臺灣股票型共同基金特徵對基金績效之影響及持續性之研究

Abstract

本研究對臺灣市場的股票型共同基金進行了綜合分析，研究期間為2014年1月至2022年12月。共分析了121只基金的108個月度數據。採用崔納指標、夏普指標和簡森指標衡量基金績效，並考慮了基金規模、基金年齡、基金費用率、基金週轉率和基金流量等特徵。模型最終均採用固定效果模型，並固定不同的基金及時間。研究結果顯示，在完整期間內，基金規模和基金流量對績效有正向影響，基金週轉率對績效有負向影響。相比COVID-19未發生時，疫情發生後之規模經濟和聰明財效應更為明顯，基金經理的頻繁交易對績效的負面影響較為緩和，但仍存在影響，費用率對基金績效的負面影響變得更加顯著。 進一步在不同基金特徵之下基金績效持續性的研究中，將研究期間分為COVID-19疫情發生之前期間、過渡期以及完全處於疫情期間共三個時期，發現以高基金規模、低基金費用率、低基金週轉率和高基金流量的贏家投組在未來三個月中表現出績效持續性，不過在COVID-19過渡期間出現了績效反轉現象；而在相對中長期的一年時，績效在上述三個研究期間內皆會發生反轉現象。因此，本研究重點對COVID-19疫情發生後基金特徵對績效影響的變化以及基於不同特徵構建的贏家投資組合績效持續性進行了研究。

This study provides a comprehensive analysis of equity mutual funds in the Taiwan market for the period from January 2014 to December 2022. A total of 108 monthly data from 121 funds were analyzed. Fund performance was measured using the Treynor ratio, Sharpe ratio and Jensen’s alpha indicators, and fund size, fund age, fund expense ratio, fund turnover and fund flow characteristics were considered. The models are finally fixed-effects models with different funds and time. The results show that fund size and fund flows have a positive effect on performance and fund turnover rate has a negative effect on performance over the full period. Economies of scale and smart money effects are more pronounced after the outbreak than before COVID-19, the negative impact of fund managers' frequent trading on performance is less pronounced but still present, and the negative impact of expense ratios on fund performance becomes more pronounced. In a further study of fund performance persistence across fund characteristics, the study period is divided into three periods: the pre-COVID-19 period, the transition period, and the full outbreak period. However, a reversal of performance occurs during the COVID-19 transition period, and at the relatively medium to long term of one year, a reversal of performance occurs during all three study periods. Therefore, this study focuses on the impact of fund characteristics on performance after the COVID-19 outbreak and the performance persistence of winning portfolios constructed based on different characteristics.