臺灣博碩士論文加值系統

生命週期基金為近期熱門的退休規劃投資工具。實務上，生命週期基金其持股，絕大多數是以同基金家族內之基金組合而成。本研究以該類型基金之持股進行基金績效之檢驗，也進一步探討在如同組合型基金之架構下，可能衍生之外部性：包含(1)生命週期基金之投資，對屬於同一家族之成份基金，其現金流量之挹注，是否具有顯著影響，及(2)成份基金因而包含短期及長期投資者，基於長、短期投資者其流動性不同，本文進一步探討當成份基金面臨大量流動性交易(liquidity trading)，其大額現金流出對生命週期基金報酬率之影響。實證結果顯示，生命週期基金確實存在績效不佳之情形，因此，若成份基金為同類型績效較好者而非同家族基金，績效可以顯著改善。當生命週期基金之成份基金發生大量的贖回時，則會對生命週期基金下一期的績效產生顯著負面的影響，這種負面的外部性來自於流動性成本。

Life-cycle fund is the most popular and relatively new retirement vehicle nowadays. In practice, the majority of life-cycle funds are built on fund-of-fund structure, and the component funds of the life-cycle funds are selected from the same fund family. This study contributes to provide in-depth examination by exploring the possible conflicts of interest embedded in such fund-of-fund structure of life-cycle funds. Firstly, this study investigates the performance of the life-cycle funds'' component funds in comparison with the external mutual funds. Secondly, incorporating family-member funds into a life-cycle fund is similar to re-packaging the existing funds of fund family and re-selling them to new investors through life-cycle funds. Thus the second purpose of this study is to examine the spillover effect associated with incremental cash flows of components funds resulting from the inflows of life-cycle funds. Thirdly, the fund-of-fund structure binds together investors with different investment horizons, where life-cycle fund investors have longer investment horizons and less liquidity needs than component fund investors. The third purpose of this study is to examine the externality associated with the negative effect of liquidity-motivated trading in component funds on the return performance of life-cycle funds. Overall, this study finds that life-cycle funds exhibit an under-performance pattern, implying that incorporating family-member funds into a life-cycle fund damages retirement savings in the long run. In addition, the heavy outflows of component funds will lead to the inferior performance of the life-cycle fund in the next period, which is the liquidity cost resulting from pooling investors with different investment horizons.

摘要 iii
ABSTRACT iv
1. Introduction 1
2. Background of Life-Cycle fund 4
3. Literature Review and Hypotheses 5
4. Data & Methodology 8
4.1 Data 8
4.1.1 Summary statistics 9
4.2 Methodology 10
4.2.1 Life-cycle fund performance 10
4.2.2 Flow-to-Flow Externality 11
4.2.3 Flow-to-Performance Externality 13
5. Empirical Results 14
5.1 Life-cycle fund performance 14
5.2 Flow-to-flow externality 15
5.3 Flow-to-performance externality 15
6. Conclusion and remark 16
Reference 18
AppendixⅠ：Issuing profile of Life-Cycle Funds, 2009 26

Table I Summary statistics for life-cycle fund, 2002Q4 -2009 20
Table II Summary statistics for annual UPV of life-cycle fund 22
Table III Annual UPV based on all samples, sub-sample and sub-period 23
Table IV The flow-to-flow externality 24
Table V The flow-to-performance externality 25

1.Agnew, Julie, Pierluigi Balduzzi, and Annika Sunden, 2003, Portfolio choice and trading in a large 401(k) plan, American Economic 93, 193-215
2.Alexander, G., Cici, G., and Gibson, S., 2007. Does motivation matter when assessing trade performance? An analysis of mutual funds, Review of Financial Studies 20, 125-150
3.Charlson, J., Falkof, D., Herbst, M., Lutton, L. P., & Rekenthaler, J., 2010,“Target-Date Series Research Paper: 2010 Industry Survey”, Morningstar
4.Chen, Q., Goldstein, I., Jiang, W., 2010. Payoff Complementarities and financial fragility：Evidence from mutual fund outflows, Journal of Financial Economics 97, 239-262
5.Chordia, Tarun, 1996, The structure of mutual fund charges, Journal and Financial Economics 41, 3-39
6.Edelen, R.M., 1999. Investor flows and the assessed performance of open-end mutual funds, Journal of Financial Economics 53, 439-466
7.Johnson, W.T., 2004, Predictable investment horizons and wealth transfers among mutual fund shareholders, Journal of Finance 59 , 1979-2011.
8.Madrian, Brigitte C., and Dennis F. Shea, 2000, The power of suggestion：Inertia in 401(k) participation and saving behavior, Quarterly Journal of Economics 116,1149-1187
9.Mitchell, Olivia S., Gary R. Mottola, Stephen P. Utkus, and Takeshi Yamaguchi,2008, Menu Effects and Retirement Saving：The Impact of Life Cycle Funds on 401(k) plan Portfolios
10.Nanda, Vikram, M. P. Narayanan, and Vincent A. Warther, 2000, Liquidity, investment ability, and mutual fund structure, Journal of Financial Economics 57, 417-443
11.Nanda, Vikram, Z. Jay Wang, Lu Zheng, 2004, Family values and the star phenomenon, Review of Financial Studies 17, 667-698.
12.Sandhya Vallapuzha, 2010, Agency Problems in Target-Date Funds, Working Paper, Georgia State University.
13.Sirri, Erik R., and Peter Tufano, 1998, Costly search and mutual fund flows, Journal of Finance 53, 1589-1622.
14.Viceira, 2008, Life-Cycle Funds, in：Lusardi (ed.), Overcoming the saving slump：How to increase the effectiveness of Financial Education and Saving Programs. Chicago and London：The University of Chicago Press, 140-177.