A Study on the Performance Persistence of Awarded Funds
Date Issued
2009
Date
2009
Author(s)
Tseng, Ting-Yu
Abstract
General investors usually select mutual funds based on their past performance; as a result, measuring performance persistence of mutual funds has become an important issue. Investment trust companies in Taiwan often use the records of winning fund awards to advertise their investment skills. This study attempts to examine the performance persistence of awarded funds. The researching period is from 1998 to 2008, and the samples are awarded funds of “Taiwan Investment Funds Award” and “Best Fund Award” during this period. The performance of mutual funds is separately measured by excess return, Sharpe index and fund ranking. This study takes the event of winning fund prize as the reference point, and computes fund performances six months, one year, two years, three years, and five years before and after the reference point, and then uses Wilcoxon signed ranks test to examine the performance persistence of awarded funds. Major findings are summarized as follows: a. Using excess return to measure fund performance, the performance of awarded funds persists only for the measuring period of six months. b. Using Sharpe index to measure fund performance, all of the measuring period are not consistent. However, if we take the funds which won “Taiwan Investment Funds Award” or two prizes simultaneously as samples, the empirical results show that the measuring period of three years and five years provides evidence of performance persistence. c. Using fund ranking to measure fund performance, all of the measuring period are not consistent.
Subjects
awarded fund
performance persistence
Taiwan Investment Funds Award
Best Fund Award
fund performance
Type
thesis
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