臺灣博碩士論文加值系統

Brinson, Hood, and Beebower (1986) 及Brinson, Singer, and Beebower (1991) 認為共同基金的投資績效裡有90％以上取決於資產配置（asset allocation）決策，而且此結果也一直被高度引用。Fama (1972) 和Jensen (1972) 指出基金經理人會根據其對市場的預期而調整共同基金的曝險程度（risk exposure），Fama (1972)更進一步建議可將基金經理人的預測能力區分為選股能力（selectivity ability）和擇時能力（timing ability），然後後續研究驗證資產配置、選股和擇時能力對共同基金績效的影響，實證結果卻仍存在許多爭議。本研究針對國內股票型共同基金重新探討並分析資產配置對基金績效的影響，除利用Brinson, Hood, and Beebower (1986) 的方法檢驗共同基金的績效外，亦納入Sharpe、Treynor和Jensen指數以及Treynor-Mazuy (1966) 模型作為比較。
台灣國內股票型共同基金共七類，本文針對2003年1月至2011年12月的樣本期間內進行研究，基金數合計為135檔，主要採用Brinson, Hood, and Beebower (1986) 的方法進行分析。實證結果顯示資產配置對基金報酬變異的解釋程度約77%，和先前研究的結論存在差異，原因可能來自於基金類型的不同，但也顯示基金經理人的積極管理的確能影響基金績效。若將進一步將樣本區分成金融風暴期間和之前比較，實證結果顯示在金融風暴之前，資產配置對報酬變異的解釋程度為66%，金融風暴期間則增加至85%，顯示做好資產配置將有助於管理投資績效，尤其當市場下跌時更能顯現其效用。

Brinson, Hood, and Beebower (1986) and Brinson, Singer, and Beebower (1991) found that over 90％ mutual fund performance could be explained by asset allocation. Their studies have been cited frequently in existing research. Fama (1972) and Jensen (1972) pointed that fund managers are able to adjust risk exposure through predicting the market. Fama (1972) suggested that fund managers’ abilities can be divided into two parts: selectivity ability and timing ability. However, the empirical results in previous studies reported inconsistent inferences. In this paper, we utilized the method proposed by Brison, Hood, and Beebower (1986) to reexamine and analyze the influence of selectivity ability, timing ability, and asset allocation on the equity fund performance in Taiwan. In additional to Brinson, Hood, and Beebower’s (1986) method, this study also checked the performance of the traditional methods, including Sharpe, Treynor and Jensen ratio and Treynor-Mazuy model.
The empirical result presented that the fund performed better than the market in Sharpe and Treynor indices during the sample period, 2003-2011. The result from Treynor and Mazuy (1966) and Brinson, Hood, and Beebower (1986) showed that the active management of fund managers has positive but little contribution on the fund performance. Different from the Brinson, Hood, and Beebower (1986), asset allocation can only explain about 77% variation of fund returns. Some of reasons may be from the fund style and data frequency. Moreover, we examined the difference for the influence of asset allocation between two periods: before the US subprime crisis (2003/January-2007/June) and during the US subprime crisis (2007/July-2009/ December). The sample before the crisis indicated that asset allocation explained about 66% variation in fund return. However, the sample during the crisis even explained on average 85% variation. The empirical result proved that a good strategy on asset allocation is contributive to manage mutual fund performance, especially for a downward market.

第一章 緒論
第一節 研究背景…………………………………………………1
第二節 研究動機與目的…………………………………………2
第三節 研究架構…………………………………………………5
第二章 共同基金的歷史與文獻探討
第一節 共同基金歷史回顧………………………………………6
第二節 資產配置對績效之影響……………………………… 12
第三章 研究方法
第一節 資料來源與研究期間……………………………………16
第二節 實證模型…………………………………………………18
第四章 實證結果與分析
第一節 傳統指標實證結果………………………………………24
第二節 Treynor – Mazuy模型實證結果……………………… 27
第三節 BHB模型實證結果…………………………………… 28
第四節 實證結果比較與分析……………………………………31
第五章 結論與建議
第一節 結論………………………………………………………34
第二節 建議………………………………………………………35
參考文獻 ………………………………………………………………36
附錄 ……………………………………………………………………39

中文文獻
1.邱顯比（2006）：基金理財的六堂課，臺北，天下遠見出版股份有限公司，pp. 61-68。
2.陳登源、巫慧燕、黃建勝（2007）：基金管理，台北，雙葉書廊。
3.游智賢、姚瑜忠（2000），「台灣共同基金操作策略之研究」，財務金融學刊，第8卷，第2期，pp. 49-76。
4.廖宜隆（2001），「共同基金操作績效相關研究介紹」，台灣證券交易所証交資料，第470期
5.林美珍（2004），「台灣市場共同基金之競賽：風險承擔、週轉率與投資人報酬」，財務金融學刊，第12卷，第2期，pp. 87-143。

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