傑出共同基金操作策略之研究

On the Trading Strategies of Outstanding Mutual Funds

本文主要研究目的旨於探討台灣金鑽獎傑出基金之操作策略及其操作策略與績效關聯性之研究。文實證結果有三點發現：(一)大部分傑出基金傾向對當季個股報酬率，採用追漲殺跌之操作策略且追漲與殺跌比例相當；對前一季與前二季個股報酬率，比較傾向採用買低賣高操作策略。(二)出基金都對中、大規模公司與傳產類股採取追漲策略比例較高；且對金融類與電子類股採取買低略比例較高。(三)傑出基金當季採追漲殺跌策略以及前一、二季採買低賣高策略皆與當季績效具有密切之關聯性。

The objective of this paper is to examine trading strategies and the relationship between trading strategies and performance for outstanding mutual funds winning the golden diamond award in Taiwan. This study has three empirical findings. First, most of outstanding mutual funds take positive feedback strategies for the latest quarterly stock returns, and the proportion of buying winner stocks and selling loser stocks strategies is nearly quite. Further those mutual funds take contrarian strategies for the former two quarterly individual stock returns. Secondly, in terms of the outstanding mutual funds, the proportion of buying winner stocks in the middle and large size and traditional industry companies is high. On the other hand, the proportion of buying loser stocks in the financial and electronic industry companies is high. Finally, the outstanding mutual funds take positive feedback strategies for the latest quarterly period and take contrarian strategy for the former two quarterly periods are closely related to the latest stock performance. The results imply there are many differences in the trading strategies of stocks between the outstanding mutual funds and general mutual funds. Perhaps it is one of the crucial reasons that the outstanding mutual funds perform better than general mutual funds.