基金持股特性與投組報酬之關係- 以台灣股票型基金為例

經理人可透過不同的持股機制去改變風險，基金可透過股票持有及現金持有的組合來調整風險，因此不同的持股會導致基金有不同報酬。本研究以2002-2018年台灣之股票型基金為研究樣本，首先探討台灣六類股票開放型基金在股票持股之本益比、淨值市價比、持股現金股利率及持股規模是否有差異，接著探討基金持股特性(持股本益比、持股淨值市價比、持股現金股利率及持股規模) 、基金特性(基金規模、基金費用率、基金週轉率、基金年數)與基金投組報酬(beta值、Sharpe值、Jensen值及Treynor值)之關係。我們發現價值型基金有最低的本益比，所持股票之淨值市價比亦為各類型基金之最高；平均現金股利率亦是價值型基金最高，其次為中概股基金；在基金之持股規模部分，我們發現開放式一般型基金之規模最大，上櫃股票型規模最小。此外，我們亦發現中概股與價值型基金有較低的beta值，表示其風險相對較低，且相對其他類型基金擁有最高的報酬率。最後以迴歸探討基金持股特性、基金特性與基金風險與績效之關係，我們發現基金之平均持股本益比愈大，beta值也愈大，表示高本益比之持股，相對有較高之風險，績效相對較佳；而淨值市價比則與beta值呈顯著負相關，並與基金月報酬率皆呈顯著負相關，有可能風險較低狀況下，能賺到之報酬也相對較低；基金持股之平均現金股利率愈大，beta值也愈小，當基金投組之所獲得之平均現金股利率比較大時，風險會較低，然而與基金月報酬率皆呈顯著負相關，當基金投組之所獲得之平均現金股利率比較大時，績效反而較差，此可能公司雖發放較多之現金股利，然而公司績效並非較佳。而基金持股規模與beta值呈正向之關係，顯示基金投組之持股規模比較大時，風險會提高，但是基金投組之持股規模比較大時，報酬在三個指標下則呈現不一致的結果。

關鍵字

持股本益比；持股淨值市價比；持股現金股利；持股規模；基金投組報酬

並列摘要

Managers can change the risk through different holding mechanisms, and the fund can adjust the risk through a combination of stock holdings and cash holdings, so different holdings will cause the fund to have different rewards. This study uses the stock funds of Taiwan from 2002 to 2018 as the research sample. We first discusses whether there are differences of stock holding in the price-to-earnings ratio, net worth market price ratio, cash dividends rate and the scale of holdings of the six types of Taiwan open stock funds , and then discuss the relationship among fund's shareholding characteristics (price-to-earnings ratio, net worth to market value ratio, cash dividends rate and the scale of holdings), fund characteristics (fund size, fund expense ratio, fund turnover ratio, fund years) and fund investment group rewards (beta value, Sharpe value, Jensen value and Treynor value). We found that value funds have relatively low PE ratios, and the net price-to-price ratio of the stocks held is also the highest among all types of funds; the average cash stock interest rate is also the highest among value types funds, followed by medium-cap stock funds; As for the shareholding size, we found that the open-end general fund has the largest scale and the over-the-counter stock fund has the smallest scale. In addition, we also found that the Chinese stocks and value funds have lower beta values, indicating that their risk is relatively low and that they have the highest return rate compared to other types of funds. Finally, we use regression to discuss the relationship between fund holding characteristics, fund characteristics, and fund risk and performance. We found that the larger the average price-to-earnings ratio of the fund, the larger the beta value. Risk and performance are relatively better; while the net-to-market ratio is significantly negatively correlated with the beta value and is significantly negatively correlated with the monthly return of the fund. It is possible that under low risk conditions, the rewards that can be earned are relatively low; The greater the average cash dividends rate held by the fund, the smaller the beta value. When the average cash dividends rate obtained by the fund investment group is relatively large, the risk will be lower, but it is significantly negatively correlated with the monthly return of the fund. When the average cash dividends rate obtained by the fund investment group is relatively large, the performance is rather poor. Although the company may issue more cash dividends, the company's performance is not better. The negative relationship between the fund's shareholding scale and the beta value shows that when the fund's holding size is relatively large, the risk will be reduced, but when the fund's holding size is relatively large, the return will be poor, which is consistent with the scale effect.