國內共同基金績效之再研究：選股Alpha與配權Alpha

Abstract

本論文旨在探討臺灣主動式基金經理人如何創造Alpha，以研究主動式基金的價值，並檢視2012年至2019年間臺灣主動式股票型基金，透過將基金總Alpha拆解成選股Alpha及配權Alpha兩大領域，實證結果發現臺灣主動式股票型基金的超額報酬主要來源是經理人的選股能力，較少來自配權能力，且選股Alpha亦更具持續性，長達36個月，對比配權Alpha持續性較不一致；此外，有別於過去文獻研究基金主動度使用1-Rsquared、主動權重等指標，本論文拆解Alpha的方式能夠相較傳統基金主動度指標提供更多有價值的訊息。整體而言，本論文透過拆解Alpha的方式，證明臺灣主動式基金的價值，且臺灣基金經理人能夠藉由選股能力創造超額報酬，期許能為主動式基金的研究提供更多貢獻。

This dissertation studies the value of Taiwan active mutual funds by exploring how mutual fund managers create alpha. I decompose 2012-2019 Taiwan equity mutual fund alpha into 2 components: selecting alpha and weighting alpha, to examine whether fund managers' decision on which stocks to select or on how to place weights on those securities is more important. The results suggest that deciding which securities to select is of greater importance than deciding how to weight securities, and the ability to generate selecting alpha persists for 36 months while the persistence of selecting alpha is rather inconsistent. Moreover, compared to traditional measures of portfolio activeness such as 1-Rsquared and active weight, the measure of weighting and selecting alpha can provide more valuable information beyond proxying for portfolio activeness. Overall, by decomposing mutual fund alpha into security selection and security weighting, our empirical study proves the value of Taiwan active mutual funds and provides evidence that Taiwan mutual fund managers can create alpha mostly by selecting ability. We expect this study can contribute more in the field of Taiwan active funds.