投資風格轉移與基金管理之探討

Style Shift and the Fund Management

本文探討基金經理人管理因素與基金投資風格之關聯性，以及投資風格轉移對基金績效之影響。利用2010年至2013年期間美國共同基金投資持股季資料，並且控制基金特性因素後，實證結果發現，積極交易及選股能力較好的基金經理人有顯著風格轉換。而在市場動能較高情況下，經理人交易較相同類股，風格轉換程度下降。另外，團隊管理也會降低風格轉移機率。值得注意的是，對於更換經理人的基金，其投資風格明顯轉移，且類別改變對基金績效具有正面影響效果。此結果支持積極資金管理能預期較高投資組合績效。 This paper investigates the relationship between fund managers and investment style, andthe associated impact of style drift on fund performance. Using the stock holdings informationof U.S. mutual funds from the period 2000 through 2013 and controlling for the potentialinfluences of fund characteristics, the empirical evidence shows that fund managers withactive trading and stock selection skill have a greater magnitude of style drift. However, thefund holdings are close in the same category when market momentum increases, which resultsin lower style changes, especially for team managed funds. In addition, the replacement offund manager increases style drift and the change of investment style exhibit a positiveexpectation of fund performance. This result supports the view that active fund managementpredicts portfolio performance.