研究資源、基金週轉率與績效關聯性之研究

Abstract

本文旨在探討基金週轉率之高低是否影響其操作績效，以及經理人研究資源多寡是否影響基金之週轉率及績效。研究期間自2005年1月至2014年12月為止，研究對象包括台灣地區投資國內股票型共同基金，計有117個樣本，藉以觀察基金週轉率與績效之關聯性，實證結果發現：高週轉率基金的交易費用較高，操作績效較差。另外，以2010年1月至2014年12月共117檔台灣之投資國內股票型共同基金及32家投信為樣本，分析經理人研究資源對週轉率與績效之影響，發現研究資源與週轉率呈反比、但與操作績效則呈正比，此一結果顯示當經理人擁有較多資源時，由於易獲取可賺取超額報酬的資訊，故可有效減少週轉率並降低交易費用，使基金操作績效較佳。

This paper examines the interaction between mutual fund performance and portfolio turnover by using 117 Taiwan domestic equity mutual funds data from the time period of 2005 to 2014. Empirical result indicates that funds with higher portfolio turnovers exhibit higher transaction costs and inferior performance compared with funds having lower turnovers. Furthermore, we use the data of 117 Taiwan General Equity Mutual Funds from 2010 to 2014 and 32 asset management firms to investigate the correlation among the research resource, mutual fund performance, and its portfolio turnover. We found that there is a significantly negative relationship between the research resource and portfolio turnover. Moreover, there is a positive relationship between the research resource and fund performance in corresponding period of time. The findings support the assumptions that fund managers who have more resources are easily to get information which can help them win excess returns. By getting useful information, fund managers can have less transaction costs, lower portfolio turnover and better fund performance.