臺灣博碩士論文加值系統

本文提出一項新的基金經理人的主動操作能力的衡量指標，即基金經理人評估製造業採購經理指數的能力 (Ability of Evaluating Purchasing Managers' Index, APMI)。若基金經理人能夠預測製造業採購經理人指數進而調整其基金內產業持股比例，則能創造基金價值。本文以2012-2018年間的台灣股票開放式一般型基金為樣本，在考量基金規模、費用率、週轉率等橫斷面基金特性後，我們發現高APMI的基金有較佳的績效。平均而言，APMI排名前 30% 的基金相較於排名後 30% 的基金可多賺取約1.120%的月報酬。另外我們也發現基金經理人的評估製造業採購經理人指數的能力具有持續性。

This study proposes a new measure of fund manager's ability, the ability (APMI) of the fund managers to evaluate the Purchasing Managers' Index (PMI). If fund managers can evaluate PMIs and then adjust their holdings, they tend to be able to create the value for fund investors. Analyzing a sample of Taiwan domestic equity funds over a period of 2012 - 2018, we find that the funds with higher APMI have better future performances after considering the fund characteristics such as fund size, expenses, and turnovers in the cross-section. On average, the top 30% funds with greater APMI earn returns about 1.120% more than the last 30% funds, respectively. In addition, we also find that the ability to evaluate PMIs persists for these funds.

第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究流程 5
第貳章 文獻探討 7
第一節 基金經理人操作能力 7
第二節 採購經理指數 12
第參章 研究方法 13
第一節 研究程序 13
第二節 資料來源與變數定義 19
第肆章 實證結果分析 23
第一節 樣本及PMI指數、APMI指數敘述性統計 23
第二節 APMI持續性檢驗 24
第三節 APMI預測未來基金績效 25
第四節 APMI的影響因素 27
第伍章 結論 29
參考文獻 31

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