頁籤選單縮合
題名 | 積極比例是否解釋臺灣共同基金績效?=Does Active Share Explain Taiwanese Mutual Fund Performance? |
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作者姓名(中文) | 盧秋玲; 張清發; 沈仰斌; | 書刊名 | 證券市場發展季刊 |
卷期 | 29:3=115 2017.09[民106.09] |
頁次 | 頁1-37 |
分類號 | 563.538 |
關鍵詞 | 共同基金; 積極比例; 追蹤誤差; 基金積極管理; 基金績效預測; 基金管理策略; 基金管理風格; 基金經理人行為; Mutual funds; Active share; Tracking error; Active management; Fund performance; Fund management strategy; Fund management style; |
語文 | 中文(Chinese) |
中文摘要 | 不同於以往有關台灣基金的相關研究,本篇論文建構一個為台灣股票型基金選擇基準指數的方法,並以此基準指數來計算積極比例與追蹤誤差,藉以探討基金積極管理程度對績效的影響。我們實證結果發現積極比例與同期及未來績效皆呈顯著正向相關,此結果與過去的台灣文獻不同,證實了Cremers and Petajisto (2009)的結果適用於台灣的基金。另一方面,追蹤誤差與未來績效呈現顯著負相關,代表風險擇時對未來績效沒有正面影響,因此投資人得以積極比例與追蹤誤差這兩個構面來做為預測基金績效的指標。我們進一步以積極比例與追蹤誤差將基金的管理風格分成五類,結果發現扣除費用後基金整體績效落後大盤,與過去研究相同。但是,高積極比例低追蹤誤差的“股票精選型”主動管理風格卻顯著打敗大盤,且績效顯著高於偏被動管理風格的“近似指數型”基金。結果顯示雖然基金主動管理平均而言不能擊敗大盤,但是特定主動管理型態的基金可以勝過市場投資組合,體現出基金主動管理的價值。 |
英文摘要 | Different from prior studies, our empirical results show a significantly positive relationship between active share and fund performance for Taiwanese mutual funds. We also find that tracking error is significantly negative correlated with future fund performance. Consequently, contrary to previous literature, our evidence suggest that aggressive stock selections in certain way can add value to fund performance. We further use active share and tracking error to sort mutual funds into twenty five groups and find that "stock pickers" with high active share and low tracking error outperform the benchmark. The return of "stock pickers" is higher than the "closet indexers" by 3.85% after all expenses. Although the average actively managed mutual fund has underperformed its benchmark index, certain actively managed stock pickers enhance fund performance significantly, which indicates that the distinction between fund management styles is critical to investors. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。