共同基金分類與基金績效持續性之研究

Mutual Funds Classification Schemes and Performance Persistence

林清珮(Ching-Pei Lin) ； 邱顯比(Shean-Bii Chiu)

《中國財務學刊》 7卷2期 (1999/08) Pp. 63-88

https://doi.org/10.6545/JoFS.1999.7(2).3

摘要

本研究試圖發展出具有績效持續性的基金分類方式，特別是績效反轉的問題必須能妥善解決。實證研究樣本包括美國1992年至1997年間3,981支股票型基金。應用因素分析法結合基金投資組合特徵資料如標準差、市價帳面價值比、平均報酬率、類股持股比例等，我們發展出穩定且持續性較Morningstar原有分類為佳的方式。但如同相關文獻所載，在某些時間仍有顯著的績效反轉現象。為了克服這個問題，我們衡量每一個基金追漲殺跌的強度並將之加入因素分析中。在加入追漲殺跌策略變數後，績效反轉的問題獲得大幅改善，顯示基金之操作策略應為分類時之重要因素。

關鍵字

共同基金 ； 分類 ； 續效持續性 ； 追漲殺跌策略

並列摘要

This paper develops mutual funds classification algorism under which higher degrees of performance persistence within the same fund class may prevail. Specifically, we hope to find a classification scheme that does not exhibit the problem of performance reversals. Our sample includes 3,981 equity funds from 1992 to 1997. Funds' standard deviation of monthly returns, average portfolio price/book ratio, average ROA, as well as stock holding ratios of major sectors are used in a factor analysis. The resulting four fund styles are stab le and they are better in terms of performance persistence comparing to the Morningstar classification. However, consistent with prior researches, there are still some significant reversals of past performance. After we add a variable representing the degree of a fund's momentum strategy to the factor analysis, the previous performance reversals are largely removed. This result shows that fund s dynamic investment strategies should also be included when determining funds' styles.

並列關鍵字

Mutual Funds ； Classification ； Performance ； Persistence ； Momentum