An Empirical Study on Relationship of Morningstar Rating and Active Management - Taiwan Equity Mutual Funds
Date Issued
2014
Date
2014
Author(s)
Chang, Ting-Kang
Abstract
Past empirical results suggest that fund managers will manipulate fund risk to a higher level when they are facing bad performance ranking. In this article, we use the data of Taiwan domestic equity mutual fund from 2003 to 2013 to examine whether there exist a different level of active management when managers are facing different fund ranking. Furthermore, we also investigate the correlation between active management and the ability of managers to outperform their benchmark.
We use active share and tracking error as the proxies of the level of active management, and Morningstar star rating as the proxy of performance ranking. Under the cross-sectional analysis, we relate active management to fund characteristics such as size, fund flow, expenses, and turnover. We find a strong positive correlation between Morningstar rating and the level of active management. And the change of Morningstar rating is significantly positive correlated to the change of tracking error. Furthermore, we also find out that active management is negatively correlated to the benchmark-adjusted return.
Subjects
共同基金
基金評等
基金管理策略
積極比例
追蹤誤差
Type
thesis
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