這篇論文主要希望由基金的持股萃取出相關資訊，藉以觀察基金經理人的能力；也就是說，將基金持股中的特性風險做為經理人特有資訊之代理變數，接著檢驗持股特性風險和其他基金特性，與基金超額報酬之間的關係。此研究樣本期間為1992年到2007年，基金持股及基金相關特性分別取自CRSP和Thomson Reuters資料庫。實證結果顯示，持股特性風險確實與傳統檢驗經理人能力之基金超額報酬有顯著正相關，隱含著經理人能力確實有所差異；另外，若基金是由單一經理人管理，或由較資深經理人管理，皆可相對更有效運用其掌握的特有資訊，為基金帶來較好表現。

This paper intends to exploit the information contained in the fund holdings as an identification of fund manager skills. Specifically, using the idiosyncratic risk contained in fund portfolio holdings as a proxy for fund manager`s private information, this study examines the relationship between fund performance and idiosyncratic risk, so as other characteristics of fund. It employs the data of U.S. equity funds collected from CRSP and Thomson Reuters over the period 1992-2007. The findings indicate that the idiosyncratic risk between portfolios of winning funds and losing funds is significantly different. Also there is a significant positive relationship between idiosyncratic risk and fund abnormal returns, indicating that idiosyncratic risk is correlated with traditional performance measures capturing managerial skills and is consistent with the private information argument. Furthermore, the results also find that funds with a senior manager or with a management structure as solo-managed can utilize the private information in more efficient way.

Contents
I. Introduction 2
II. Literature Review and Hypothesis 5
A. Relevant Asset Pricing Models 5
B. Idiosyncratic Risk and Stock Return 7
C. Idiosyncratic Risk and Private Information of Fund Managers 11
D. Fund Performance and Ability of Fund Managers 13
E. Hypothesis 17
III. Methodology 20
A. Data 20
B. Model 25
IV. Results 29
V. Conclusion 34
References 36
Table I 39
Table II 40
Table III 41
Table IV 43

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