本研究彙總了2001年至2017年之基金資料，探討基金持股特性(投組股票的市值、投組股票的市價帳面價值比、投組中每支股票的前六個月報酬)與風險調整後基金績效之關係。我們發現基金投組中股票的市值愈高，風險調整後基金績效也愈高。市價帳面價值比過高或低，反而不會提升基金的績效，市價帳面價值比適中者，有最佳的績效。而基金持股的股票前六個月報酬在中間者，基金也會有較好績效。
研究結果發現基金投組股票的市值若愈大，則報酬率愈大；基金投組股票之市價帳面價值比若愈小，則報酬率愈大；基金投組持有之股票前六個月之報酬若愈大，則報酬率愈大。基金特性與報酬部分，當基金現金流量若愈小，即規模的變動率小，則報酬率愈大；基金規模若愈小，則報酬率愈大；家族規模愈大，可能具規模經濟，可降低成本，報酬率愈大；基金年數若愈長，則報酬率愈大；基金月平均費用率愈小，則報酬率愈大；週轉率愈小，基金的轉換頻率低，則報酬率愈大。

We use Carhart four-factor alphas as explained variables for estimating the relationships between fund returns and fund holdings' characteristics.

This study shows that alphas are statistically significant with stock characteristics in the cross section after adjusting for risk via factor models.

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