Mutual Fund's Diversification, Performance and Risk Adjustment Behavior

[[abstract]]本文藉由獨特性風險之估計以了解基金風險分散的程度、獨特性風險大小與基金績效之關係，以及基金經理人風險調整之行為。實證研究發現在樣本期間中，科技類及一般類開放型共同基金的獨特性風險平均約占總風險的20%，顯示我國開放型共同基金並未將完全消除可分散風險。其次，本研究發現全樣本期間基金的獨特性風險與獨特性風險溢酬具有正向關係，亦即基金賺得獨特性風險溢酬的補償。在獨特性風險與績效關係的實證結果上，顯示績效好的基金的確存有較高的獨特性風險，隱含採取積極性投資組合策略的基金其績效較好。此外，本文亦發現我國基金經理人會視距競賽結束期間的長短，而調整基金的獨特性風險或系統風險，以求較佳的年度績效。[[abstract]]The purpose of this study is to estimate the idiosyncratic risk of the domestic open-end mutual funds to gain understanding of its degree of diversification, to find out whether the amount of the idiosyncratic risk correlates with the performance and the risk adjustment behavior of fund managers. This study shows that in sample periods the idiosyncratic risk of both technology class and ordinary class mutual funds has accounted for 20% of the total risk, thus indicating that the domestic open-end mutual fund has not eliminated the idiosyncratic risk completely. In addition, this study proves that the idiosyncratic risk of individual mutual fund correlates with the idiosyncratic risk premium positively. Therefore, it implies the mutual fund suffer idiosyncratic risk and gain risk premium. Regarding the correlation between the idiosyncratic risk and the performance, the study shows the mutual funds of better performances indeed carry greater idiosyncratic risk. The results mentioned above entail that the well performance mutual funds exist higher idiosyncratic risk, implying the mutual fund manager adopt active portfolio strategy will performance well. Moreover, fund manager will actively adjust systematic or idiosyncratic risk to gain better yearly performance according to the end of the annual assessment period