是運氣還是能力?以Bootstrap方法分析國內股票型基金的投資績效

Abstract

由於共同基金的績效無法維持一致的表現，因此本文探討共同基金的績效是來自於經理人的選股能力，或是運氣。本文利用三種模型估計1988年至2008年底的192檔國內股票型基金的績效指標，並以Bootstrap方法檢定這些基金的績效是來自基金經理人的選股能力還是運氣。本文發現，以CAPM模型衡量基金績效，績效優異的基金具有選股能力，大部分績效差的基金則是因為運氣較差，而不是因為選股能力較差，然而以三因子模型或四因子模型衡量基金績效，則會得到完全相反的結果。

This paper uses 192 domestic equity mutual funds as sample to examine if their investment performance comes from “luck” or otherwise. First, we use three models, namely CAPM, Fama and French`s 3-factor model and Carhart`s 4-factor model, to estimate the performance indicator （α） and the residuals of each fund. We then apply a Bootstrap analysis to examine if the investment performance comes from the funds` stock-picking ability or from luck. We find（1）some of the out-performing funds, estimated by CAPM model , do have good stock-picking ability and most of the funds with poor performance are due to bad luck;（2）the findings are exactly opposite when Carhart 4-factor model or Fama and French model is used.