台灣基金風險等級與投資風險指標之實證研究

Abstract

本研究探討中華民國證券投資信託暨顧問商業同業公會所制訂「基金風險報酬等級分類標準」作為投資風險分級標準的實證結果，藉著基金基金內在特徵、績效評估、風險衡量等指標作為變數，檢驗五個風險等級所代表的基金風險特徵。

實證結果發現，以標準差、風險值、最大累積歸損作為投資風險指標作檢驗，以平均值來看，「基金風險報酬等級分類標準」確實具有風險大小程度分級的功用，惟如果觀測全部樣本除了RR1類型組成樣本特徵較為一致，其餘RR2~RR5樣本分布皆為離散，顯示單一組別內樣本的報酬風險特徵不完全一致。

基金總費用在對基金波動程度或下方風險有顯著正向關係。基金分類之股票型、債券型、平衡型、組合型、貨幣型對基金波動程度及下方風險有顯著關係，並且符合投資人對基金分類之風險大小的認知。「理柏台灣分類」共24個類別，對基金特徵之描繪更為精確，確實有助於投資時對風險程度之判斷。

基金風險等級之風險持續性研究顯示，風險等級愈高者愈容易出現風險不持續的情形，特定時間點如遭遇市場系統性風險，也較容易出現風險不持續的情形，故代表基金風險等級不能作為未來風險程度的預期而應該定期檢視並加以動態調整。

This paper investigates the Risk-Reward rating of the mutual fund established by Securities Investment Trust & Consulting Association of the R.O.C. (SITCA). In light of the outcome of the Internal features of the fund, fund performances, investment risk indicator investigation, the study estimates the characteristics of the mutual fund represented by the five Risk-Reward rating levels.

The investigation results in several main findings. First, by using standard deviation, Value at Risk, max drawdown as variables, the Risk-Reward rating could show five degrees of risk. But besides the samples of RR1, distribution of the samples of RR2~RR5 are discrete. It means that the characteristics of the samples of RR2~RR5 are not consistent.

Second, total expense ratio and volatility or downside risk have a positive correlation. Fund type including equity fund, fixed income fund, balance fund, fund of funds, money market fund and volatility or downside risk also have a positive correlation. Lipper Taiwan Classifications have 24 classifications that help to define degrees of risk clearly.

Finally, studies show that the Risk-Reward rating of the mutual fund are not predictors of future risk performance. The degrees of fund risk should review regularly and make dynamic adjustments.