台灣與美國共同基金績效分析之比較

Abstract

國內論文探討共同基金績效的不下少數，但由於資料蒐集或變數處理上的問題，都只侷限在單一市場（台灣或美國）之探討，較少同時研究兩國或多國共同基金表現之文章。這使得國內研究若想與國外實證比較時，就只能參考過去的文獻。因此，本研究以台灣及美國開放式股票型基金為研究主題。藉由選用同樣的樣本期間與模型，討論兩個發展迥異市場中的共同基金整體績效表現、選股能力及擇時能力之差異。 實證結果驗證了，股票市場組成結構會造成同樣是共同基金，但處於不同之國家，整體績效表現就會不同。台灣股市以散戶為主，對擁有較多資訊的法人來說，打敗市場並非難事。美國股市則以法人為主，所以僅有少數基金之表現可以超越市場。選股能力部分，台灣共同基金幾乎不存在著選股能力，甚至出現一些反向的選股能力。相反的，擇時能力幾乎是美國基金的基本配備。三年期與五年期下大概有四分之一的基金具有此項能力，十年期之實證結果也有十分之一的基金有之。擇時能力部分，台灣雖然只有少數基金具備擇時能力，但卻無基金會因錯估大盤走勢而作出錯誤的風險調整。然而，美國雖然有擇時能力之基金在絕對數量上與台灣差不多，但相對佔樣本之比例就小很多。此外，經理人對大盤錯估情形相當嚴重(在五年期實證結果發現的，三年期並不存在)。因此，在擇時能力之衡量上台灣基金是表現的比美國好的。

The investment performance of mutual fund has been extensively studies in the finance literature. Because of the problems about data collection and variables treatment, few of researches analysed two national mutual fund performance at the same time. If we want to compare domestic empirical results with other countries, we just consult references. So, this study uses the same sample periods and the same models to examine empirically differences of overall performance, selectivity ability, and market-timing ability of equity funds between two markets which developed so differently, Taiwan and the United States. Results indicated that composition of stock market could affect performance of mutual fund. Taiwan stock market was mainly composed of individual investors. So, institution investors (mutual funds) which have superior information would beat market index easily. Few mutual funds took advantage over market in American because U.S. stock market was mainly composed of institution investors.Regarding selectivity ability, Taiwan mutual funds didn’t have positive selectivity ability, but some had negative selectivity ability. On the contrary, selectivity ability was the U.S. mutual fund’s basic outfit. One-fourth mutual funds had this ability in the three-year-period and five-year-period results. One-tenth mutual funds had this ability in the ten-year-period result. Regarding market-timing ablility, a small number of Taiwan mutual funds had positive market-timing ability. No Taiwan mutual funds made inappropriate risk adjustment because of wrong forcast of market movement. Although the absolute amount of U.S. mutual funds and Taiwan mutual funds which have positive market-timing ability was the same, U.S. mutual funds took less proportion of sample relatively. Futhermore, U.S. mutual fund managers seriously forcasted market movement incorrectly. (demonstrated in five-year-period result) Hence,Taiwan mutual fund performed better than U.S. mutual funds with regard to market-timing ability.