國內上市型開放式股票型基金績效持續性實證研究

Abstract

國內近幾年來金融投資工具愈來愈多，但一般投資人的風險意識並不會隨著新產品的誕生而較不重視，反而因為2000年後的國內股市持續低迷，再加上利率水準逐年調降，大家在做風險性投資時，也多會考慮其可能的波動幅度。本文即是希望能利用國內共同基金過去近五年的報酬率、年化標準差及β係數加以統計，看看是否會有哪些或哪一類的基金績效較有持續性？ 我們選擇「上市股票型基金」共43支為研究對象，期間為2000年至2004年，分析年初(1月及2月)和年中(7月和8月)共20個月之上市股票型基金的3個月、6個月、1年及3年報酬率，配合十二個月的年化標準差及β值，用多變量分析中的「集群分析法」將一般股票型基金分成四群。分別觀察每年1月至2月和7月至8月之三個月報酬率和六個月報酬率的表現是否有持續性。分析結論如下： (1)在總計的1720個樣本中，有1047個樣本績效有持續性，比例為60.87%。足見以此分類有一定的績效持續性；(2)若以績效最佳及最差的叢聚加以統計其績效持續性，發現當前其落在最佳叢聚者，下個月亦落在相同叢聚的機率為64%，而當前其落在最差叢聚者，下個月亦落在相同叢聚的機率為76.2%，足見在這段期間，績效最佳的基金持續性不如績效最差者； (3)基金經理人更換的頻率與績效有些許的負相關；(4)在平均年化標準差及β值方面，整體而言，看不出有規則或持續性存在。

Recently there are various kinds of investment instruments domestically. But the risk sensitivity of investors gets significantly generated as the new financial products. The investors will deliberate its volatility while confronting risk, since the domestic stock market remains dull and the interest rate remains low-stepping. This thesis avails of lately five-year return、annualized standard deviation and the ß coefficient to practice which or which types mutual fund hold persistence? We choose forty-three「Listed-Stocks」mutual funds as our research target during 2000 to 2004, analyzing its return of three-month、six-month、one-year and three-year based on the annual period of Jan-Feb and Jul-Aug, totally twenty months. The methodology divides the listed-stocks mutual funds into four clusters derived from the 「Cluster Analysis」of multi-variant analysis（MVA）.We observe whether the three-month and six-month return hold persistence during Jan-Feb and Jul-Aug per year. The conclusions are shown as below： （1）、There are 1047 holding persistence in totally 1720 samples. The result says that this bears significant persistence. （2）、We analyze the best and the worst performance cluster of mutual funds, the probability of sequent two best is 64% and the probability of sequent two worst is 76.2%. The result says that the persistence of best performance mutual fund is not well-performed as the worst one. （3）The switch frequency of mutual fund managers holds negative interrelation with performance. （4）As a whole, the annualized standard deviation and the ß coefficient do not exist rules or persistence.