共同基金投資集中度與績效關聯性之研究

The Relationship between Investment Concentration and Performance of Mutual Fund

李顯儀(Hsieu-Yi Lee) ； 李欣微(Hsin-Wei Lee) ； 李亮君(Lian-Lhun Lee)

《管理科學研究》 7卷2期 (2011/06) Pp. 49-62

https://doi.org/10.6873/MSR.201106_7(2).0003

摘要

基金經理人為了提高基金的績效，通常會將多數的資金集中押寶在某些少數具有潛力的個股上，所以投入的資金占基金淨資產價值比例較高，也就是說此基金的投資集中度相對較高。本文主要的研究動機在於探討共同基金投資集中度與投資績效之關聯性研究。實證結果有三點發現：（一）多頭時期，投資集中度愈高的基金，其投資績效愈好。（二）週轉率愈高的基金，其投資集中度愈低。（三）總投資率愈高的基金，其投資集中度愈高。此結果顯示：投資集中度愈高的基金，愈值得投資。

關鍵字

共同基金 ； 投資集中度 ； 基金規模 ； 基金週轉率 ； 基金總投資率

並列摘要

In order to enhance their performances, the mutual funds managers usually invest most of the funds on few potential stocks. Therefore, a large potion of these funds' total net assets value is in these potential stocks, in other words the investment concentration of these funds is relatively high. The purpose of this study is to explore the relationship between investment concentration and performance of funds. This study has three empirical findings. First, the higher investment concentration, the better performance is for the bull market. Secondly, the higher funds' turnover rate, the lower its investment concentration. Finally, the fund with higher total investment rate has higher investment concentration. The results imply that funds with higher investment concentration are more worthy to buy.

並列關鍵字

Mutual fund ； investment concentration ； funds' size ； funds' turnover rate ； funds' total investment rate