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％。

儘管近幾年來台灣的基金市場蓬勃發展，且國外有關基金投資風格是否存在錯誤分類現象的實證研究正方興未艾，但台灣投資人目前對於何謂「基金投資風格」尚缺乏足夠認識，絕大多數仍只重視基金績效表現之優劣，而值得注意的是，若要進行共同基金績效評比，必須在基金風格已正確分類之前提上，此績效評比或排名才有實質意義；此外，台灣的基金公開說明書往往語焉不詳，基金投資風格分類極不明確，因此本研究的主要目的為提供正確區分共同基金風格型態之分類方法，並檢驗是否存在風格錯誤分類之現象，同時分析此風格分類方法之穩定性。 　　本研究之研究對象為台灣的86支開放型基金，衡量期間為1997年1月至1998年12月，以歷史月報酬率進行風格分類，同時並利用單因子ANOVA比較不同風格型態基金間各特徵值：月報酬率、系統風險、基金規模、總投資比率、單月買進及賣出週轉率是否存在差異，獲得結論如下： 1.樣本基金確實存在投資風格錯誤分類之現象，且事前宣稱之投資風格與實際表現之投資風格具有顯著之差異。 2.重新分類後，不同風格型態間基金之系統風險、規模、單月買進及賣出週轉率具有顯著差異，而月報酬率與總投資比率則不顯著。 3.經由拔靴法衡量基金風格轉換率與跨期衡量基金風格最大保留率之檢驗，證明本研究之風格分類方法具有穩定性。 第一章 緒論 1 第一節 研究動機與背景 1 第二節 研究目的 3 第三節 研究架構 4 第二章 文獻探討 6 第一節 共同基金風格型態種類 6 第二節 共同基金風格分類方法之研究 7 第三節 基金風格型態分類方法穩定性 15 第三章 研究設計 18 第一節 研究假設 18 第二節 研究對象及資料來源 19 第三節 研究方法 23 第四節 研究流程圖 35 第四章 實證結果與分析 36 第一節 共同基金風格型態重新分類 36 第二節 不同風格型態基金間特徵值是否存在差異性 46 第三節 風格分類方法之穩定性 56 第五章 結論與建議 59 第一節 研究摘要與結論 59 第二節 研究限制 62 第三節 建議 63 參考文獻 66

共同基金是未來投資理財約主流!專業法人機構在股市之投資比重日益提高，對國內證券市場生態產生結構性改變。展望未來趨勢，隨著股市發展成熟化、上市上櫃公司遽增與金融市場情勢連動關係複雜化等因素，專業投資理財時代的來臨必將成為事實。「專業、分工理財」投資型態將逐漸取代以往投資人自行下海操作之「自助式理財」型態。故共同基金操作績效正是進行本評鑑研究的最大動機，其中辨認基金經理人操作策略與績效顯現最具代表性的指標--選股能力與擇時能力．乃本研究所欲深入探討的主題。本研究模型之構建乃根據 Lee-Rahman (1990) 所提出之改良評鑑模式，簡言之，該模型的發展歷經早期 Treynor & Mazuy (1966) 的理論雛形，並經過 Jensen 針對評鑑擇時能力方面之改進，然後再經由 Bhattacharya & Pfleiderer (1983) 的進一步修正，產生了較完善的整體架構，最後經由 Lee-Rahman (1990) 針對評鑑過程中評鑑迴歸式之殘餘項異質性問題，作一根本的解決，建構完整的基金選股與市場擇時能力績效之評鑑模式。同時並運用幾個傳統績效評鑑指標 (即 Treynor、 Sharpe 與 Jensen 指標三種)，作為基金整體性績效之輔助研究。 實證結果顯示:(一)在基金整體績效評估方面，得到的結果顯示不論研究期間的長短．基金表現擊敗大盤的比例皆高於五成，約介於 60% 至 70% 左右，而在 Treynor、Sharpe 與 Jensen 指標三種不同評鑑模式分析下，基金績效排名有相當顯著的一致性。(二)在選股與市場擇時能力評鑑( Lee-Rahman 修正模型)方面:1.同時兼具選股與市場擇時能力的基金皆有穩定的一致性;2.大多頭時期基金擇時能力普遍提昇、新投信基金績效表現較優異。(三)整合比較結論方面:1.本研究中不同的評鑑模式所得實證結果十分肯定基金績效的持續性與穩定性;2.基金顯著的擇時能力並非基金整體績效脫穎而出的決定性因素，績效傑出與否幾乎決定於選股功力因素:3.台灣股市投資 Bottom-up 的投資邏輯漸漸取代 Top-down ;4.新投信績效已有凌駕老投信的趨勢。 / Mutual Funds Investment will be very popular! While the professional institutionalist's participation being promoted, domestic stock market environment has beenchanged structurally. In the future, accompanied by several reasons such us the_maturationof stock market, dramatic increasing in listed company numbers and more complex correlation in international financial markets, the age stressing on professional financial adversary will come. "Professional financial investment and adversary" will substitute for"Self-adversary" investment. Therefore, measuring the mutual fund's performance is the mailmotivation of my study', and the insight in selectivity ability and market timing ability will bethe subject for further research. The research model is based on the Lee-Rahman's modified model (1990), that is, the model structure was first built by Treynor & Mazuy (1966), improved by Jensen in Timingability measurement, and then revised by Bhattacharya & Pfleiderer (1983), and throughout structured by solving the "heteroscedasticity" in error terms of regressions finally Therefore, the better integral research model on measuring selectivity ability a timing abilityhas been accomplished. Meanwhile, we also use three traditional performance measure(Treynor, Sharpe & Jensen index) to be the general performance research. Empirical results show that (1)By measuring the general performance of mutual funds, we know that about 60%-70% funds managers beat market at each research period, and there exists consistency of fund's performance ranking among those three measures. (2) By using Lee-Rahman modified model (1990), we got three conclusions. First, for those funds consist of selectivity and timing ability, there exists consistency. In bull market period, timing ability of most funds performed better generally, and new funds had better performance. (3) Integral comparative conclusions have four results. First, no matter what measures being used, empirical results confirm stability and consistency in performance ranking. Second, significant timing ability is not the determinate factor of significant performance, significant selectivity ability plays the determinate role. Third, in Taiwan, bottom-up investment strategy gradually substitutes for top-down investment strategy. Finally, new mutual funds investment co. had outperformed old mutual funds investment institutions.

