台灣得獎基金之未來績效持續性

Abstract

台灣每年各大基金獎項之得獎名單，廣受媒體、投信業者、投資人關注。作為一般大眾挑選共同基金標的之參考依據，獲獎基金是否在未來也能夠持續賺取更好的績效，成為值得討論的議題。過去雖有學者研究基金績效持續性相關議題，卻並未深入探索基金獎與未來績效的關聯。 本研究蒐集2008年至2016年傑出基金金鑽獎國內三年期獎項、晨星暨Smart智富台灣基金獎獲獎名單，使用國內股票型基金為樣本，以t檢定及迴歸方式探討共同基金獲獎次數多寡與未來六個月、一年期、二年期、三年期基金報酬率、Sharpe Ratio、Treynor Index的關係。 實證結果顯示，基金獲獎次數對於未來績效有顯著的正向影響，而且，基金獲獎次數愈多，未來三年期績效表現愈好。此外，本研究亦發現相較於金鑽獎，晨星暨Smart智富台灣基金獎的獲獎基金對未來績效的預測性更為明顯。

The winners of fund awards become the focus of the media, mutual fund companies, and investors in Taiwan. As these winners are one of the references for the general public when it comes to picking which funds to be invested in, whether the awarded funds can keep generating better performance in the future becomes an important issue. This study collects the winners of Taiwan’s Best Fund Awards, Morningstar and Smart Taiwan Fund Awards from 2008 to 2016. This paper develops regression models to identify the relationship between awarded funds and its future performance which is measured by net asset returns, Sharpe Ratio, and Treynor Index. The empirical result shows that the number of times mutual funds win the awards positively forecasts mutual fund’ s future performance. The study also finds that the relationship is stronger between the Morningstar and Smart Taiwan Fund Awards than Best Fund Awards.