基金週轉率與績效之關係－以國內基金為例

Abstract

週轉率越低，代表基金經理人越偏向採取買入且持有的投資策略，而週轉率越高，則代表基金經理人越頻繁換股，若經理人積極買進賣出，乃有效地應用公司研究資源，亦或是能針對市場變動，適時調整基金投資組合，則其持股之表現應可抵銷掉因操作頻繁而提高之交易成本，而使基金之績效較佳；但若週轉率之提高，是來自經理人不斷地修正之前錯誤的投資決策，手續費及稅負等交易成本將侵蝕基金之獲利。 本文有別以往文獻多採橫斷面分析，或僅將週轉率視為績效之解釋變數之一，以單一輸入轉換函數模型探究基金週轉率與績效之關係，結果發現少數基金具有週轉率延遲反應於績效之情形，且最長延遲反應期間不超過三個月。另外，對於少部分個別基金，週轉率對於績效具有解釋能力，但整體而言，週轉率與績效並無顯著相關。

This paper studies the relationship between the turnover rate and the performance. The lower the turnover rate is, the more likely the fund manager adopts the buy-and-hold strategy. On the other hand, the higher the turnover rate is, the more frequently the fund manager changes the securities of the fund. If the fund manager actively manages the fund by effectively exploiting research resources or successfully timing the market, not only transaction costs may be offset by the gains from the holdings, but also the fund performs better. However, if the high turnover rate is due to the manager’s continuous corrections of past investment mistakes, transaction costs such as fees and taxes will corrode the fund’s profits. Different from past literatures which adopt cross-sectional analyses or view the turnover rate as just one of the independent variables employed, this paper uses uni-input transfer function model to analyze the relationship between the turnover rate and the performance. The results suggest that although the turnover rates can be used to explain the performances for some specific funds, the relationship between the turnover rate and the performance is not significant on the whole.