本研究的主要目的在於引用學理上有關共同基金的績效評估模式，對投資 於國內證券市場的共同基金，分別在多頭與空頭市場下，進行績效評估， 並檢定有關的假說。其中，檢定這些共同基金在不同時期的績效表現是否 具有持續的性質，乃本研究最主要的假說檢定。此外，證管會決定開放新 的證券投資信託公司設立，新的競爭者加入經營，其對投信事業以及整個 證券市場在不久的將來所造成的衝擊，也是本研究欲嘗試加以窺探的主題 。本研究得到以下的結論：一?共同基金的績效表現，會隨著評估期間與 績效指標的不同而異。在多頭時期，以福爾摩莎與福元基金表現最好，國 民與中華基金表現最差；在空頭時期，以台灣與福元基金表現最好，光華 與鴻運基金則表現最差。二?績效指標的選擇，可用Sharpe及M.C.V.績效 指標評估共基金整體績效；以Fama模式的淨選擇能力及分散能力評基金的 分散能力和選股能力。三?國內基金的平均報酬率未優於市場投資組合平 均報酬率。四?開放型基金與封閉型基金的績效差異不顯著。五?四家舊 投信的投資績效差異不顯著。六?國內共同基金的績效表現，經由統計檢 定發現，在本研的前後期不具顯著的持續性。七?國內原有四家投信的投 資績效，經由統計檢定發現，前期不具顯著的持續性。八?新投信依照股 權結構區分為專業經營型?證券商主導型財團主導型。各種類型的新投信 有其優缺點，而各家投在專業人才?基金管理?促銷及投資策略上或有異 同。九?主管機關對開放投信設立採取自由競爭的態度。十?新投信開放 設立後將對證券市場及現有投信造成衝擊

