|Abstract: ||傳統探討基金績效之研究經常受到以下限制: (1)選取之基準未必有效; (2)評估方法不同將導致基金績效排名改變。本文嘗試超越上述限制, 採用無基準績效評估方法, 比較個別基金持股與市場報酬間的互動關係。個別基金的擇時能力由其整體持股比例與大盤指數之共積關係來評估。若某基金領先一期之整體持股比例與大盤指數具共積關係, 且其持股比例之調整常常領先大盤趨勢, 則基金擇時能力應予肯定。基金選股能力則以其分類持股比例與類股指數之共積關係為準。 研究結果顯示, 在40家開放及封閉型基金中, 僅約1/3的基金具顯著擇時能力。其餘基金之持股比例多數與大盤無顯著相關, 更有與大盤報酬背道而馳者。開放及封閉型基金的擇時能力並無明顯差異。就選股能力而言, 封閉型基金之八大類股持股比例皆有一到四項具共積關係。開放型基金類股持股比候與類股指數之共積關係極似封閉型基金, 這可能意味兩種基金經理人接受相同市場訊息, 且其詮釋操作皆很類似。綜合上述結果亦顯示, 甚少基金兼具擇時能力與選股能力。整體而言, 根據本文的評估結果, 台灣基金的擇時與選股能力未盡理想。|
This paper avoids the problem of benchmark selection by employing a new approach to evaluate the performance of mutual funds. The selectivity and the timing ability of 40 open-end and closed-end funds in Taiwan are tested. We proxy the timing ability of individual fund as the cointegration relationship between the fund's overall percentage holding of stock and lagged index of market. A significant cointegration relationship implies that the fund managers rebalance portfolio ahead of market trend. The selectivity is judged by the cointegration between fund's percentage holdings of individual industry sectors and indexes of corresponding sectors one period later. We found that only about 1/3 of open-end funds show market timing ability. The percentage holdings of the rest of funds either are unrelated to the market index or even move in the opposite direction. Similar results apply to closed-end funds in spite of their flexibility in controlling cash reserves. Of eight tested industry sectors, no fund shows more than 4 pairs of cointegration relationship between the percentage holdings by sectors and the lagged indexes of the corresponding sectors, which implies an unsatisfactory selectivity ability. For open- end funds, the frequency distribution of selectivity by industrial sectors is very similar to that of close-end funds, implying that both types of funds receive the same information and process in the similar manner. Also, it is interesting to note that funds with good timing ability do not necessarily show superior selectivity, and vice versa. In summary, the evaluation using our new approach indicates that the mutual funds in Taiwan generally do not possess dominant ability in timing or selectivity.