我國投信公司經營績效—以兩階段流程資料包絡分析法

Abstract

隨我國資本市場逐漸開放與投資概念普及，民眾對於閒置資金更能有效運用；以投資在共同基金來說，2013年已突破兩兆新台幣。過去針對各檔基金績效分析之相關文獻數量非常多，但對操作基金之投信公司本身的績效研究卻非常少。其原因在於投信公司資料取得困難、模型本身健全度不足、常用指標無法充分反映經營效率等。但由於基金間的轉換成本，投信本身的經營績效，對投資人與經營者而言其實都是非常重要的課題。 本研究參考Premachandra et al. (2012)運用的兩階段生產流程資料包絡分析法，並採用我國2008年至2013年投信公司資料，將整體效率拆解成經營效率與組合效率兩個部分。其中，經營效率反映一家公司使用其資源的效率性，越高的經營效率，代表其可以使用有限的資源創造出越高的資產價值；而組合效率則反映一家投信公司其在使用投資人資金進行投資時，其投資組合的報酬效率。 依本研究發現，我國投信投顧法規部分規定已然過時，現行法規使具有效率的廠商反而不易於存活，當初設為保護投資人之機制，在資本市場逐漸開放之後反而成為投信業發展的絆腳石。而在投信經營方面，發現投信公司的經營效率有其延續性，績效優良的公司在長期接下基本上都能持續維持，故在投信的選擇上，表現得更為重要。本研究試圖藉由效率的拆解，尋找出各家投信不效率的原因，並提供改進的方法與幅度，提供給投資人、投信管理者與政府單位作為參考。

Due to the gradual opening of Taiwan’s capital markets and the spread of investment knowledge, people are able to use idle capital more efficiently. In the end of 2013, the total amount of investment to mutual funds in Taiwan has exceeded two trillion NT dollars. Lots of the existing literature analyzes the performances of particular mutual funds, but few examines the performances of the mutual fund families. The reason may be the complex nature of the analysis involved and hard to get enough data for doing research. In this paper, we use a Two-Stage Process Data Envelopment Analysis which promote by Premachandra et al. (2012) to investigate the relative performance of 38 mutual fund families in Taiwan, over the 8-year period from 2008 to 2013. In this study, we found out that recent law for Trust industry should improve with times, lots of clauses which were create for protecting investors now become the reason why Taiwan’s mutual fund families lose competitiveness. At the other side, performance for mutual fund families exist continuity: one efficiency in short time period usually being good in long time period. It shows that choosing a good performance mutual fund family would be an important issue for investors. With two-stage product process of mutual fund families, overall efficiency decomposed to two parts: operational management efficiency and portfolio management efficiency. By this decomposed, we can easily identify which stage cause inefficiency and correctly improve in their performance.