最適基金規模與最適投資規模

共同基金為投資人重要投資工具之一，面對琳瑯滿目的基金時，投資人應如何挑選出適合自身且報酬率高之共同基金為一項重要之議題。因此，探討共同基金相關課題之研究也隨之大幅增加。先前研究大都探討基金規模與基金績效之間的關聯性，本文更進一步探討基金規模、投資標的規模、基金績效三者之間的關係，希冀能提供後續投資人作為選擇基金時之參考。本文以 2005年至2009年之國內開放式股票型基金為研究對象，採用資料包絡分析法評估基金績效，產出項為基金年報酬，投入項為直接交易費成本率、累計買進及賣出週轉率、成本費用率。研究結果顯示基金規模與基金績效之間呈正相關，且發現投資時有規模效應現象，即不論基金規模大小，投資在規模較小之標的能夠得到較高的報酬。另外，實證結果亦指出基金具有最適規模，即規模過大會使基金績效變差，因此建議後續投資人應投資在規模較大的基金而非規模最大的基金。

關鍵字

共同基金；資料包絡分析法；規模效應；最適規模

並列摘要

The mutual fund is one of the important investment tools for investors. Faced with an array of funds, how the investors choose a mutual fund with a high rate of returns which fits themselves is an essential issue. Therefore, the studies of mutual fund related issues significantly increase. Most of previous studies investigated the relationship between fund size and fund performance. The relationship among fund size, investment objective size and fund performance is further investigated in this study with the aim of providing a fund selection reference for investors in the future. The research subjects in this study are the domestic open-ended equity fund from 2005 to 2009. DEA is used to evaluate fund performance, and the output variable is total fund returns and the input variables are direct transaction cost rate, cumulative buying and selling turnover rates and cost rate. The results demonstrate that there is a positive correlation between fund size and fund performance. In addition, there is a size effect during investment, which means that regardless of fund size, smaller investment acquires higher returns. Besides, the empirical results also show that optimal size exists in fund, which means when the size is too big, the fund performance would be poor. As a result, it is suggested that follow-up investors should invest funds bigger but not the biggest in size.

並列關鍵字

Mutual Fund ； Data Envelopment Analysis ； Size Effect ； Optimal Size

參考文獻

Shih, Y. H. “The Evidence of Size Effect in Asia and BRICs Markets.” Department of Financial Operations Thesis, National First University of Science and Technology, 2008.

Chiu, Y. H., Y. C. Chen, S. Chen, and K. F. Chen. “Taiwan Mutual Fund Efficiency Estimation.” Soochow Journal of Accounting 1, no.1 (2008): 29-52.

Andersen, P. and N. C. Petersen. “A Procedure for Ranking Efficient Units in Data Envelopment Analysis.” Management science 39, (1993):1261-1264.

Ang, J. S. and C. R. Chen. “Mutual Fund Manager`s Efforts and Performance.” Journal of Investing 7, no.4 (1998): 68-75.

Artzner, P., F. Delbaen, J. M. Eber, and D. Heath. “Coherent measures of risk.” Mathematical Finance 9, no.3 (1999): 203-228.

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最適基金規模與最適投資規模

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