景氣循環下債券型基金績效之研究

Abstract

共同基金市場成長快速，近年來債券型共同基金的重要性日益增加，截至民國93年8月底債券型基金市佔率已逾76%。隨著景氣循環的波動對投資人之投資決策影響甚鉅。因此本研究在考慮景氣循環下，分析債券型共同基金之績效，以作為投資人和後續研究者之參考。 本研究以民國89年9月至93年5月國內債券型基金為研究對象，先利用t檢定比較不同景氣循環期下之債券型基金報酬率是否有差異，接著利用Spearman等級相關係數分析在不同景氣循環期下，債券型基金之基金績效是否具有持續性，最後以多元迴歸模型檢視各不同時期下，影響基金報酬之因素。實證結果分述如下： 1、債券型基金報酬率在景氣衰退期和景氣擴張期有顯著差異，其中景氣衰退期報酬率顯著大於景氣擴張期。 2、國內債券型基金績效排名無論在景氣衰退期或景氣擴張期，皆具有顯著的基金績效持續性。 3、在不同景氣循環期中影響債券型共同基金績效之因素不完全相同，證明景氣循環對債券型基金績效是有影響的。在不同景氣循環期時，利率的走勢不相同，基金調整投資標的做一些避險的動作，造成影響基金績效的因素在不同景氣循環期不完全相同。

The mutual fund market grows rapidly. Recently, the importance of bond mutual fund is increasing and the market share of bond mutual fund elevates to more than 76% until August 2004. However, the investors’ investment decision is affected by the variation of the business cycle. Therefore, this study analyzes the performance of bond mutual fund as the reference resources for the investors and follow-up scholars.

The samples of the study are the bond mutual funds in Taiwan ranging from September 2000 to May 2004. First, we use student’s t test to compare the difference of the rate of return in different business cycle period. Then, Spearman’s coefficient of rank correlation is involved to test the performance persistence. Finally, multiple regression models are used to detect the influential factors of bond mutual fund in different periods. The results are shown as following： 1. The rate of return in different business cycle has marked divergence. The rate of return in the contraction is higher than the expansion. 2. The performance persistence exists both in business contraction and business expansion. 3. The influential factors of the rate of return of the bond mutual funds are not the same in different periods of business cycle. With the varied trend of interest rate, the funds revise the portfolio to hedge and get the better performance.