平衡型共同基金績效評估與擇時能力研究

On the Performance Evaluation of Balanced Mutual Funds and the Market-Timing Ability of Mutual Fund Managers

林志娟(Jyh-Jiuan Lin) ； 江妙真(Miao-Chen Chiang) ； 張慶暉(Ching-Hui Chang) ； 溫博仕(Bor-Shyh Wen)

《智慧科技與應用統計學報》 3卷1期 (2005/06) Pp. 109-131

https://doi.org/10.29807/JTITAS.200506.0006

摘要

在目前金融商品眾多的投資市場中，共同基金因具有小額投資、分散投資風險、委託專家經營管理的優點，因此吸引許多投資人的參與。然而投資的目的即在追求額外的報酬，因此選擇績效佳的基金也相當重要。所以本研究以Treynor、Sharpe、Jensen提出的三種績效評估指標及使用Treynor & Mazuy和Henriksson & Merton兩種擇時能力模型來篩選較佳之基金。
本研究採用中華民國證券投資信託暨顧問商業同業公會的基金分類方法，針對其分類中之「債券股票平衡型－國內價值股票型」的12支基金進行研究。研究結果顯示，「債券股票平衡型－國內價值股票型」的基金波動較台灣加權股價指數低，且12支基金中，有半數以上的基金近年平均日報酬率高於銀行定存的平均日利率，Treynor Ratio、Sharpe Ratio及Jensen's Alpha三種績效評估指標與平均日報酬率能提供相似的評估結果，在本研究中的四種短期評估期間－近月、近季、近半年、近年，大部份基金經理人不具擇時能力，研究中所用的兩個擇時能力模式－Treynor & Mazuy模型、Henriksson & Merton模型的評估結果大部份是一致的。

關鍵字

共同基金 ； 績效評估 ； 擇時能力

並列摘要

In the current financial scenario investment through mutual funds has emerged as one of the most popular financial strategies. Mutual funds tend to attract investors due to the following advantages: (ⅰ) affordability, (ⅱ) diversification, and (ⅲ) professional management. Therefore, a great deal of efforts has been made on evaluating the mutual funds' performance. This article studies 12 domestic market -oriented mutual funds classified as balanced funds by the Securities Investment Trust & Consulting Association of R.O.C. Three indices, viz. Treynor Ratio, Sharpe Ratio, and Jensen's Alpha, have been used to evaluate the performance of the above-mentioned mutual funds in this research. In addition to this, two models, viz. Treynor & Mazuy model and Henriksson & Merton model, have been used to measure the market-timing ability of mutual fund managers.
The empirical result shows that the volatilities of the 12 funds are less than that of the broad market indicator. However, over half of the 12 funds' average daily returns are higher than average daily bank interest rate of term deposits. Moreover, the afore-mentioned three indices of performance measurement and average daily return offer the similar assessment result. Further, the empirical results according to the Treynor & Mazuy model are in agreement with that of the Henriksson & Merton model. Finally, in addition to the above conclusions, the empirical findings also show that most fund managers have no market-timing ability.

並列關鍵字

mutual funds ； performance evaluation ； market-timing ability