美國股票型基金之持股集中度與績效表現

Abstract

本篇論文主要探討美國股票型基金之持股集中度與績效表現。考慮金融海嘯的影響，從而將樣本分為三段期間：2003-2007年、2008年及2009-2011年，並採用持股檔數、前十大持股比重、賀氏指標和二分法作為集中度衡量指標。 在2003-2007年和2009-2011年期間，基金經理人傾向採取集中持股的投資策略，實證結果發現持股集中度與績效存在顯著正向關係，集中型的基金績效表現優於分散型的基金；然而，2008年爆發金融海嘯，基金經理人大幅度降低持股集中度，該年集中度對績效的效果不如另外兩個期間顯著；並證明以上結論不受基金規模大小影響。最後，我們也發現前期績效與集中度對於下期基金績效具有短期預測效果，且兩者存在交互作用，說明前期越集中的基金，績效持續性相對較差。

This paper investigates the relation between portfolio concentration and the performance of U.S. mutual funds during the period 2003-2011 covering the global financial crisis of 2008. Considering the effect of the financial crisis, our analysis is split into three sub-periods, 2003-2007, 2008, and 2009-2011. We use the number of stocks held by a fund, the percentage of assets invested in the top 10 stocks, the Herfindahl Index and a dichotomy as alternative measures of portfolio concentration. During the periods 2003-2001 and 2009-2011, we observe fund managers tend to employ concentrated investing strategies over time, and the results indicate that funds with high level of concentration display better performance than their diversified counterparts. However, the outperformance disappears when a liquidity crisis occurs in 2008. And, we ensure this result being coherent after controlling the fund size. Finally, we find both concentration and performance have evident predictive value for future performance, and the effect of performance persistence is weaker for concentrated funds, and stronger for diversified funds.