本研究以2003年至2012年間我國126檔開放式一般型股票基金為研究樣本,使用單因子模型Jensenα值、Sharp index、Treynor index為績效衡量指標。研究結果發現不同產業集中度投資組合績效皆優於市場組合,然而投資組合集中度的高低與績效並無一定之遞增遞減性關係,此可能是國內投信法規之限制,與國外金融環境不同。 另外,在國內投信每月公佈前五大持股投資比率來探討基金之績效好壞,則呈現明顯之正相關,表示基金的前五大持股投資比率之高低,以及基金經理人選股之優劣,將攸關基金經理人操作績效良莠。 集中度之延申-最適持股數之分析,顯示共同基金績效與持股數目呈現倒U型之關係,投資組合過度多角化,反因相關成本增加而導致超額報酬下降,適當之持股集中度能使績效極大化。
The data of study collect 126 numbers Taiwan common stock mutual funds from 2003 to 2012,and use Jensenα,Sharpe index, Treynor index to measure the funds performance for equity funds. The empirical results reveal that the performance of different portfolio is better than the market portfolio, but the higher or lower of concentration have no direct relationship between portfolio investments. The reason is that Taiwan Securities Law limit the percentage of investment to mutual funds. It is different to global capital market. Furthermore, the securities investment trust & consulting association of the R.O.C(SITCA) announce the top five stocks holding every month. It reveals that the higher ratio of top five stocks holding, the performance is better. It is direct related and appear that mutual funds managers adequate or in adequate stock-choice strategy. The present results show that the top five stocks holding higher or lower will inflect the performance of mutual funds. The extension of concentration is the optimal number of stock holding of mutual funds. The present results indicate that there is a reverse U shape trend between the number of stock holdings and the risk adjusted return. Over portfolio diversification causes the invest cost to increase and the return of the portfolio to decrease.Thus, an optimal concentration is required to maximize the portfolio performance.