基金經理人特性、基金特性與持股集中度之關係

經理人可能會將基金投資在特定的產業，也有可能分散於各產業，此將會影響到基金的績效，而不同的基金經理人，在持股偏好上也會有所不同。本研究主要探討基金經理人的特質(學歷、性別、操作年資)、基金特性(基金規模、週轉率、費用率、基金年數)與持股集中度之關係。期間從2004年至2013年，樣本為國內股票開放型基金，計有45間基金公司，230筆基金，1466筆基金經理人之資料。研究結果發現基金績效與持股集中度呈負相關，即持股集中度愈高則績效愈低；在基金類型方面，國內股票開放型一般股票型與國內開放型指數型的基金之持股集中度最高；而國內股票開放型指數型的基金之持股數目最多。我們也發現近年來持股集中度愈來愈高，表示經理人在選股上愈來愈難。在基金經理人特性與持股集中度之關係，研究發現基金經理人學歷與持股集中度無顯著相關；女性經理人持股集中度會高於男性經理人；基金經理人操作該基金的時間越短，持股集中度越高。在基金特性方面，基金規模較小的基金，持股集中度會較高；週轉率越小，則持股集中度越高，費用率則與持股集中度呈負向之關係。

關鍵字

共同基金,基金持股集中度,經理人特性,基金特性

並列摘要

Mutual fund managers may decide to deviate from a well-diversified portfolio or concentrate their holdings in industries, which results in the difference of fund return. Using a data of 45 fund companies, 230 fund and 1,466 domestic equity fund managers from 2004 to 2013, the paper examines the relationship of the industry concentration with fund manager’s characteristics (education level, gender, experience) and fund characteristics (fund size, expenses rate, turnover rate, fund year). The results show that funds with concentrated portfolios perform worse than funds with diversified portfolios. In particular, managers have highly concentrated funds on General Funds and Exchange Traded Funds. We also find more number of stocks held by Exchange Traded funds. We find female managers tend to bear a higher industry concentration than male managers. There exists negative relationship of the industry concentration and manager maturity, fund size and turnover ratio, and expense ratio is positively related to industry concentration.