本論文名稱:借鏡英國探討台灣基金市場行銷服務模式之改進方向。主旨係探討國內基金市場行銷現況，旨揭銀行主導銷售的服務模式及費率揭露乃至資金流向疑慮等幾大問題。輔證外國學者學術探討，以及參酌英國共同基金市場發展經驗，提出如統合專業證照、建立類IFA功能、顧問費合法化、開創多元理財商品之開放式交易服務平台及金融監理應扮演角色有關研究心得。 國內商業銀行(前30大)僱用相關理財業務人員已達到4萬餘人，主導共同基金銷售趨勢。但依據國外學者研究，以商業銀行主導基金商品銷售，卻可能衍生問題，形成資金流向扭曲。銀行薪酬制度設計也與理財商品銷售資金流向形成互為因果的連帶關係。銀行能否擺脫佣金高低作為投資建議動力，金融消費者能否得到適合自身的投資組合，仍然存疑。 英國基金市場發展已久，尤其以具有允許收取單一顧問費的獨立財務顧問運用多元化資產組合的包裹基金平台，最具特色。獨立財務顧問運用包裹基金平台給予民眾建議，無論保險、股票、基金、退休金方案等都可透過平台加以交易、組合以及管理等。這樣的投資組合建立、整合交易、保管及管理等模式，提高了消費者和金融業者的管理和投資效率。 參考英國發展基金市場經驗，台灣得以借鏡之處，為加以整合有關金融投資商品證照的分散現狀，並拋開金融機構分業管理的歷史包袱，允許獨立財務顧問存在，給予顧問費收費合法化空間等等。另外，打破現狀，允許商業銀行開放出交易平台供顧問代客戶執行交易，則有助於個別顧問與銀行的良性合作及競爭關係，發展投資理財市場朝向提供金融消費者最適化投資組合的有利環境。 / This paper naming”On the Enhancement of the Mutual Fund Distribution Marketing in Taiwan: Lessons from the UK” subjects local fund marketing status, aims to expose issues of current bank-sales and service model, meanwhile the transparency of sevice rate disclosure. With secondary evidence of foreign scholars’ academic research, concerns of dispute of capital flows as well as other issues i.e.whether consumers get proper sevices and products arised. The status quo in UK fund market is in particular that allows financial advisers to charge a single advisory fee by applying diversified portfolio fund platform and making portforlio suggestion for their clients which includes recommendations and trading of stocks, funds, insurance, pension schemes etc., so as the related services of custody and management. This market will only succeed if it can build a highly efficient operating platform that reduces the operating costs of intermediary firms and product providers alike – creating enhanced value across the value chain that can be shared between customers, intermediaries and product manufacturers (including platforms). Taking into account the development of UK mutual fund market, lessons we have captured such as integration professional licenses, the establishment of classes IFA function, legalization of advisory fees, and create an open trading financial multi-service platform system, etc. Also, financial supervision should play an important role in the research experience.

Syfte: Syftet med studien är att undersöka hur aktivt förvaltade fonder presterar jämfört med indexfonder, när avkastningen har justerats för förvaltningsavgiften. Indexfonden representeras av ett jämförelseindex och studien omfattar en tioårsperiod, 2000-2009. Det faktum att en apa vann aktie SM 1993, framför professionella placerare, visar att aktiekurser är slumpmässiga. Varför ska en investerare då lita på att en förvaltare är bättre på att utvärdera marknaden och dess placeringsmöjligheter än andra? Metod: En kvantitativ metod har använts i uppsatsen, där data har erhållits från Morningstar och SIX Telekurs. Det insamlade materialet har bearbetats i Microsoft Excel för att beräkna fondernas avkastning och prestationsmått. Resultatet har redovisats i tabeller och diagram i empirikapitlet, för att sedan analyseras och jämföras med den teoretiska referensramen. Resultat & slutsats: Endast en av tio aktivt förvaltade fonder överträffar index, därmed dras slutsatsen att indexfonder är ett bättre investeringsalternativ än aktivt förvaltade fonder. Resultatet visar därmed att den högre förvaltningsavgiften som fondbolagen kräver från sina kunder inte är berättigat. Förslag till fortsatt forskning: Baserat på de resultat som kommit fram i uppsatsen, voredet intressant att genomföra en kvalitativ studie där fondförvaltarens åsikter är i fokus. Hur motiveras den höga förvaltningsavgiften, när de inte överträffar index? / Aim: The fact that a monkey won the Swedish Championship in stocks in 1993, ahead of professional investors, shows that stock prices are random. Why should an investor trust that a professional manager is better on evaluating the market and its investment opportunities than others? The purpose with this thesis is to investigate how active managed funds perform compared to index funds, after subtraction of the management fee. The index fund is represented by a “comparison index” and the research covers a period of ten years, between 2000 and 2009. Method: A quantitative method has been used in this study, where the information has been received from Morningstar and SIX Telekurs. Microsoft Excel has been used to process the collected data in order to calculate the expected return and the risk measures. The result is presented in diagrams and charts in order to analyse and compare it with the theory. Result & Conclusions: Only one out of ten active managed funds outperform index,therefore draws the conclusion that index funds is a better investment option than active managed funds. The result shows that the higher management fee that stock exchange companies claims is not appropriate. Suggestions for future research: Based on the results in this thesis, it would be interesting to do a qualitative research where the focus is on the fund managers’ opinions. How can they motivate the high management fee, when they don’t outperform index?

