基金績效歸屬與基金流量之關聯性

Relationship between Fund Performance Attribution and Fund Flows

本文主要探討基金之績效歸屬分析，並進而檢視基金流量對於基金經理人操作能力所造成的影響。利用1993年7月至2011年6月國內股票型共同基金為樣本，實證結果顯示，國內股票型基金在績效歸屬分析之後，具有選股能力與風格投資能力，但較不具有擇時能力。此外，基金流量對基金經理人未來的風格投資能力與未來的基金報酬具有顯著的正向影響，表示當基金規模擴大時，經理人並非尋求額外的投資標的，而是會維持其原本投資組合所設定的投資風格，並增加風格股票的投資規模，此與Pollet and Wilson(2008)和Cremers and Petajisto(2009)觀點一致。

This paper investigates the performance attribution of mutual funds and the effects of fund flows on the operational capability of fund managers. We observed Taiwanese equity funds between July 1993 and June 2011 and found that the performance attribution analysis of Taiwanese equity funds is characterized by their stock-picking and style-investing ability, but not their timing ability. Fund flows have a significant and positive correlation with future style investing ability of fund managers and future fund performance. These findings indicate that when fund size is extended, fund managers do not seek additional investment targets. In contrast, they attempt to retain the style setting of the original portfolio and increase the investment size in style stocks. This evidence is consistent with the viewpoints of Pollet and Wilson (2008) and Cremers and Petajisto (2009).