The Impact of Mutual Fund’s Management Strategy on Performance

[[abstract]]摘要 基金管理策略如何影響基金績效，一直是學者與實務者共同關注的焦點。本 文以2001 年到2008 年的國內股票型共同基金為研究對象，在控制其他基金績效 影響因素下，檢驗基金管理策略與基金績效的關係。基金管理策略積極程度之衡 量是採用殘差追蹤法，以Fama-French-Carhart 的四因子模型為基準模型，基金 報酬率對四因子之迴歸模型的R2 越小和殘差標準差越大，代表基金管理策略越 偏向積極。實證結果發現，台灣股票型共同基金的管理策略與基金績效具有顯著 的同期關係，即管理策略越積極的基金，其同期基金績效越佳。不過，基金管理 策略對未來基金績效並無預測能力，且無助於基金績效的持續性。[[abstract]]ABSTRACT The relationship of fund management strategies and fund performance has been an important issue focused by academics and practitioners Using Taiwan equity mutual fund data from 2001 to 2008 we investigate the relationship between the management strategy of mutual funds and their performance after controlling the different fund characteristics There are two measures to detect the degree of active management of a fund The first is R2 obtained by regressing fund’s return on the Fama-French-Carhart four benchmark portfolios Lower R2 represents higher degree of active management The second is the standard deviation of the difference between a fund return and its benchmark portfolio return Larger standard deviation of tracking error measures the higher degree of active management The empirical results show that a significantly positive relationship between the degree of active management and performance in the corresponding period of time However the degree of active management can not predict the following year’s fund performance and is not helpful to performance persistenc