The Empirical Study of Domestic Listed Open-end Equity Funds Performance Persistence
Date Issued
2005
Date
2005
Author(s)
Chen, Hsiang-Yu
DOI
zh-TW
Abstract
Recently there are various kinds of investment instruments domestically. But the risk sensitivity of investors gets significantly generated as the new financial products. The investors will deliberate its volatility while confronting risk, since the domestic stock market remains dull and the interest rate remains low-stepping. This thesis avails of lately five-year return、annualized standard deviation and the ß coefficient to practice which or which types mutual fund hold persistence?
We choose forty-three「Listed-Stocks」mutual funds as our research target during 2000 to 2004, analyzing its return of three-month、six-month、one-year and three-year based on the annual period of Jan-Feb and Jul-Aug, totally twenty months. The methodology divides the listed-stocks mutual funds into four clusters derived from the 「Cluster Analysis」of multi-variant analysis（MVA）.We observe whether the three-month and six-month return hold persistence during Jan-Feb and Jul-Aug per year. The conclusions are shown as below：
（1）、There are 1047 holding persistence in totally 1720 samples. The result says that this bears significant persistence.
（2）、We analyze the best and the worst performance cluster of mutual funds, the probability of sequent two best is 64% and the probability of sequent two worst is 76.2%. The result says that the persistence of best performance mutual fund is not well-performed as the worst one.
（3）The switch frequency of mutual fund managers holds negative interrelation with performance.
（4）As a whole, the annualized standard deviation and the ß coefficient do not exist rules or persistence.
Subjects
績效持續性
共同基金
集群分析法
Mutual Funds
Performance Persistence
Cluster Analysis
Type
thesis
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