臺灣博碩士論文加值系統

隨著投信家數的日益增多及基金種類的多元化，投資人該如何選擇基金才能享有優於市場的報酬？影響基金績效的特性因素和基金績效持續性存在與否，都是重要的考量因素。如果投資人瞭解哪些特性因素會影響基金績效的表現和彼此間的影響關係，或基金績效持續性的確存在，則投資人在選擇投資標的時，可以依據這些基金特性因素或基金過往的績效表現來作出正確的投資選擇。

本研究主要探討在不同績效評估指標與不同基金類型下，影響股票型基金績效的特性因素，研究期間為2002/1/1至2007/6/30，共選取110支國內股票型基金樣本為研究對象，資料型態為月資料，並將全部股票型基金樣本分類為：一般型、科技類、中小型、其它型、高績效、低績效，以不同基金類型來探討基金績效與各特性因素之影響關係。特性因素包括系統風險、淨值波動程度、淨流量比率、週轉率、費用率、每人平均投資金額和基金操作能力；績效評估指標為基金淨值報酬率與Jensen Index。利用Panel Data模型，同時採用時間序列和横斷面之縱橫資料來進行實證分析，再以Spearman等級相關係數來檢定基金績效分別以不同績效評估指標衡量，以及在不同的觀察期間下，國內股票型基金基金績效是否具有持績性。在樣本研究期間下，本研究所得到的實證結果有下列幾項:

一、影響基金績效之特性因素方面：
1、系統風險、每人平均投資金額、基金操作能力與基金績效皆呈正向關係；淨流量比率、費用率與基金績效皆呈負向關係。
2、淨值波動程度與（未經風險調整）基金績效皆呈負向關係；但與（經風險調整）基金績效皆呈正向關係。
3、週轉率與（未經風險調整）基金績效呈正向關係；但與（經風險調整）基金績效皆呈負向關係。
4、在各種基金樣本下，淨值波動程度、淨流量比率、週轉率、費用率、每人平均投資金額、基金操作能力與基金淨值報酬率皆呈顯著相關；系統風險、每人平均投資金額、基金操作能力與Jensen Index皆呈顯著正向相關；每人平均操作金額、基金操作能力與此2種基金績效指標皆呈顯著正向關係。

二、基金績效持續性方面：
1、國內股票型基金的績效在研究期間內，大部份具有持續性。
2、績效評估指標以經風險調整會比以未經風險調整來衡量，基金績效的持續性越顯著，顯示國內股票型基金使用不同的績效評估方式，所得結果具有差異性；以Jensen Index和Sharpe Index、Treynor Index所衡量的績效排名結果及顯著性十分近似。
3、分別以不同的績效評估指標，基金淨值報酬率Jensen Index、Sharpe Index、Treynor Index來衡量基金績效是否具持續性時，若觀察期間以一年期衡量會比以二年期衡量，亦即觀察期間較短，基金績效的持續性越顯著。

As securities investment trust companies mushroom and their types of funds are diversified today, how should investors select a fund that could outperform the market? It would be important for investors to consider those characteristic factors that affect fund performance and whether such performance is persistent. If investors understand which characteristic factors could affect fund performance and their interactive relationships, or if the fund performance is persistent, investors could make a right investment choice based on those characteristic factors or the fund’s historical performance.

This research mainly explores the characteristic factors that affect equity fund’s performance by different performance assessing measures and different fund types. A total of 110 equity fund samples have been selected and studied with a monthly study period from January 1st 2002 to June 30th 2007. These equity funds are classified into several types, such as general, tech, small-and-medium, others, good-performance, and poor-performance ones. We use various fund types to study the interaction between fund performance and all characteristic factors, which contain systematic risk, net worth volatility, net flow ratio, turnover ratio, expense ratio, average investment amount for each person, and fund manager’s capability. The measurement of fund performance is the rate of return in fund’s net worth and Jensen Index. We use Panel Data as our model and also adopt time sequence and intersectional data to conduct an empirical analysis, followed by using Spearman’s rank correlation coefficient to test fund’s performance. We employ various performance measuring indicators to observe if the performance of equity funds is persistent.

During the research period of the samples, we observe the following empirical results .

(1) The characteristic factors that affect equity fund performance:

1. Systematic risk: Average investment amount for each person, fund manager’s capability both have a positive correlation with fund’s performance. Net flow ratio and expense ratio both have a negative correlation with fund’s performance.
2. Net worth volatility has a negative correlation with fund’s performance (before risk-adjustment) but has a positive correlation with fund’s performance (after risk-adjustment)
3. Turnover ratio has a positive correlation with fund’s performance (before risk-adjustment) but has a negative correlation with fund’s performance (after risk-adjustment)
4. Each fund sample, net worth volatility, net flow ratio, turnover ratio, expense ratio, average investment amount for each person, and fund manager’s capability all have a significant correlation with the rate of return in fund’s net worth; systematic risk, average investment amount for each person, and fund manager’s capability has a significant positive correlation with Jensen Index; average investment amount for each person and fund manager’s capability both have a positive correlation with such two kinds of fund performance.

(2) Persistence fund performance:

1. Most of the equity fund performance is persistent during our research period.
2. The performance measuring indicators with risk adjustment shows a more persistence fund performance than without risk adjustment, suggesting that a different result could be generated if a different way is used to measure equity fund’s performance; however, we obtain a much similar ranking result and significance of fund performance by using the indicators such as Jensen Index, Sharpe Index, and Treynor Index.
3. When we use various indicators for measuring performance, rate of return in fund’s net worth, Jensen Index, Sharpe Index, and Treynor Index to determine if the fund performance is persistent, we observe a more significant persistence performance in one-year measuring period (i.e., shorter-term period) than was the case under two-year measuring period.

中文摘要 ------------------------------------------- i

英文摘要 ------------------------------------------- iii

誌謝 ------------------------------------------- v

目錄 ------------------------------------------- vi

表目錄 ------------------------------------------- viii
圖目錄 ------------------------------------------- x
第壹章 緒論--------------------------------------- 1
第一節 研究背景與動機----------------------------- 1
第二節 研究目的----------------------------------- 5
第三節 共同基金的簡介----------------------------- 7
第四節 研究架構與流程----------------------------- 14
第貳章 文獻探討----------------------------------- 16
第一節 基金績效評估之研究------------------------- 16
第二節 基金特性因素之研究------------------------- 19
第三節 基金績效持續性之研究----------------------- 22
第四節 Panel Data模型之相關研究-------------------- 26
第參章 研究設計與方法----------------------------- 29
第一節 研究樣本、期間及資料來源-------------------- 29
第二節 研究變數----------------------------------- 31
第三節 研究方法----------------------------------- 38
第四節 研究假說及實證模型------------------------- 50
第肆章 實證結果與分析----------------------------- 53
第一節 敘述統計----------------------------------- 53
第二節 線性重合檢定------------------------------- 57
第三節 基金淨值報酬率與各變數關係之實證分析------- 58
第四節 Jensen Index與各變數關係之實證分析---------- 70
第五節 基金績效指標與各變數關係之比較分析--------- 82
第六節 基金績效持續性檢定------------------------- 85
第伍章 結論與建議--------------------------------- 91
第一節 研究結論----------------------------------- 91
第二節 研究限制----------------------------------- 97
第三節 研究建議----------------------------------- 97
參考文獻 ------------------------------------------- 99
附錄一 本研究樣本明細分類表----------------------- 104

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