An analysis of mutual fund performance and performance persistence
Date Issued
2007
Date
2007
Author(s)
Chen, Mei-Wen
DOI
zh-TW
Abstract
This paper uses 34 Taiwan open-end mutual funds over a 10-year period to measure fund performance and performance persistence. The research methods and conclusions are shown as below:
(1) Mutual funds performance
This paper examines the performance of mutual funds using Treynor index, Sharpe index and Jensen index, and estimate stock picking and timing ability using Treynor and Mazuy model, and Chang and Lewellen model.
In mutual funds performance, our estimates provide evidence that most mutual funds have positive Treyor index, Sharpe index and Jensen index. However, there is no significant difference between the performances of mutual funds and the market portfolio. Moreover, our empirical results show that most mutual fund managers lack for stock picking ability and timing ability and there is a trade-off relationship between these two abilities.
(2) Mutual funds performance persistence
This paper uses Jensen index, Treynor and Mazuy model, and Chang and Lewellen model to examine the performance persistence. Our empirical results show, mutual fund performances ranked by Jensen index lack for persistence. Moreover, stock picking ability and timing ability ranked by Treynor and Mazuy model or Chang and Lewellen model are not significant in persistence.
Subjects
共同基金
績效評估
選股能力
擇時能力
績效持續性
Mutual funds
Mutual fund performance
Stock picking ability
Timing ability
Performance persistence
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-96-R94724007-1.pdf
Size
23.31 KB
Format
Adobe PDF
Checksum
(MD5):6c3169c0ecfece07934b92eb065cfd3f