股票型基金之比較研究：集中與分散投資型態

本文使用股票型基金持有個股數、前十大持股總投資比例以及產業集中度作為基金投資集中度之衡量準則，探討基金經理人之擇股與擇時能力，並研究基金特性對集中股票型基金績效之影響效果、集中與分散股票型基金是否存在績效持續性，以提供專業經理人或投資人之投資組合策略參考。實證結果發現，以「持有個股數」為基金投資集中度之衡量準則時，集中股票型基金績效較佳。當以「持有個股數」及「前十大持股總投資比例」衡量基金投資集中度時，集中股票型基金之基金經理相對較具有擇時能力。集中股票型基金規模對績效具正向影響，顯示集中投資之股票型基金存在規模經濟效果；集中股票型基金之週轉率對績效具負向影響力，表示集中股票型基金之週轉率愈高時，其績效表現愈差。整體而言，集中股票型基金較相對較具有績效持續性，正向、負向持續性皆高於分散投資之基金。

關鍵字

集中股票型基金；持有個股數；投資比例；產業集中度；基金績效；績效持續性

並列摘要

This paper uses holding stock quantity, the top ten investment ratio and industrial concentrated index as measuring the degree of concentration of equity funds. We examine the ability of identifying stocks and market timing for concentrated equity funds. We also investigate whether the characteristics of concentrated equity funds influence the funds’ performance and there exists performance persistence for equity funds. The empirical results show that the performance in the concentrated equity funds is better by using the measure of holding stock quantity. Under holding tock quantity and the top ten investment ratio as measuring standards, the fund managers who use the investment styles of concentrated equity funds have the stock-picking ability. The size of the concentrated equity funds positively affects the performance and exhibits the economies of scale. The turnover of the concentrated equity fund negatively affects the performance and shows that the higher turnover of the concentrated equity fund harms the fund performance. As a whole, the concentrated equity funds have more obvious positive and negative performance persistence than the distributed equity funds.