經風險調整過後的共同基金績效:以台灣為例

Abstract

本文利用資料包絡分析法(DEA)來計算出台灣共同基金的效率表現，資料期間為2006~2011 共六年，總共收集到342筆共同基金追蹤資料。研究方法我們採用截斷式迴歸來估計環境變數對效率值的影響。第一階段先求出基金效率值，第二階段利用Simar & Wilson (2007) 所提出的截斷式迴歸來衡量環境變數對基金績效的影響。本研究的產出變數是已經由風險調整過後的報酬率(RAP)。本研究結果顯示，在基金特性中，費用比率越高以及隸屬金控公司的共同基金對基金表現有顯著正向影響，而平衡型基金比起科技型和成長型類型的基金績效表現來得較佳；基金成立年限愈長及經理人操作該基金的期間愈長對基金有顯著負向影響。在經理人特性中，擁有MBA學歷或具有理工科背景的經理人，對基金表現有顯著負向影響。上述實證結果代表擁有高學歷的基金經理人不保證會使得基金表現較佳，甚至反而會傷害到基金績效表現。而同時操作多檔基金的經理人會顯著提升基金表現，可能是存在範疇經濟的因素。比起傳統上使用超額報酬率(忽略風險因素)來衡量更能審慎評估影響基金的環境因素。

In this paper, we apply the data envelopment analysis (DEA) to compute the efficiency mutual funds in Taiwan. The panel data set contains a total of 342 mutual funds during 2006-2011. The truncated model is used to estimate the effects of environmental variables in Taiwan. In the first stage, we compute efficiency scores of the mutual fund. The output variable is the risk-adjusted return (RAP). In the second stage, we measure the impact of environmental variables on the performance of the fund with the truncated regression proposed by Simar& Wilson (2007). The results of this study show that expense ratio and financial holding company affiliation have significantly positive impacts on fund performance. Compared to other two types (technology and communication and growth funds), the balanced fund has better performance. Funds established longer and fund managers who operate funds longer have significantly negative impacts on the performance. A manager with an MBA degree or science background has a significantly negative impact on fund performance. Empirical results show that the fund managers have high education may not be able to guarantee that they will make the fund perform better, even it would hurt performance of funds and make it worse. Fund managers in operation of multiple funds simultaneously will significantly enhance fund performance, showing the property of scope economy.