賴慧文Lai, Huei-Wen王文鋒Wang, Wen-Feng2019-09-032021-08-232019-09-032016http://etds.lib.ntnu.edu.tw/cgi-bin/gs32/gsweb.cgi?o=dstdcdr&s=id=%22G060355008O%22.&%22.id.&http://rportal.lib.ntnu.edu.tw:80/handle/20.500.12235/94627過去有不少針對確定提撥制（defined contribution plan；DC plan）中的投資標的做實證研究，結果發現確定提撥制的投資標的有低追蹤誤差的特性，而近年來市場開始關注因素投資(factor investing )策略，實務上的策略也開始使用因素投資，而以積極比率和追蹤誤差的基金分類當中，因素賭注(factor bets)和集中股票挑選(concentrated stock picks)類型的基金都有因素投資的成份，所以本次研究以此兩種類型股票為研究目標，分析是否為因素賭注和集中股票挑選類型的基金較易被納入401(K)計畫當中。本研究透過蒐集2013年至2015年的401(K)計畫選單投資標的和CRSP基金資料，並利用羅吉斯迴歸模型作為實證分析模型，結果顯示因素賭注和集中股票挑選類型的基金被納入401(K)計畫選單當中的機率較高。In the past, the research found that the investment targets in the defined contribution plan had the characteristic of low tracking error. In recent years, the investment market start following the factor investing strategy. And some investors start using the factor investing strategy in the practical. Funds can be used tracking error and active share to sort to four categories of funds. In these four categories, the factor bets and concentrated stock picks kinds of funds have the characteristic of factor investing. As a result, this research use thesetwo kinds of funds to be the research object. And the purpose is to analyze weather the factor bets and concentrated stock picks kinds of funds have the high probability to be put in the 401(K) menu. This research collect the investment targets in the 401(K) menu and the CRSP fund data from 2013 to 2015. The result show that the factor bets and concentrated stock picks kinds of funds have the high probability to be put in the 401(K) menu.401(K)因素投資積極比率追蹤誤差401(K)Factor InvestingActive ShareTracking Error