A Study on the Relationship between Active Management and Equity Fund Performance in Taiwan
Date Issued
2015
Date
2015
Author(s)
Huang, Po-Feng
Abstract
Sample of this paper is from 2010 to 2014, 187 Taiwan equity mutual funds. We want to test how active management is related to characteristics such as fund size, expenses, and turnover in the cross section. Besides, we also test whether active management is able to measure or predict the performance of mutual funds. In this paper, we use both active share and tracking error volatility to quantify active management. Active share introduced by Cremers and Petajisto (2006) describes the share of portfolio holdings that differ from the portfolio’s benchmark index. In addition, we use benchmark-adjusted return, Jensen''s alpha (CAPM- adjusted return) and Carhart four-factors adjusted return. The results found if we take benchmark-adjusted return as a performance indicator, fund with higher current and previous active share significantly outperform other funds with lower active share. That means active share can significantly predict benchmark-adjusted return. On the other hand, fund with higher current and previous tracking error volatility significantly underperform other funds with lower tracking error volatility.
Subjects
Equity Fund
Fund Performance
Active Management
Active Share
Tracking Error Volatility
Type
thesis
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ntu-104-R02724037-1.pdf
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