本研究探討組合型基金與一般共同基金之基金風險、績效持續性以及投資者是否具有聰明錢效果,同時亦驗證基金是否具有規模經濟之存在。研究結果發現,組合型基金風險小於一般共同基金,並且以基金績效持續性而言,組合型基金正向持續之比率也較高。進一步驗證投資者是否具有聰明錢效果時則發現,只有在前期績效好並且基金流量較高時,投資者才會正確的投入資金在基金中,並藉此獲得超額報酬。在研究基金是否存在規模經濟時則發現,一般共同基金相較於組合型基金而言,規模經濟的效果較明顯,但兩者均存在規模經濟,由此可知投資者可選擇大規模基金,以減少費用之收取,以避免基金費用侵蝕收益之情形。
This paper focus on the comparison of investment risk, performance persistence and smart money effect between fund of funds and traditional asset class mutual funds. Finally, confirms the fund whether to have existence of the economies of scale. We find that fund of funds are not as volatile as traditional mutual funds in the comparison of the funds’ risk. In the analysis of fund performance persistence, funds of funds have higher ratio of positive persistence. Furthermore, as we verify whether investors have the smart money effect, we find that investors will invest correct funds in the fund, and achieve excess return when the preliminary performance persistence is positive and fund flows is high. Finally, when we explore whether fund have the economies of scale, we discover that both appear the existence of economies of scale, but traditional mutual fund have more significant economies of scale than fund of funds . Due to the fact that investors can choose the larger fund in order to avoid spending extra fees when the fund expense erode the income.