晨星基金評級與基金積極管理之實證研究 – 以台灣股票型基金為例

Abstract

過去論文顯示基金經理人在過去績效表現較差的情況下，傾向以較高風險、較為積極的方式進行投資，而本篇論文以2003年至2013年底，台灣之投資國內之股票型共同基金為研究對象，探討基金過去績效與基金積極管理策略之影響。並進一步探討基金提高積極管理程度是否能提供經理人打敗大盤的能力。本文使用之基金過去績效之衡量指標為晨星基金星等評級，而基金積極管理程度的衡量指標為積極比例(Active Share)以及追蹤誤差(Tracking Error)。本文除放入晨星評級作為主要變數，亦控制住其它的基金特性變數，如規模、費用比率及投資組合週轉率等，對基金績效進行橫斷面的迴歸分析。實證結果發現基金積極管理的程度與星等評級大小呈顯著正向關係。而將模型變數改為與前期之差異值後可發現，短期內星等評級的變動與追蹤誤差的變動呈現顯著正相關，而與積極比例變動無顯著相關。此外，本文亦以相同樣本探討基金積極程度與基金擊敗大盤能力的關係，研究結果發現，基金的積極比例及追蹤誤差與指數調整後報酬呈現顯著負相關。

Past empirical results suggest that fund managers will manipulate fund risk to a higher level when they are facing bad performance ranking. In this article, we use the data of Taiwan domestic equity mutual fund from 2003 to 2013 to examine whether there exist a different level of active management when managers are facing different fund ranking. Furthermore, we also investigate the correlation between active management and the ability of managers to outperform their benchmark. We use active share and tracking error as the proxies of the level of active management, and Morningstar star rating as the proxy of performance ranking. Under the cross-sectional analysis, we relate active management to fund characteristics such as size, fund flow, expenses, and turnover. We find a strong positive correlation between Morningstar rating and the level of active management. And the change of Morningstar rating is significantly positive correlated to the change of tracking error. Furthermore, we also find out that active management is negatively correlated to the benchmark-adjusted return.