共同基金的類型、規模與其操作績效關係之研究

Abstract

共同基金市場在激烈競爭之下，各家投信公司莫不費盡心思設計不同的基 金類型，希望能以基金的特色來吸引投資者的認購。然而不同類型的基金 因其投資目標不同，所伴隨的報酬率與風險也必有所差異，因此績效評比 於同類型的基金互相比較方具意義。另外在證券市場，存在著所謂的「規 模效果」，即投資報酬率與公司規模之間呈現特定的關係，共同基金是否 具有規模效果為值得研究之課文。本文即是以此兩個觀點出發來進行以下 之探討：1.評估各類型基金之整體績效表現。2.評估各類型基金之選股能 力與擇時能力。3.探討不同類型的共同基金，其投資績效是否有差異？4. 探討基金規模與基金之投資績效是否相關？本研究所採用的績效評估模式 分為二類：一類是整體績效指標評估模式，包括Treynor、Sharpe、 Jensen及修正之Jensen等績效指標；另一類是選股與擇時能力評估模式， 包括Treynor & Mazuy、Henriksson & Merton及Chang & Lewellen等評估 模型。實證結果支持下列假說：一、共同基金投資報酬率並未完全優於市 場組合投資報酬率。二、國內共同基金大都不具備選股能力。三、國內積 極成長型基金大都具備市場擇時能力。四、不同類型基金間投資績效具有 差異性五、基金規模與績效間之相關性甚低，且經迴歸分析後，發現不管 是前期或者是當期的基金規模，對當期的績效並無顯著的相關，表示基金 規模對績效的表現並無影響。 Under the intense competition in mutual fund market, investment trust companies work on developing new types of funds to attract the interest of inventors. However, different types of mutual fund come with different rate and risk due to its different investment purposes. To achieve significant evaluation, we can only compare performance away same types of mut, 禡fund. Beside, size effect in stock market has been proposed. We will inventigate whether size effect exist in different types of mutual funds. The issues studied in this work are:1. to evaluate the performance in mutual fund;2. to evaluate the ability of security selectivity and market timing in mutual fund;3. to discuss the variation in performance of different types of mutual fund;4. to discuss the size and performance if related.There are two kinds of evaluation models.One is entire indices, including Treynor, Sharpe, Jensen and modified Jensen indices. The other is security selectivity and market timing ability models,including Treynor & Mazuy,Henriksson & Merton and Chang & Lewellen models.The results demonstrate the following points:1.The rate of mutual fund does not superior the rate of market profolio. 2.Most mutual funds in Taiwan does not acquire the ability of security selectivity.3.Most agressive growth funds in Taiwan possess the market timing ability.4.Variation exist in the performance of difference types of mutual fund.5. There is no signficant relationship between fund size and performance.