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基金經理人替換與風格移轉之研究 / The Study of Change of Mutual Funds Manager and Equity Style Shift蔡承家, Tsai, Chen-Chia Unknown Date (has links)
基金經理人相較於一般投資大眾,具備了相當豐富的財金背景與知識,並且幾乎每天都拜訪各上市上櫃公司,深入瞭解各公司營運狀況,而各投信公司內部又設有研究部門,協助基金經理人收集資料、分析報告,因此投資績效相對於一般大眾好。只是國內投資信託環境還不夠成熟,基金經理人的更換太過頻繁,早已嚴重影響投資人的權益。此外,一般相信在投資組合的資產配置確定時的那一刻,便已經決定了報酬的多寡。Sharpe(1992)曾提出資產類別因素模型,發現基金績效表現可由基金之投資風格所解釋,那麼基金的正確分類便顯得非常重要,而其投資報酬,也在其投資風格確定的一刻起,便早已決定了。
本研究試圖構建出基金的投資風格指數,並檢視基金經理人異動之後,基金的績效表現、風險偏好、選股與擇時能力是否有顯著差異,最後,根據構建出的風格指數,檢視各基金在經理人替換後,是否發生風格移轉的情形,進行相關探討。
本研究利用Sharpe指標與Jensen指標來檢視基金前後期績效之差異,並分別利用統計檢定檢視其風險上的差異,此外,引入Treynor-Mazuy迴歸模型,用以分析前後期基金經理人的選股與擇時能力,最後,利用二次式規劃求解來分類並檢定其前後期投資風格是否一致。研究期間為民國89年4月以前經理人曾經替換過之基金,共篩選出28支曾經歷過經理人替換之開放式股票型基金,實證結果如下:
1.僅有跳槽此原因能顯示出經理人替換前績效優於經理人替換後績效,其他諸如離職或內部轉任等,皆無法有顯著差異情況。整體而言,基金經理人替換和績效表現並無顯著相關的情形。
2.實證結果顯示,不論在總風險、系統風險與非系統風險上,經理人替換後皆明顯的低於經理人替換前。
3.實證結果顯示,在基金經理人替換前後期的選股與擇時能力上,在基金經理人替換前後期的選股能力上,經理人替換後明顯優於經理人替換前,但在基金經理人替換前後期的擇時能力上,經理人替換前卻明顯優於經理人替換後,二者間似乎存在一種抵換關係。
4.實證結果顯示,在研究的28支基金樣本中,有27支基金在經理人替換後發生風格移轉的情形,風格移轉比率高達96.43%。
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開放一般型股票基金之報酬與其現金流量關係之探討 / The Relationship between Performance and Cash Flows of Open-end Equity Funds in Taiwan鄭秉倫, Jheng,Bing-lun Unknown Date (has links)
Pervious academic researches point out that there are two-way effects in the relationship between fund return performance and cash flows. The preceding fund return performance would attract net cash flows and cash flows would adversely affect the succeeding fund return performance. This paper tries to verify that whether these effects exist in Taiwan and examine these effects in more details. The results are partly consistent with pervious literatures. In our sample, we find that fund return performance positive influences both cash inflows and outflows and cash flows do affect succeeding return performance.
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共同基金經理人調整操作風險行為與最適控制契約設計之研究 / A Study of the Mutual Fund Managers' Risk-Adjustment Behavior and the Design of a Performance-Based Incentive Contract王健安 Unknown Date (has links)
基金經理人與投資人間的代理問題起源於兩者目標的不一致,前者要求個人薪酬財富的極大化,後者要求投資組合價值的極大化。造成目標歧異的原因有兩個:其一是在資訊不對稱的環境下,投資人無法觀察到經理人投資組合是否真正從投資人利益角度出發,因此引發了經理人的道德危險;其二是在競爭激烈的基金產業□,年度定期績效評比結果與經理人薪酬紅利多寡相連結等制度的設計,加重經理人選擇持有一個高風險投資組合的逆誘因,特別是期中累積績效較差的輸家,隨著年終總績效結算日期的接近,在自利動機的驅使下可能會透過較高的操作風險調整幅度,企圖扭轉頹勢以求反敗為勝。
本研究首先利用卡方檢定、t檢定與Logistic迴歸模式,實證國內基金經理人是否具有自利性風險調整的行為傾向,接著從契約設計的觀點,以理論模式推導命題的方式,探討三種不同型態的誘因費契約對於抑制經理人自利性風險調整行為的作用,並間接利用問卷調查的方式來驗證其效果。研究的結果發現:
1.國內基金經理人不管是贏家或輸家,在越接近年終總績效的結算時,都會偏向選擇一個高風險的操作水準,同時,上述特性在非外資型投信公司所發行的基金、新基金、小規模基金、資淺經理人所操盤的基金特別明顯。
2.基金投資人對於季等短期績效的過分重視,是導致國內經理人操作風險調整幅度偏高的主要原因之一。
3.純粹誘因費契約以及只加上「上限條款」設計的契約,這兩種契約都無法抑制經理人冒高風險的傾向;而純粹誘因費契約加上「懲罰條款」的設計,有抑制經理人自利性調高操作風險行為的效果。
本研究成果的貢獻主要有兩點:
1.在政策應用上,本研究提出契約條款設計的理念,對於我國擬開放勞退等大型基金委託代客操作,雙方契約該如何設計以確保投資人的權益,有相當參考的價值,本研究同時也對投信公司、基金經理人等提出相關的制度性建議。
2.在理論推導上,本研究融合一般化均衡分析法與選擇權理論的應用,將不同型態的誘因費契約化成經理人向投資人所購買的歐式買權,標的資產為經理人所持投資組合的價值,履約價格為比較基準指數的價值,執行日期為一年期的績效評比,模型導証的重點是經理人所選擇投資組合的風險程度與該類比選擇權價值的關係。 / An important question for the contracting literature is the extent to which real behavior is driven by the financial incentives contained in compensation schemes. To address this issue, (1) we use the tournament concept as the framework, and focus on the competitive nature of mutual fund environments how to affect the managers' portfolio decision-making processes. (2) we also use the Black-Scholes option pricing model as the framework, and analyze the impact on the mutual fund managers' risk-manipulation behavior of a performance-based incentive plan.
Given the asymmetric information financial markets, most investors of mutual funds can not measure the funds' risk without error, thus, agent-divergent behavior may potentially arise. In a tournament reward structure, the managers' rational attempting to maximize their expected compensation may revise the risk level or alter the composition of their portfolio during the assessment period. While there will be times when such changes don't serve the best interest of funds' investors.
Our research demonstrates the following results:
1. An empirical investigation of 86 open-type mutual funds during 1995 to 1998 with the methods of test, t test and the Logistic regression shows fund managers with poor performance would become aggressive and tend to increase fund volatility in the latter part of an annual assessment period. The effect is obviously clear toward the end of the year and it is involved with the investors' myopic of the assessment to the managers' performances.
2. In our model, the bonus is similar to a call option on the funds' portfolio. Three types of incentive contracts are compared. The results show that the incentive contract with penalty can reduce managers to adversely alter the risk of the portfolio they manage. It dominates the pure incentive contract and only with a ceiling incentive contract. Questionnaires investigated by fund managers will support some hypothesis.
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