共同基金績效之影響因素分析-以國內股票型共同基金為例

Abstract

本研究藉由從2011年4月至2016年3月期間的國內股票型共同基金為作為研究資料，取125筆符合資料期間、變數之股票型共同基金5年資料(共625筆資料)，藉由追蹤資料(Panel Data)作為研究樣本並透過邏輯斯迴歸(Logistic Regression)分析不同期間之基金指標及特徵對該期基金績效的影響，實證研究發現：(一)該期間基金之有複數經理人經手之基金績效較不容易超越大盤；(二)前期基金得獎對基金超越大盤沒有顯著影響；(三)基金經理人累積年資越長所掌管之基金越不容易超越大盤；(四)經理人之學歷若為經濟相關科系較容易超越大盤；(五)在基金績效指標方面，基金前一期之Jensen指標越高則則越不容易、前一期之訊息比率指標越高則越容易超越大盤；(六)基金當期之Beta指標越高則越不容易超越大盤。

This paper examines the impact of mutual fund indexes and characteristics in different periods on fund performance. A total of 125 domestic equity mutual funds from April 2011 to March 2016 (panel data) in accordance with selected time period and variables were used as research subjects. The empirical evidence from logistic regression indicates that: (1) Performance is less likely to outperform market benchmark if there are multiple fund managers in a certain period; (2) There is no effect on outperforming market benchmark if the fund is awarded in the previous period; (3) A fund is less likely to beat the market if its fund managers have greater seniority or job-hopping experiences; (4) A fund is more likely to beat the market if its managers have Economics-related degrees; (5) With higher Jensen Index in the previous period, a fund is less likely to defeat the market, the opposite would be the case for information ratio; (6) With higher Beta in the current period, a fund is less likely to surpass the benchmark.