樣本t檢定、單因子多變量統計分析、單因子變異數分析等統計方法，探討大盤牛、熊市、基金規模、元月效應、春節效應、第一季效應、基金經理人更換次數、基金成立年數、基金類型、申購費用、週轉率等對基金績效之影響。
實證結果分析顯示：
國內開放式股票型基金，會受大盤不同牛、熊市行情影響，基金績效及週轉率會隨大盤不同的上下漲跌而以同方向變動。共同基金週轉率和基金績效間無顯著性差異，頻繁的變更投資組合，基金績效不受其影響。大盤在牛市時，任何規模基金績效較大盤報酬率為高，且報酬率為正報酬；熊市時，任何規模基金績效較大盤報酬率更具抗跌性，但報酬率呈現負傾向。共同基金資本額規模對基金績效及週轉率具有顯著性差異。基金資本額規模對基金成立年數、基金經理人更換次數、申購手續費不具顯著性差異。基金績效在元月、春節及第一季並無顯著性差異，代表國內基金並無元月效應、春節效應及第一季效應。一般類型基金、科技類型基金及中小類型基金對基金績效、經理人更換次數、申購手續費、週轉率等較其他基金類型並無顯著性差異。但一般類型基金及中小類型基金對基金成立年數則具有顯著性差異，科技類型基金則對基金成立年數無顯著性差異。基金經理人更換次數對12個月之基金績效有顯著性差異，但對24個月基金績效則不具顯著性差異。代表短期的基金經理人更換次數對基金績效有影響，反之長期基金績效則不具顯著性差異。

關鍵字

股票型基金 ； 共同基金 ； 基金績效 ； 夏普指數 ； 崔納指數

並列摘要

It has been assumed in the field of economics, that markets are efficient and that humans act in a rational manner. However, these assumptions have gradually been questioned by behavioral finance. According to relevant studies conducted by academics, whether affected by psychological factors or past experiences, instead of bottom fishing and profit taking during highs, investors almost invariably buy high and sell low on the stock market, resulting in poor returns or even losses. However, investments made through mutual funds will be handled by fund managers who can measure risks and returns with a more professional and neutral attitude. This study has compiled and simplified the arcane and complicated figures which are shown in mutual funds’ cross and vertical performance reports, to provide investors with important investment references and to help them to discreetly select appropriate funds in their investment.
The study samples were local open-end stock funds, with data obtained from Taiwan Economic Journal (TEJ), Information Winner and the post office’s fixed investments. The data period covers 10 years, from January 1999 to December 2008. The Sharpe Index and Treynor Index were used to measure the funds’ performance and efficiency. In addition, statistical methods including descriptive statistics, multiple regression analysis, independent sample t-test, one-way multivariate analysis and one-way ANOVA were used to explore the influence of the bull market, bear market, fund scale, January effect, Chinese New Year Effect, first-quarter effect, fund manager replacement frequency, fund establishment years, fund type, subscription fee and turnover rate on fund performance.
The analysis of the empirical results revealed the following conclusions:
Local open-end stock funds can be affected by the bullish or bearish performance of the local stock market; fund performance and turnover rates also moved up and down in the same direction as the rise and fall of the local stock market. There were no significant differences between mutual funds’ turnover rates and fund performance; fund performance was also unaffected by frequent portfolio changes. When the stock market was bullish, funds in any scale usually performed better than the stock market, and their returns were positive. In the bear market, returns of funds in any scale were more resistant to falls than those of the stock market, but the returns showed a negative tendency. Mutual funds’ capitalization showed significant influence on fund performance and turnover rates. Fund capitalization showed no significant difference on fund establishment years, fund manager replacement frequency and subscription fee. Fund performance showed no significant difference in January, Chinese New Year and 1st quarter effects, indicating that domestic funds do not have January, Chinese New Year and first quarter effects. Compared with other types of funds, general funds, technology funds and medium and small cap funds did not exhibit significant difference in regard to fund performance, fund manager replacement frequency, subscription fees and turnover rates. However, general funds and medium and small cap funds showed significant difference in the fund establishment years, whereas technology funds showed no significant difference in the fund establishment years. Fund manager replacement frequency showed significant difference in funds’ 12-month performance, but no significant difference in 24-month performance, indicating that short-term replacement of fund managers had influence on fund performance, whereas long-term fund performance had no significant influence.

並列關鍵字

stock fund ； mutual fund ； fund performance ； Sharpe index ； Treynor index

參考文獻

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