本研究旨在針對保險公司之投資型保單所連結之共同基金商品，是否具有績效持續性的特徵及聰明錢效果。聰明錢效果(Smart money effect)係指基金流量高的共同基金未來報酬會大於基金流量低的未來報酬，投資人可依據近期的基金流量形成其投資決策，來獲取投資之超額報酬。研究期間為2008年10月至2016年5月國內投資型保單連結之台灣共同基金，採用原始報酬率及以CAPM、Fama and French(1993)之三因子模型與Carhart(1997)所提之四因子模型所估計之 α 值來做為基金持續績效之衡量指標，另以基金前期績效與基金流量進行零成本投資法分析聰明錢效果。研究結果如下：1.研究期間之基金績效不具有持續性，因為持有期六個月會出現贏家(W)變輸家(L)的反轉現象。2. 以1個月、2個月、3個月為主，買進贏家(W)賣出輸家(L)不同的投資組合報酬之設定，發現投資人存在正向回饋交易現象。3. 以原始報酬與各種流量指標配對比較，發現先以流量指標找出贏家(W)及輸家(L)後，再以原始報酬率大小分出贏家(W)及輸家(L)，發現此配對投資策略，具有聰明錢效果，能獲得更高的報酬。 This research aims to focus on whether the mutual fund products linked to the investment policies of insurance companies have the characteristics of performance continuity and smart money effects. Smart money effect means that the future return of mutual funds with high fund flow will be greater than the future return of low fund flow. Investors can form their investment decisions based on recent fund flows to obtain excess return on investment. The research period is from October 2008 to May 2016 for domestic investment policy-linked Taiwan mutual funds, using the original rate of return and the three-factor model of CAPM, Fama and French (1993) and the four factors mentioned by Carhart (1997) The α value estimated by the model is used as a measure of the fund's continued performance, and the zero-cost investment method is used to analyze the effect of smart money based on the fund's previous performance and fund flow. The results of the research are as follows: 1. The fund performance during the research period is not sustainable, because there will be a reversal of the winner (W) to the loser (L) during the six-month holding period. 2. Based on 1 month, 2 months, and 3 months, buy the winner (W) and sell the loser (L) to set different portfolio returns. It is found that investors have a positive feedback transaction phenomenon. 3. Paired comparisons between the original rewards and various traffic indicators, and found that the winners (W) and losers (L) were first identified by the traffic indicators, and then the winners (W) and losers (L) were separated according to the original rate of return, and found this Matching investment strategy has the effect of smart money and can get higher returns.
