Gender and Human Capital of Mutual Fund Managers and the Operating Efficiency

國外曾有研究指出，女性投資人的長期投資報酬率優於男性；反觀國內針對性別與投資績效的文獻非常稀少，尤其再結合人力資本的相關主題至今仍付之闕如。本研究將首開先例，探討基金的管理績效是否會因為基金經理人的性別及人力資本的不同而有所差異。本文的研究對象是負責管理與操作國內一般股票型共同基金的濟 42位經理人，其中 31位男性及 11位女性；而每個月結算基金績效，採計期間是在金融海嘯之前，自 2006年 4月到 2008年 3月共有24個月之久。本文運用多產出相對於多投入的「資料包絡分析」來評比個別基金經理人的相對操盤效率；其中，投入變數是有關經理人的人力資本，包含教育程度、基金管理經驗及持續操作所屬基金的年資，而產出變數則是操盤基金的報酬率與風險波動度。統計檢定則是配合「資料包絡分析」的特性，採適用於效率值母體分配未知的無母數方法。 研究結果發現，平均而言，女性基金經理人的操盤效率高於男性，且呈現統計上的顯著水準；代表在相似的人力資本投注下，女性的共同基金經理人往往可以為大眾帶來較好的投資績效。另外，本文實證發現女性基金經理人的平均操盤週轉率較低，這與國外文獻吻合，認為較低的週轉率可導致較好的基金績效；但實證也發現女性基金經理人所管理的基金規模較大，這與國外研究認為基金規模與績效的關係不明顯或稍顯負向的結果，卻大異其趣。本研究可能受限於選樣總數看似不多，但超過四分之一的女性樣本卻高於大多數性別研究的相關文獻；而首先運用的「資料包絡分析」方法，有別於傳統迴歸分析，足以提供不同的觀點來精進這個領域的研究。
No study has explored the relationship among gender differences, human capital, and investment performance. This article is the first to answer the question, “Do female fund managers outperform male ones in fund performance given the same amount of human capital inputs?” Forty-two stock fund managers in Taiwan, 11 females and 31 males, were the subjects of this research. The research period for evaluating fund performance was the 24 months prior to the financial tsunami, from April 2006 to March 2008. Data envelopment analysis (DEA) was used to evaluate the fund managers’ operating efficiency ratings by handling multiple input and multiple output variables simultaneously. The input variables regarding the human capital of the fund managers were their fund management experiences, tenure in managing a specific fund, and their education levels, whereas the output variables were the returns and risks of fund performance. A statistical test was used to determine whether the difference between female DEA efficiency ratings and those of males was significant. Our research showed that the average operating efficiency of female fund managers was significantly higher than that of their male counterparts; or, equivalently, female managers outperform males in managing mutual funds, relative to the amount of human capital inputs. These findings are consistent with those of previous studies and may be attributed to the lower turnover rates of female managers, as shown in this study. However, facts showing that female fund managers in Taiwan operated larger-scale mutual funds while that fund size produced minimal or no negative impacts on fund performance differ from existing research results. The sample size is limited; however, this study has a greater proportion of females than that of most similar studies. In addition, in contrast to traditional regression models, this study’s DEA approach can elucidate future research to be performed in this area.