本研究以2001年至2009年間我國股票型基金為研究對象，利用Jensen α、Fama and French (1993)三因子模型以及Carhart(1997)四因子模型做為基金績效之衡量指標，針對共同基金之持股明細進行分析，探討共同基金持股數目、產業集中度與資訊含量對基金績效之影響。此外，本研究採用Shawky and Smith (2005)的二次項多元迴歸模型檢驗交易與監督成本對基金績效造成的影響，進而求算共同基金之最適持股數目。實證結果發現如下：
1.平均而言，持股數目較少的基金，其績效優於持股數目較多之基金。
2.產業集中度較高之基金，其績效顯著優於產業集中度較低之基金。
3.持股標的資訊含量較少之基金，其績效顯著優於資訊含量較多之基金。
4.共同基金績效與持股數目呈現顯著倒U型之關係。

This paper use Jensen α, Fama and French (1993) three factors model and Carhart (1993) four factors model (1997) to measure the fund performance for equity funds, and to discuss the impact of number of stock holding, industry concentration and quantity of information on mutual fund performance. Furthermore, we follow Shawky and Smith (2005) methodology to examine the impact of transaction and monitoring cost on fund performance, and to find the optimal number of stock holding of mutual fund. Our empirical result reveal that : (1) The mutual fund with less number of stock holding, higher industry concentration, or less quantity of information will have relatively higher risk adjusted return. (2) There is a significant quadratic relation (reverse U-shape) between number of stock holding and risk adjusted return.

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