台灣共同基金操作策略之研究

On the Trading Strategies of Taiwan's Mutual Funds

10.6545/JoFS.2000.8(2).3

游智賢(Chih-Hsien Yu)；姚瑜忠(Yu-Chung Yao)

共同基金 ； 操作策略 ； 追漲殺跌策略 ； 低買高貴策略 ； mutual funds ； trading strategy ； positive feedback strategy ； contrarian strategy

中國財務學刊

8卷2期（2000 / 08 / 31）

49 - 76

繁體中文

本文的主要目的，在探討臺灣的基金經理人所採取之買賣操作策略、該策略之持續性，以及基金所採之操作策略與其績效之相關。結果顯示，一般而言，基金較傾向採取追漲但不殺跌之策略，且基金較會拫據持股當月內之報酬率，而非其前一、兩個月的報酬率而追漲。此結果顯示，基金經理人通常敏於觀察其持股之報酬率與風險之變化，並針對其變化而迅速調整個股之持股比率。其次，基金會因所持個股之公司規模大小，而採取不同程度之追漲策略。亦即，對大規模公司之個股採追漲之基金最多且其追漲之程度最大，並隨著公司規模之減小，採追漲之基金與追漲之程度亦隨之遞減。另外，對機電類股採追漲策略的基金最多且其程度亦最大。大致上，佔基金持股比率愈高的類股，對其採追漲策略之基金數也愈多。此現象可能是由於基金投資於該類股之資金較豐，故較具量能以供追漲。此外，本文亦發現基金之追漲策略具持續性，即前期追漲程度較高者，下期之追漲程度亦會較高。此結果顯示，基金經理人之追漲策略，不會因股市一時之多空變化而改變。最後，實證結果亦顯示，基金所採取之追漲策略，確實可提昇本身之操作績效。

The purpose of this paper is to investigate the trading strategy employed by Taiwan's mutual fund managers, the persistence of the strategy over time, and the consistency between the trading strategy and the fund's performance. The empirical results show that, overall, mutual fund managers tend to use the positive-feedback buy, instead of sell, strategy. The results also show that the positive-feedback buy strategy is mainly based on the stock return behavior in the same month, rather than that in the previous months. This implies that Taiwan's fund managers are used to continuously respond to changes in returns and risks of the stock holdings in their portfolios. Next, by examining the fund managers' trading strategies on the individual stocks of different market values and industry categories, we also find that although basically the trading strategy does not change much for different stocks, the number of funds using that strategy and the extent of the strategy used are quite different across stocks with different market values and industries. The larger the market value of the stocks, or the larger weights the industries are in the funds' portfolio holdings, the more the funds use positive-feedback buy strategy, and the larger the extent of that strategy is used. This result may due to the fact that there have been more capital invested in the stocks with larger market values or with larger portfolio weights in the funds. Therefore, there exhibits larger momentum for the fund managers to pursue the positive feed-back strategy. Furthermore, we also find that the above trading strategy employed by mutual fund managers has been persistent across different time periods. Finally, the results also show that there exists a significant positive relation between the fund managers' trading strategy and the funds' performance.

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