金融檢查之缺失與國內股票型基金績效之關聯性分析

Abstract

本研究係分析證券投資信託公司金融檢查之缺失，與一般國內股票型基金績效間之關聯性，並瞭解基金下一年度之績效是否能因金融檢查之建議而有所改善。另輔以盈正豫順電子股份有限公司(簡稱盈正)事件進行探討，以因盈正股票而受金管會處分之投信公司，其以前年度是否亦有基金投資四流程之檢査缺失，及二者間之關聯性為何?並以有因利用他人名義買賣與所管理基金持有之相同有價證券，而受金管會處分之基金經理人所管理之基金，與同類型基金作比較，分析該基金之報酬率、績效排名、基金風險指數與週轉率高低與個股炒作可能性間之關聯性。 依前述分析結果，本研究獲得幾點推論：一、金融檢查之缺失與一般國內股票型基金績效間並無必然關聯性，且整體基金績效未受檢查結果而有所改善。二、基金投資四流程缺失係常見之缺失態樣，故投資四流程缺失與該投信公司之基金經理人是否炒作個股間之關聯性實屬不高。三、涉入盈正個股炒作之基金經理人，其所管理之基金之年化標準差或β係數較同類型基金之平均為高，基金週轉率亦較高，然報酬率與績效排名卻反而較佳。 本研究結果除可做為主管機關對以下幾點之參考: 一、基金投資四流程管理方法得否由防弊式管理修正為興利式管理。二、如何將現行之有價證券監視制度與投信公司之內部控制管理做配合，以預防共同基金與基金經理人自身之利益衝突，並以加強基金治理。三、對投信公司之員工交易管理得否於有條件管理下進行放寬，以避免基金經理人因個人投資範圍受限，反利用他人名義買賣，衍生弊端。並可提醒投資人於選擇基金時，除追求投資報酬率與績效排名外，宜將基金風險指數與週轉率高低納入其考量因素。

This paper focuses on the correlation of local fund houses’ general inspection findings identified by Financial Examination Bureau and their managed domestic equity fund performance and analyzes whether fund performance is improved following the inspection. In the meantime, a case study of Ablerex stock price manipulation scandal is conducted to identify whether a fund house penalized by Financial Supervisory Commission had anomaly found within its fund investment management process in the prior general inspection and its underlying correlation. Comparison study of the rate of return, industrial ranking, risk indicator and turnover rate between peer funds and the funds which had been sanctioned owing to fund managers using others accounts to transact stock held in the fund portfolio is conducted accordingly. As a result of analysis, it leads to the conclusion that there is no apparent relationship between the issues found by regulatory inspectors and fund performance. The overall performance of fund house appears to make no improvement from the inspection outcome. Further, the relationship between abovementioned anomalies and the stock price manipulated by fund manager is considered low. It is also found that annualized standard deviations, β ratios and turnover rates of the funds which are managed by fund managers who involved in Ablerex scandal in 2010 are higher than that of peer funds. However, these funds’ respective rate of return and performance ranking appear better than those of peer funds. In a nutshell, from the perspective of the competent authority, it is suggested to review the effectiveness of the rigid control surrounding fund investment management process and the possibility to amend from rules-based management to principle-based management. In addition, the effort of securities surveillance conducted by Taiwan Stock Exchange Corporation /GreTai Securities Market is suggested to coordinate with local fund house’s internal control mechanism aiming to better prevent the conflict of interest between the fund manager and the managed fund and enhance the fund goverance. It is also suggested that the regulatory rules of employee personal trading is relaxed so that fund manager does not need to illegally make personal investment by using others accounts. Meanwhile, the conclusion of this paper also serves as a reference for investors prior to their investment decision that not only rate of return and performance ranking but also fund’s risk indicator and turnover rate shall be used as important consideration factors.