本研究探討臺灣股票市場之橫斷面報酬離散度與主動型股票共同基金之超額報酬是否存在正向關係。研究資料取自臺灣經濟新報共同基金資料庫，樣本期間為 2005 年 9 月至 2025 年 9 月。本文以報酬離散度與基金主動程度進行雙重排序，並搭配投組層級迴歸與基金層級迴歸，檢驗較為主動管理的基金能否在個股表現分歧加劇時表現更佳。實證結果顯示，臺灣市場中的高報酬離散度月份之主動型基金績效相對較弱，雙重排序搭配投組層級與基金層級迴歸分析結果皆為一致，有別於過往在海外市場的研究發現。此一發現意味著，報酬離散度的經濟意涵會隨市場結構而改變。在臺灣，高報酬離散度與主動選股機會的關聯較低，反而比較能代表市場壓力、產業輪動與主動部位風險被放大的狀態。此一結果或與臺灣市場散戶交易占比較高、電子產業權重集中、基金持股相近，以及共同基金轉換成本較高等特徵有關。

This study examines whether cross-sectional return dispersion is positively associated with the risk-adjusted returns (alphas) of actively managed equity mutual funds in Taiwan. Using monthly Taiwan Economic Journal mutual fund data from September 2005 to September 2025, this study combines double sorts on return dispersion and fund activeness with portfolio-level and fund-level regressions to test whether active funds' alphas are state-contingent. Empirical results show that months with higher return dispersion are associated with lower average alpha among more active funds, contrary to the stronger risk-adjusted performance documented in the foreign fund markets. Double sorts, portfolio-level regressions, and fund-level regressions all point to the same conclusion: less active funds in Taiwan performed relatively better when return dispersion was high. The evidence suggests that elevated return dispersion does not necessarily imply more room for active management in Taiwan. Instead, this measure reflects more about market stress, sector rotation, and amplified active-position risk. Such discrepancy may arise from Taiwan's high retail investor participation, concentrated industry weights, relatively homogeneous mutual fund holdings, and market frictions in fund turnover.

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