台灣股票型基金績效與主動式管理相關性研究

Abstract

本文的樣本為2010年到2014年台灣187檔開放型股票共同基金，欲檢視基金特徵變數(如資產規模、管理費用及週轉率等)與基金經理人主動式管理的關係，並研究基金經理人主動式管理程度是否能夠衡量或預測開放型股票共同基金之績效。本文採用追蹤誤差波動度(Tracking error volatility)與Cremers and Petajisto (2006)所提出的主動投資比率(Active Share，為基金持股比率和基準組合持股比率的差異取絕對值來衡量基金主動管理程度)作為主動式管理程度指標，並且使用三種基金績效指標，基準組合調整後報酬率、Jensen’s alpha(CAPM調整後報酬)、Carhart(1997)四因子模型。研究結果發現若是採用基準組合調整後報酬率作為績效指標時，主動投資比率對於衡量和預測基金績效有顯著的正向效果，相反的追蹤誤差於衡量和預測基金績效有顯著的負向效果。

Sample of this paper is from 2010 to 2014, 187 Taiwan equity mutual funds. We want to test how active management is related to characteristics such as fund size, expenses, and turnover in the cross section. Besides, we also test whether active management is able to measure or predict the performance of mutual funds. In this paper, we use both active share and tracking error volatility to quantify active management. Active share introduced by Cremers and Petajisto (2006) describes the share of portfolio holdings that differ from the portfolio’s benchmark index. In addition, we use benchmark-adjusted return, Jensen's alpha (CAPM- adjusted return) and Carhart four-factors adjusted return. The results found if we take benchmark-adjusted return as a performance indicator, fund with higher current and previous active share significantly outperform other funds with lower active share. That means active share can significantly predict benchmark-adjusted return. On the other hand, fund with higher current and previous tracking error volatility significantly underperform other funds with lower tracking error volatility.