台灣主動型基金與被動型ETF績效比較之實證研究

Abstract

本研究旨在從投資人的角度出發，透過較符合真實世界投資情形的假設與研究方法，觀察2017年10月至2022年9月及2020年10月至2022年9月兩個樣本期間，不同資料期間或類型的台股主動型基金與配對ETF投資組合的未來績效比較，並觀察得獎基金的未來績效是否能更顯著優於配對ETF投資組合。實證結果發現：(1) 與2017年9月之前成立的ETF配對比較未來績效，多數台股主動型基金的未來績效皆顯著優於ETF投資組合；(2) 與2020年9月前成立的ETF配對比較未來績效，在股市大漲期間主動型基金的未來績效顯著優於ETF投資組合，在股市大跌期間主動型基金績效微幅劣於ETF投資組合，其中又以開放式一般型和開放式科技類的主動型基金未來績效更加顯著優於ETF投資組合；(3) Smart智富台灣基金獎和傑出基金金鑽獎的得獎基金名單，皆無法提高挑出未來績效更顯著優於配對ETF投資組合的主動型基金的機率。

The purpose of this study is to compare the future performance of Taiwan active funds and their matching ETF portfolios during different data periods or types, from the perspective of investors, using assumptions and research methods that are more in line with real-world investment situations. The two sample periods are from October 2017 to September 2022 and from October 2020 to September 2022. Finally, the study examines whether the future performance of award-winning funds is more significantly superior to their matching ETF portfolios. The empirical results show that: (1) Compared with ETFs established before September 2017, the future performance of most Taiwan active funds is significantly superior to their matching ETF portfolios; (2) Compared with ETFs established before September 2020, the future performance of Taiwan active funds is significantly superior to their matching ETF portfolios during periods of stock market surging, but slightly inferior to their matching ETF portfolios during periods of stock market plummeting. Specifically, open-end general and technology type active funds have even more significant future performance over ETF portfolios; (3) The lists of award-winning funds for Morningstar Taiwan Fund Awards and TFF-Bloomberg Best Fund Awards do not raise the probability of selecting Taiwan active funds with future performance that is significantly superior to their matching ETF portfolios.