績效和流量交互影響下的基金動能投資策略在台灣市場的效果

Can Fund Investors Benefit from Momentum and Herding Strategies in Taiwan Market?

本文檢驗績效和流量交互影響下的基金動能投資策略的短、中、長期效果。以基金前期績效、前期流量、或是績效和流量的相依分組和獨立分組等不同排序機制來為基金排序分群，形成不同的零成本投資組合，並檢驗各個投資組合的短、中、長期績效。實證結果發現，根據績效和流量的相依分組和獨立分組等排序機制，基金績效的持續性在短、中、長期均存在，不論是否經過產業平均調整，或是否有控制前期流量。低流量基金在績效上優於高流量基金，不論是否經過產業平均調整，或是否有控制前期績效。證據顯示，以動能投資策略而言，追逐前期高報酬和冷門的基金，較適合追逐最高報酬的投資人。然而，動能投資策略在熊市時期可能會失效，投資人應選擇進場時機，並拉長投資期間以涵蓋完整的景氣循環期間，以發揮動能投資策略的效果。

Fund performance and fund flow interaction of momentum strategies in short, intermediate and long horizons are investigated in this study. Various sorting schemes such as one-way sorting, two-way independent sorting and two-way dependent sorting are applied to both raw returns and category-adjusted returns to form portfolios with different returnflow combinations. It is found that, by two-way sorting, return momentum exits for all horizons, no matter controlling flow or not, being adjusted by category or not. Low flow funds tend to outperform high flow funds, no matter controlling return or not, being adjusted by category or not. The evidence suggests that chasing not only past return winners but also neglected funds may be best fit for the investors who want the best returns. However, the additional information offered by past returns and fund flows may not valid in bear markets. To utilize the momentum and anti-herding strategies, the investors still need to consider timing and adopt long horizon to cover whole business cycle.