在工商社會當中，一方面由於一般大眾缺乏專業素養，另一方面由於時間的不足，因此將資金交由專業理財專家代為操作的投資觀念，在投資大眾的心目中逐漸形成；由專業經理人代為管理的共同基金也因此成為投資人的投資標的之一。 　　由於目前市場上共同基金的數目逐漸增多，因此各種不同型態的基金也逐漸出現，而不同型態的基金其所強調的風險性與報酬率的高低也有所不同。本研究主要目的在於對投資於國內的不同型態的開放型共同基金，投資績效差異性與持續性等方面進行探討。 　　本研究所使用的績效評估指標主要以學術界常用的Sharpe績效指標、Treynor績效指標、Jensen績效指標，與M、C、V績效指標為主。統計方法則分別以t_D檢定、變異數分析，及Spearman等級相關係數作為檢定的輔助工具。 　　基金樣本為投資於國內證券市場的開放型基金，包括有積極成長型、成長型、平衡型，與債券型四大類型，共計有二十四個基金；研究期間為自民國八十三年四月十四日至八十四年四月二十七日，以週為研究單位共計有五十四週，同時將研究期間分為二期，每期有二十七週，以利於相關研究的進行。 　　經過實證研究結果得到以下結論： 　　1. 部分共同基金的投資報酬率優於市場投資組合報酬率。 　　2. 在第一期不同型態基金間，以Sharpe指標評估的投資績效具差異性；而在第二期不同形態基金間以Treynor指標評估的投資績效具差異性。 　　3. 在基金樣本當中成長型基金的投資績效具持續性，而其他型態基金持續性則不顯著。

Few studies have examined the impact of portfolio concentration upon the realised volatility of stock index portfolios, such as the FTSE 100. Instead, previous research has focused upon diversification across industries, across geographic regions and across different firms. The present study addresses this imbalance by calculating the daily time series of four concentration metrics for the FTSE 100 Index over the period from January 1984 through March 2003. In addition, the value weighted variance covariance matrix (VCM) of daily FTSE 100 Index constituent returns is decomposed into four sub-components: two from the diagonal elements and two from the off-diagonal elements of the VCM. These consist of the average variance of constituent returns, represented by the sum of diagonal elements in the VCM, and the average covariance represented by the sum of off-diagonal elements in the VCM. The value weighted average variance (VAV) and covariance (VAC) are each subdivided into the equally weighted average variance (EAV) the equally weighted average covariance (EAC) and incremental components that represent the difference between the respective value-weighted and equally weighted averages. These are referred to as the incremental average variance (IAV) and the incremental average covariance (IAC) respectively. The incremental average variance and the incremental average covariance are then combined, additively, to produce the incremental realised variance (IRV) of the FTSE 100 Index. The incremental average covariance and the incremental realised variance are found to be negative during the 1987 crash and the 1992 ERM crisis. They are also negative for a substantial part of the study period, even when concentration was at its highest level. Hence the findings of the study are consistent with the notion that the value weighted, and hence concentrated, FTSE 100 Index portfolio is generally less risky than a hypothetical equally weighted portfolio of FTSE 100 Index constituents. Furthermore, increases in concentration tend to precede decreases in incremental realised volatility and increases in the equally weighted components of the realised VCM. The results have important implications for portfolio managers concerned with the effect of changing portfolio weights upon portfolio volatility. They are also relevant to passive investors concerned about the effects of increased concentration upon their benchmark indices, and to providers of stock market indices.