投資人申購得獎基金之後續績效

Abstract

基金過去的表現的確是過去投資能力的最直接證明，因此看排名或是得獎與否來挑選基金有其一定道理。但過去文獻研究對象多為一般基金，鮮少有對得獎基金作績效持續性之探討，加上得獎基金因廣告曝光度大而備受青睞，因此申購得獎基金獲利與否是投資人所關心的課題！ 本文主要研究對象為基金『金鑽獎』第五屆至第十四屆得獎名單，並探討國內股票基金科技類、中小型、一般類之得獎基金後續績效。同時以超額報酬、夏普指標做為評估基金績效的指標，並分別探討在一個月、三個月、六個月、一年的評估期間下，得獎基金績效是否優於該類組基金平均績效或是市場報酬。 實證結果歸納如下： 1.以超額報酬作為績效指標：不同評估期間，得獎基金相對於同類基金及市場指數皆無超額報酬，顯示基金績效不具持續性 2.以Sharpe指標作為績效指標：僅一般類得獎基金於月資料相對同類基金具有持續性；於月資料、季資料及半年資料對於市場指數具有持續性。

This study covers domestic mutual funds as samples that were selected from the lists of Gold Diamond Awards held by Taipei Foundation of Finance, Taiwan Fund Awards from 2002 to 2012. The study focuses on technology equity funds, General equity funds, and Mid╱Small Cap equity funds. Among these samples, the study uses excess return and Sharpe index as the indicators of assessing the performance of the funds in different periods such as monthly, quarterly, semiannually, and annually. This study discusses whether the award-winning funds’ performances or the market returns are better than the average of others in the same category. The empirical results are summarized as follows: 1. Using the excess return as the indicator: The award-winning funds’ performances are not better than the average return and the market investment portfolios. 2. Using the Sharpe index as the indicator: In monthly performances, only the award-winning of general equity funds’ are better than the average performances of relative sector. In monthly, quarterly, and semiannually performances, only the award-winning of general equity funds’ performances are better than the market portfolios.