A study of Taiwan mutual fund performance, security selection and market timing

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Title:	A study of Taiwan mutual fund performance, security selection and market timing
Other Titles:	臺灣共同基金評選之實證研究台灣共同基金評選之實證研究
Authors:	熊純姿;Shyong, Chwen-tzy
Contributors:	淡江大學管理科學研究所企業經營碩士在職專班倪衍森;Ni, Yen-sen
Keywords:	共同基金績效;選股能力;擇時能力;Mutual Fund Performance;Security Selection;Market Timing
Date:	2006
Issue Date:	2010-01-11 03:13:29 (UTC+8)
Abstract:	台灣共同基金市場在過去十年間快速成長，共同基金已成為時下重要的投資理財工具。本文研究目的是探討影響基金績效的主要因素、選股能力、擇時能力，以做為投資人日後投資共同基金之參考。本研究採用國內股票型基金、平衡型基金、債券型基金2002年至2004年各年度之資料為樣本，探討影響共同基金績效的主要因素。此外，本研究利用 Treynor and Mazuy 以及Henriksson and Merton 模型探討共同基金之選股能力及擇時能力。本研究之重要實證結果如下：一、以夏普指標及淨值為基金績效指標時，實證結果大致相同，而影響基金績效的主要因素因著基金類型之不同而有差異。基金規模、手續費比率、成立年份是影響股票型基金績效之主要因素。影響平衡型基金績效之因素皆不顯著。而基金規模是影響債券型基金績效之主要因素。二、共同基金並無擇時能力，驗證結果與其他研究相似，顯示基金經理人無法預測市場波動，以致無法為投資人獲得超額的報酬。三、只有少數的股票型基金樣本具有顯著性的選股能力，而幾乎沒有任何一支平衡型基樣本具有顯著性的選股能力。四、大部分的債券型基金樣本都具有選股能力，主要是因為本研究採用MSCI全球債券指標作為評量指標，其在研究期間之利率高於台灣之利率，致使造成此現象。五、績效良好的基金其績效並沒有持續保持到下一年度，這顯示基金績效不具有持續性。並且，沒有任何一支樣本基金具有持續性之選股及擇時能力。 There has been a tremendous growth in Taiwan’s mutual fund industry in the past decade. Many Taiwanese people depend on mutual funds as a part of their investment. The purpose of this study is to examine of specific factors related to fund performance, security selection and market timing so as to provide investors guidance for future mutual fund selection. The study use yearly data (2002-2004) of domestic stock funds, balanced funds and bond funds to examine the operating characteristics and performance relationship. Additionally, the model of Treynor and Mazuy (1966) and Henriksson and Merton (1981) are employed to test the fund manager’s security selection and market timing abilities on selected mutual funds. The important findings are as follows: 1. The Sharpe ratio and net asset value provide essentially the same performance consequence for stock funds, balanced funds and bond funds over the period from 2002 to 2004. The analysis indicates that the factors significantly related to the fund performance are diverse across different investment objectives. Fund size, expense ratio and fund age are the major factors having significant impacts on stock fund returns. As for balanced funds, there is no independent variable significantly related to the fund performance. Moreover, the size of bond funds is the key factor related to bond fund performance. 2. In the area of market timing, the findings are consistent with prior research that mutual fund managers, by and large, cannot successfully time the market. No mutual fund demonstrates both security selection and market timing abilities at the same time. This presents that fund managers cannot forecast the market movement to obtain excess returns. 3. For the security selection performance, few stock funds demonstrate significantly positive performance over the studied period by both the model of Treynor and Mazuy (1966) and Henriksson and Merton (1981). Nearly no balanced fund exhibits security selection ability. 4. Most of the bond fund samples studied exhibit security selection abilities. As the Taiwan bond index is not available, MSCI global bond index is used in the study. During the studied period, Taiwan’s interest rate remains at a low level compared to the world interest rate. Thus, most of the samples of bond funds demonstrate security selection ability. 5. Those funds performed well previously do not continue the same performance in the subsequent period. No mutual fund continues showing either security selection or market timing skills in a consecutive year. This indicates that the mutual fund performance does not persist.
Appears in Collections:	[Department of Management Sciences] Thesis

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