基金最大跌幅對未來績效之預測性— 以台灣股票型基金為例

Abstract

本研究利用台灣樣本探討基金最大跌幅(maximum drawdown, MDD)是否可作為基金經理人之能力指標。實證研究發現過去MDD大的基金未來績效較好，代表台灣基金的MDD較可能為投資組合之風險指標而非經理人能力指標。此外，雖然在2015年熊市跌幅較低的基金，在2016年的牛市的漲幅多半在前段班，似乎代表熊市跌幅較小的經理人有較佳的能力，但2020年的牛市跌幅較低的基金，在同年後續的牛市的績效並不好，代表MDD並非衡量經理人能力的可靠指標。 基於MDD為風險指標的實證，再研究其是否具備持續性，才足以存在投資意涵。結果發現2020年熊市跌幅較小的基金在2022年的熊市跌幅也較小，代表基金跌幅在短期具持續性。但2015年熊市跌幅較小的基金在2022年的跌幅未必較小，代表基金跌幅在長期不具持續性。因此若投資人將MDD當成投資組合之風險指標，只能做為短期投資決策的依據。

I examine whether the maximum drawdown (MDD) of Taiwanese equity funds could be a measure of a fund manager’s ability. The results show that funds with higher MDD in the past outperform other funds, which indicates that MDD is more likely to be a measure of portfolio risk rather than ability. Moreover, while funds with lower drawdown in the bear market of 2015 outperform other funds in the bull market of 2016, funds with lower drawdown in the bear market of 2020 underperform other funds in the bull market afterwards, which means that MDD is not a reliable measure of fund managers’ ability. A useful measure of portfolio risk requires persistency. While funds with lower drawdown in the bear market of 2020 also have lower drawdown in the bear market of 2022, funds with lower drawdown in the bear market of 2015 do not have lower drawdown in the bear market of 2022, which suggests that drawdown does not persist in the long run. Therefore, if investors perceive MDD as a measurement of portfolio risk, it could only be used for short-term investment decisions.