得獎基金績效持續性分析

Abstract

一般投資人在挑選基金時，常以基金的過去績效做為選購的依據，因此基金績效是否具有持續性，即成為一項重要的課題。國內投信公司經常以所獲基金獎項，作為宣傳旗下基金績效的工具。鑑於國內以基金績效持續性為主題的相關研究，較缺乏以「得獎基金」做為研究對象，故本文以1998年至2008年，期間內所有獲頒「金鑽獎」或「台灣基金獎」的國內基金作為樣本，分別以超額報酬、夏普指標、基金排名，作為基金績效的評估指標，並以得獎作為事件，利用Wilcoxon符號等級檢定法，探討得獎前後六個月、一年、二年、三年、五年的績效持續性，實證結果歸納如下： （1）若以超額報酬作為績效指標，則僅有六個月的評估期間，支持基金績效具有持續性。 （2）若以夏普指標作為績效指標，各評估期間均顯示績效不具有持續性。但若以同時獲頒金鑽獎與台灣基金獎的基金作為樣本，則在三年、五年的評估期間，支持績效具有持續性。 （3）若以基金排名作為績效指標，各評估期間均顯示績效不具有持續性。

General investors usually select mutual funds based on their past performance; as a result, measuring performance persistence of mutual funds has become an important issue. Investment trust companies in Taiwan often use the records of winning fund awards to advertise their investment skills. This study attempts to examine the performance persistence of awarded funds. The researching period is from 1998 to 2008, and the samples are awarded funds of “Taiwan Investment Funds Award” and “Best Fund Award” during this period. The performance of mutual funds is separately measured by excess return, Sharpe index and fund ranking. This study takes the event of winning fund prize as the reference point, and computes fund performances six months, one year, two years, three years, and five years before and after the reference point, and then uses Wilcoxon signed ranks test to examine the performance persistence of awarded funds. Major findings are summarized as follows: a. Using excess return to measure fund performance, the performance of awarded funds persists only for the measuring period of six months. b. Using Sharpe index to measure fund performance, all of the measuring period are not consistent. However, if we take the funds which won “Taiwan Investment Funds Award” or two prizes simultaneously as samples, the empirical results show that the measuring period of three years and five years provides evidence of performance persistence. c. Using fund ranking to measure fund performance, all of the measuring period are not consistent.