臺灣股票型共同基金積極管理策略與績效之相關性

Abstract

本篇論文以2004年第三季至2011年底，台灣之投資國內股票型共同基金為研究對象，探討基金之積極管理策略對於績效之影響。本文使用之基金積極管理程度的衡量指標為積極比率(Active Share)以及追蹤誤差(Tracking Error)。積極比率衡量基金之投資組合偏離其基準組合之程度，將積極比率以及傳統的追蹤誤差同時納入考量能對基金績效有更完善解釋。本文除放入積極比率及追蹤誤差變數外，亦控制住其它的基金特性變數，如規模、費用率及周轉率等，對基金績效進行橫斷面的迴歸分析。實證結果發現追蹤誤差對於同期基金績效有顯著影響，而積極比率對績效並無顯著貢獻。此外，本文亦將時間劃分為大盤盤整時期、牛市及熊市，以進行探討，研究結果發現盤整時期基金經理人採行積極管理策略對績效並無正面影響。最後，雖然追蹤誤差對於同期基金績效有顯著影響，但其缺乏持續性，故無法以追蹤誤差預測基金之績效。

This paper examines relationship between mutual fund management strategy and its performance by using Taiwan domestic equity mutual fund data from 2004 third quarter to 2011. We introduce Active Share and Tracking Error as measures for fund active management. Active Share is to compare the holdings of one mutual fund with the holdings of its benchmark. Combining Active Share with traditional active management measure, Tracking Error, would give two-dimensional explanation to fund performance. Under controlling other fund characteristics such as expense, size and turnover, we use panel regression to examine the relationship between mutual fund management strategy and its performance. Empirical result indicates a significantly positive relationship between Tracking Error and fund performance in the corresponding period of time. However, Active Share could not attribute better fund performance. In addition, this paper also divide time span into three parts: Range bound, Bull market and Bear Market to investigate relationship of active management strategy and fund performance in different market conditions. It shows that when market is in range bound, active management strategy could not lead to better fund performance. Finally, empirical result also indicates that Tracking Error does not show performance predictability due to its poor persistence.