組合型基金是否優於一般共同基金？風險與報酬及基金特性之探討

Abstract

本研究區分共同基金為組合型基金與一般共同基金，此兩類基金又各細分成股票型、債券型以及平衡型基金，探討各類型基金相關特性之差異，以作為投資決策之參考。以台灣跨國投資基金所作之實證顯示組合型基金之風險小於一般共同基金，此風險差異主要來自於債券型而非股票型基金，對應一般共同基金較高的風險，其績效亦優於組合型基金。基金績效與基金規模及基金費用率呈負向關係但與前期基金流量呈正向關係，同時組合型基金正負向持續比率皆大於一般共同基金。本文發現一般基金前期報酬及前期淨流量皆對當期報酬有解釋能力，存在動能與聰明錢效果，其中動能效果大於聰明錢效果；組合型基金則不存在單獨的動能與聰明錢效果，但合併使用前期報酬及前期基金淨流量資訊，即買進贏家且高基金流量投資組合同時賣出輸家且低基金流量之投資組合，仍可獲取超額報酬。

We divided all the international mutual funds into funds of funds and traditional mutual funds. For each category, we further separate the samples into subsamples of stocks, bonds, and hybrids to investigate the differences of characteristics between separate categories of funds. By analyzing international funds, we find that funds of funds are not as volatile as traditional mutual funds in the comparison of the funds' risk, and the source of main differences comes from bond funds rather than equity funds. We also find that, irrespective of categories, there are a negative relationship between fund size and performance and a positive relationship between the previous fund flow and performance. Also, there exists a negative influence on the performance for the expense ratio. The funds of funds have a larger proportion of positive/negative performance persistence than that of traditional mutual funds. Besides, we find that momentum and smart money effect have separate explanatory power on fund performance for traditional mutual funds, but only the two combined factor can influence the performance of funds of funds.