共同基金績效影響因素之夏普指標-VaR模型分析

The Determinants of Mutual Fund Performance by Combing Sharpe Ratio-VaR Model

林美岑(Mei-Tsen Lin)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2005年)

https://doi.org/10.6840/cycu200500278

摘要

風險值用於衡量各種資產的下方風險，也使用於共同基金之風險評估。近年來許多學者利用排名比較傳統Sharpe指標、以風險值取代標準差的共同基金績效指標和其他績效指標。而本研究則探討影響風險值取代標準差的績效指標、以標竿指數報酬取代無風險利率績效指標、投資組合相對標竿指數風險值績效指標和傳統的Sharpe指標的影響因素及比較其影響差異。研究發現無論是股票型基金或債券型基金相關變數（如：股票型基金管理費用率及其他費用率，債券型基金的年齡及經理人過去操作經驗等）皆對Sharpe指標影響較大，可知傳統Sharpe指標有低估風險的情形。在股票型基金影響因素方面，發現管理費用率及其他費用率對績效的影響很大；其次是買賣週轉率及基金年齡。故投資人應選擇低費用率，高買入週轉率、低賣出週轉率及基金成立年限短的基金進行投資。投資人如想獲得超越大盤的績效，則應注意經理人交易策略即買賣週轉率及基金公司收取的費用。投資人想獲得高債券型基金績效則可選擇高其他費用率、低管理費用率、經理人過去操作經驗多、和基金成立超過五年之債券型基金。為獲得相對風險下的超額報酬則應注意基金本身的投資比率。

關鍵字

夏普指標 ； 共同基金 ； 風險值 ； Panel Data

並列摘要

Value at Risk not only measures downside risk of various assets, but also measures mutual fund’s risk. Recently, many researchers compare the ranking between traditional Sharpe Ratio, value at risk (VaR)-Sharpe Ratio and other performance indexes. This Paper analyzes the determinations of mutual fund performance including VaR-Sharpe Ratio, Benchmark return instead of risk -free rate performance index, Benchmark-Relative Value at Risk performance index and traditional Sharpe Ratio. We compare the differences among these performance index’s influences. The results show that the relative variables (for example: management expense ratio and other expense ratio of stock mutual fund, fund age and experienced manager of bond fund) have greater influences to Sharpe Ratio. This suggests that traditional Sharpe Ratio has an underestimation of risks.
Regarding determinants of stock fund, we found both management expense ratio and other expense ratio have better performance. The influences of Buy Turnover, Sell Turnover and Fund age come next. Investors should select stock funds with the lower expense ratio, lower sell turnover, and higher buy turnover and fund with shorter age. If investors want to gain better returns surpassing benchmark returns, they shall pay more attention to trade strategy related Buy /Sell Turnover and expense ratio charged by the fund company. If the investors who want to gain higher performance in bond funds, they can select higher other expense, lower management expense ratio, more experienced manager, and longer fund age with more than five years. To gain excess returns in benchmark-relative value at risk, they must consider the fund’s invest ratio as well.

並列關鍵字

Value at Risk ； Panel Data ； Mutual fund ； Sharpe Ratio

參考文獻

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