台灣核備之主要境外股票型基金 之績效與投資人行為分析

Abstract

面對未來勞退自選的趨勢，民眾如何挑選適合的基金類型，成為重要課題。本研究先以國人持有境外各類型股票基金的金額，來分析國人主要持有的境外股票基金類型，並以國人每月的申購贖回情況，來分析國人的投資決策行為是否獲利。結果發現，國人在投資境外基金時，確實受到情緒影響(從眾傾向、過度自信、過度恐慌等)，而出現追漲殺跌或處分效果，例如：在新興市場基金高點時大幅買入、套牢後繼續持有、於解套後賣出，以及於美股創新高過程中，賣出獲利的美國股票基金，這也表示，即使上揚趨勢的市場，投資人仍可能因為不會選擇進出場時點、或者沒有做好投資組合而虧損，因此，未來勞退自選平台不適合將上千檔的基金全面開放民眾自選，而是幫投資人篩選出適合的基金類型或提供核心基金投資組合。 本研究接著以台灣核備的720檔境外股票型基金，自理柏系統1984年有資料以來迄2014年底的數據，利用每月循環報酬率的方式，計算1、3、5、10、20年的報酬率與傳統績效指標(夏普值、資訊比率、詹森指標、崔諾指標)，從不同的報酬風險角度來評估基金績效的穩定性與持續性。結果發現，單一產業與單一新興市場國家股票基金經常於短期績效有較佳表現，但遇到金融市場震盪時的反轉下跌風險也較高，因此需視景氣循環週期來投資、並設定停損停利。將報酬與風險同時考量後，中長期投資以美國、環球、環球新興、亞太區(不含日本)等分散國家產業的基金類型表現較佳， 適合做為未來退休自選平台優先考慮的基金類型以及民眾準備退休金的核心投資工具。

Under the trend of pension system reform, individual investors are given the access to a full range of fund-related products and can make their own investment decisions. This leads to an important topic of discussion: how do investors choose the right funds which are suitable for their pension investments? This thesis intends to respond to this question by starting to explore the main fund types which Taiwan investors have invested in and analyze if they have gained positive returns. The result tells us that Taiwan investors’ investment decisions are affected by their emotions such as “herding tendency”, “overconfidence”, “over panic”, which resulted in a “disposition effect”. Taiwan investors may lose money even in bull markets if they do not time the market correctly. Therefore, it may not be appropriate to list all registered offshore funds in the self-selected pension fund platform but to screen for funds that provide stable risk-adjusted returns or core fund portfolios that are more risk-diversified. To determine the fund types which are suitable for pension fund investments, the thesis compares the monthly-rolling performance for 1 year, 3 years, 5 years, 10 years and 20 years terms as well as the traditional performance measurement indices such as Sharpe ratio, Information ratio, Jensen’s alpha and Treynor ratio to evaluate the funds’ consistency and stability in performance. The study has shown that single industry funds and single EM country funds may outperform others in the short term. However, these funds do not provide performance consistency in the long run. On the contrast, diversified fund such as US Equity Funds, Global Equity Funds, Global EM and Asia(ex.JP) provide relatively stable risk-adjusted returns as well as performance consistency in the long run.