年度競賽觀點下共同基金經理人風險調整行為之研究

A Study of the Mutual Fund Managers' Risk-Adjusted Behavior on the Basis of Tournament Concept

王健安(Chien-An Wang)

《風險管理學報》 3卷2期 (2001/11) Pp. 47-83

https://doi.org/10.30003/JRM.200111.0002

摘要

本研究將國內共同基金市場的環境，比喻為持續的激烈年度競賽，探討年度中的定期績效評估系統，對於基金經理人所持投資組合風險調整的影響，以檢驗其是否具有自利性風險調整的行為傾向。研究結果發現：1.不管評估期前累積績效是屬於贏家或輸家的經理人，在越接近年終總績效結算時，會偏向選擇一個高風險的操作水準，同時，上述特性在非外資型投信公司所發行的基金、新基金、小規模基金、資淺經理人所操盤的基金特別明顯。2.基金投資人對於短期績效的過分重視，是導致經理人操作風險調整幅度偏高的主要原因之一。

關鍵字

年度競賽 ； 共同基金經理人 ； 風險調整行為

並列摘要

This paper analyzes the risk-adjusted behavior of mutual fund managers on the basis of tournament concept. The competitive environment and the reward structure make the managers attempt to maximize their expected compensation. During the assessment period, they may revise the risk level or alter the composition of portfolio to achieve the aims. Such risk-adjusted behavior might not serve the best interest to mutual fund investors. The evidence suggests that managers with poor performance will become aggressive, and they tend to increase the portfolio volatility toward the end of the annual assessment period. This result is more obvious for small and younger mutual funds. It is also involved with the investors' myopic of an assessment to the managers' performance.

並列關鍵字

Tournament ； Mutual Fund Managers ； Risk-Adjustment Behavior