目前不論我國政府機關所屬基金或是法人機構等，漸漸朝向委託經營方式委由專業投資經理人代操資產，然而根據過去經驗，無論是國內外專業投資經理人皆無法保證其資產操作績效能勝過大盤報酬率或優於自行操作績效，若委託人單靠受託人事前績效之遴選及誘因契約之提供，仍有可能發生所託非人之憾事，因此如何在委託期間內有效評估基金經理人之優劣並決定其去留是目前所有委託人在委託管理上所面對之課題。故本文利用繆震宇(2003)所提出委託經營最適停止決策模型，藉由最小化決策損失建立一個客觀標準用以評估受託人，擷取民國88年1月至93年12月六年國內上市股票型基金季(月)報酬率資料進行實證研究，並設計三種不同委託期間及不同評估頻率之委託經營契約分別進行停止決策分析。主要的結論有：(一) 決策準繩之門檻隨委託期間逐漸遞減，(二) 產生停止決策之基金多於委託期間中後段才落入停止決策域，(三) 評估成本之大小的確影響停止決策準繩門檻之嚴格程度，但對於選擇委託經營契約型態影響不大，(四)停止決策模型僅對已持有基金之委託人有助益，並不適合用作空手者買入投資之訊號，(五) 委託人應採每季評估方式較能準確判定基金績效型態，(六)本實證研究落入停止決策區域之基金，不論「接受組」或「淘汰組」之結果符合委託人的利益。 Not only the funds of government but also the incorporation has applied delegated management which entrust their assets to professional managers. According to past experience, neither domestic nor international managers do assure that the returns of a managed portfolios can beat the market index or exceed the returns operated by principals .If the principal only depends on managers’ past performance or provids them with incentive contract, one still could entrust assets to poor-skilled managers. Therefore, how to effectively evaluate the performance of managers and decide to retain or fire them during the delegated periods is the topic of delegated management now. In this study, we adopt Maio, Cheu-Yu’s (2003) the “optimal stopping decision for the designated management” model which is the objective rules to evaluate trustees under the minimization of expecting decision losses. Our empirical data is quarterly (monthly) returns of domestic-stock mutual funds during 1999.1 to 2004.12. Designing three kinds of delegated contracts with different delegated period and frequency of performance evaluation to analysize the stopping decision respectively . The main conclusions are (1) the optimal stopping criteria tend to be loosen along with time.(2) Many funds generating stopping decisions fall into stopping decision area in the later delegated periods.(3) The less evaluating cost is, the stricter optimal stopping criteria is. But the amount of cost doesn’t effect the choose of delegated contracts style at all.(4) Thr optimal stopping decision model is useful for a principal who has held mutual funds but not suitable for being a buying signal.(5) A principal should adopt quarterly performance evaluation which can determine performance style of funds more accurately.(6) The funds, both the accepted and rejected groups, which fall into stopping decision area conform with principal’s interests.
