金鑽獎基金績效變異因素之實證研究

Abstract

「傑出基金金鑽獎」為臺灣最具歷史的基金獎項，於2022年邁入第二十五屆。金鑽獎向來以提供最完整、透明的資訊為目標，表揚傑出基金之表現，為投資大眾檢視基金績效，在臺灣金融業界中頗具代表性。本研究鎖定第15~25屆金鑽獎之獲獎基金，以三種變異因素分析基金績效，包括基金經理人任期長短、大盤為多頭市場或空頭市場，以及投信公司之金鑽獎獲獎率。透過不同情境的轉變，了解此三種變異因素對於金鑽獎獲獎基金績效之關聯，獲取具有意義的研究結果。研究結果指出，基金經理人任期較長，不一定帶來較高之超額報酬，但獲益表現穩健；多頭市場及空頭市場狀態下，金鑽獎獲獎的基金是否具有顯著差異，端視基金經理人任期而定；投信公司金鑽獎獲獎率與獲獎後超額報酬年平均之其相關係數為0.6707，呈現中高度正相關之關係。

"TFF-Bloomberg Best Fund Awards" is the oldest fund award in Taiwan and it entered its 25th year in 2022. The goal of this award is to provide the most comprehensive and transparent information, to recognize outstanding funds and to evaluate fund performances for the investors. It is an iconic award in Taiwan's financial industry. This study focuses on the winners of TFF-Bloomberg Best Fund Awards from the 15th to 25th year. The study evaluates fund performances with three variables, duration of fund manager's tenures, bull market or bear market, and the awarded ratios of the fund companies. After cross-comparison of different scenarios, this study reaches meaningful conclusions and helps us to understand the relationship between the three variables and the performances of the awarded funds. This study concludes that longer fund manager’s tenure does not necessarily result in extraordinary return for the fund, but stable performance. In bull or bear market, the performances of the awarded funds are associated with the tenures of the fund managers. The correlation coefficient between the winning rate of TFF-Bloomberg Best Fund Awards of investment companies and the annual average of excess remuneration after winning is 0.6707, roughly showing a positive correlation.