得獎基金績效評估與持續性分析

Abstract

共同基金是目前大眾投資工具之一,特點為「共聚資金、共擔風險、共享投 資利潤」,最大的特色在於投資風險的分散,以降低市場風險和波動性。本研究 以國內開放式股票型基金作為研究標的,分析基金得獎對於後續績效持續性的影 響程度,作為投資人選擇投資標的的參考依據之一。 本篇研究以 2010 年至 2016 年間金鑽獎國內股票型得獎基金為研究標的,透 過 Fama and French 三因子模型來評估得獎基金是否俱有超額報酬,並先利用相關 係數及變異數膨脹因子檢測迴歸模型因子間不具共線性,實證結果顯示,Fama and French 三因子迴歸模型之因子間共線性問題程度低,且得獎基金是俱有超額報酬 的。在得獎基金績效持續性研究部分,依研究評估期間,分成六個月、一年、三 年以及五年,分別進行基金績效持續性分析,並針對得獎基金的淨值報酬率、基 金績效排名兩個基金績效指標做研究分析,透過無母數檢定分析方法-Wilcoxon Signed Rank Test,實證結果顯示,國內股票型得獎基金不論在短、中、長期下皆 不俱有績效持續性。

Mutual fund, one of the financial instruments the public use, has characteristics of fund convergence, risks sharing, as well as profit sharing. The predominant attribute lies in risk diversification with which we can lower market risks and volatility. This paper examines the degree of impact that mutual fund award has on the fund’s persistency of performance for future reference. Awarded domestic open-end equity funds from 2010 to 2016 were used as the research subjects. The Fama-French Three-Factor Model was adopted to evaluate whether a fund has excess return. The results indicate that the awarded funds have excess returns and that the degree of multicollinearity among the variables of the regression model is proved to be small by correlation coefficients and variance inflation factors. As to the persistency of awarded fund performance, the assessment period was divided into six months, one year, three years, and five years for further analysis. The NAV return and fund performance ranking were used as fund performance indexes for the non-parametric Wilcoxon Signed Rank Test. The empirical evidence suggests that persistent performance of domestic awarded equity funds does not exist no matter in the short, medium, and long run.