基金風格飄移之研究(以國內股票型基金為例)

Abstract

本研究主要在分析基金經理人風格漂移的決定因素。以1998至2018年間存續期間五年以上之國內股票型基金為樣本，並使用有別於晨星(Morningstar)的基金報告中使用的風格箱的分類方式，運用Carhart (1997)四因子模型計算出factor-loading(因子負載量)，數值化並比較前後期的差異，來探討基金風格是否飄移及其飄移的原因，此方法相較於晨星的風格箱，能更精細地抓到經理人在投資策略上的轉變，且在更深入探討投資風格如何改變時，能更準確地去解釋它(有別於晨星風格箱中的市值規模以及價值因素)。主要研究方法使用Fama-Macbeth二階段迴歸及羅吉斯迴歸，並建立三項欲研究之變數，在兩種迴歸模型下，去探討對四個因子(MKT、SMB、HML、UMD)的影響力。市場上公開的基金資訊並不透明，投資人常常只做為一個提供資金的角色而並未充分了解經理人實際操作投資時的情形，在這樣的資訊不對稱下，經理人可能會有做出傷害投資人權益的決策而投資人並不自知，透過本研究可以實際了解到在本國的基金市場，是否會有這樣的情形發生，而有哪些因素和這樣的情形市有正向關係。

The purpose of this study is to examine the determinants of style shifting of mutual fund managers in Taiwan. Using a sample of domestic stock funds in Taiwan with a duration of more than five years from 1998 to 2018, the current study uses a classification method which is different from the style box utilized in Morningstar's fund reports. In particular, using the four-factor model from Carhart (1997), this study calculates the factor-loadings on risk factors for each fund, and estimate the style shifting of each fund in each period by comparing the changes in factor loadings. Compared with Morningstar's style box (which classifies style by market capitalization and growth/value), our method can capture the changes in managers’ investment strategies more precisely and make a more in-depth discussion of how investment styles change. Market timing, turnover, and private information are three main explanatory variables to account for fund manager’s style shifting. Using Fama-MacBeth regressions and Logistic regressions for model specifications, this study finds that turnover and private information are main reasons to account for fund manager’s style shifting in Taiwan. Since “true” fund style disclosed in the market is not promptly or transparent enough, investors may only play a role of providing capital and do not fully understand how managers operate the portfolio The current study provides empirical results to answer what factors have a positive effect on manager’s style shifting in Taiwan.