This thesis consists of three essays in behavioral finance: One for the Gain, Three for the Loss is a study of loss aversion in portfolio choice. Using historical returns, I find that the pain of a loss must be greater than three times the pleasure of a gain for investors to hold finitely leveraged portfolios. For lower rates of loss aversion, in particular those proposed in the earlier experimental literature, portfolio allocation to risky assets is infinite. All Guts, No Glory: Trading and Diversification among Online Investors explores the cross-sectional portfolio performance of 16,831 investors at an online discount brokerage firm. Investors hold undiversified portfolios, show a strong preference for risk, and trade aggressively. I show that investors with high portfolio turnover underperform their benchmarks. The degree of diversification, a proxy for investor skill, has a separate and distinct positive effect on performance. Equity Mutual Fund Flows and Stock Returns in Sweden uses time series methods to characterize the relation between unexpected flows to equity mutual funds and returns on the Swedish stock market. I find that concurrent unexpected flows and returns are strongly positively correlated. Unexpected flows have a distinct effect on returns even when other risk factors are considered. / Diss. Stockholm : Handelshögsk., 2004

Bank-managed equity funds are not inferior to their non-bank counterparts. Previous research reporting relative underperformance of bank-managed funds ignored their differing fiduciary standards. To evaluate bank and non-bank funds facing similar fiduciary responsibilities, domestic retail funds approved for Singapore’s Central Provident Fund Investment Scheme were examined, as they meet the same standard for managing social security savings. Returns from these funds correlate highly with market performance. Even though these fund returns exceeded guaranteed interest rates, they did not outperform their market index.With financial market deregulation in Southeast Asia, local banks in small economies withstand erosion of business by foreign competitors. Banks, in order to increase profits, compete with local as well as foreign insurance and investment companies by offering mutual fund products. To remain competitive, banks need to shed their reputation for not being able to generate impressive fund returns, as their funds are not inferior to those from insurance and investment companies in terms of assets under management, expenditures, returns and risk. To gain competitive advantage, banks can differentiate their fund characteristics and reduce portfolio management costs.Mutual fund characteristics can affect expected returns or transaction costs. Factors affecting expected returns include asset allocation and systematic risk, while transaction costs include explicit and implicit ones, which can be measured by expense ratios and size of funds respectively. Insignificance of transaction cost determinants in affecting actual returns can be attributable to dominance of factors affecting expected returns.

Bank-managed equity funds are not inferior to their non-bank counterparts. Previous research reporting relative underperformance of bank-managed funds ignored their differing fiduciary standards. To evaluate bank and non-bank funds facing similar fiduciary responsibilities, domestic retail funds approved for Singapore’s Central Provident Fund Investment Scheme were examined, as they meet the same standard for managing social security savings. Returns from these funds correlate highly with market performance. Even though these fund returns exceeded guaranteed interest rates, they did not outperform their market index.With financial market deregulation in Southeast Asia, local banks in small economies withstand erosion of business by foreign competitors. Banks, in order to increase profits, compete with local as well as foreign insurance and investment companies by offering mutual fund products. To remain competitive, banks need to shed their reputation for not being able to generate impressive fund returns, as their funds are not inferior to those from insurance and investment companies in terms of assets under management, expenditures, returns and risk. To gain competitive advantage, banks can differentiate their fund characteristics and reduce portfolio management costs.Mutual fund characteristics can affect expected returns or transaction costs. Factors affecting expected returns include asset allocation and systematic risk, while transaction costs include explicit and implicit ones, which can be measured by expense ratios and size of funds respectively. Insignificance of transaction cost determinants in affecting actual returns can be attributable to dominance of factors affecting expected returns.

本研究探討投資者在低利率時代下是否存在追逐股票收益型基金之現象及投資者所投入至股票收益型基金之資金在未來一年中是否能夠擁有較佳之績效。本研究利用美國國內股票型共同基金市場資料進行實證研究，發現股票收益型基金在利率較低時將出現較大之資金淨流入，高成長型基金則在利率越低時，將出現較大之資金淨流出。因此，本研究推論投資者在利率較低時存在追逐股票收益型共同基金之行為。此外，本研究結果亦顯示利率越低時，投資者所投入至股票收益型基金之資金在未來一年將有較高之報酬。總結而言，投資者確實在低利率時代會採行投資於股票收益型基金之策略，且利率越低時能夠從中獲得較高報酬。 / The main purpose of this study is to examine whether equity income funds can generate more fund flows from investors during the low interest rate period and whether these equity income funds with more fund flows can obtain better future performance. Empirical results show that, during the low interest rate period, equity income funds enjoy higher fund inflows, while high growth funds suffer from redemption. This indicates that investors tend to pursue equity income funds rather than high growth funds when the interest rate is low. Furthermore, this study finds that equity income funds which attract more fund flows can have better future performance when interest rates are lower.