A Study on the Relationship between Investment Strategies and Performance in Taiwanese Mutual Fund
Date Issued
2007
Date
2007
Author(s)
Chang, Wen-Hou
DOI
zh-TW
Abstract
This study is to analyze the correlations between mutual fund performance and five investment behaviors which include turnover rate, investment ratio, investment proportion of derivatives, total risk and systematic risk. The time period ranges from January 2002 to December 2006, including 133 Taiwanese mutual funds totally.
The empirical results are:
(1) The turnover rate is higher correlated with the fund performance. Besides, investors should avoid picking fund with turnover rate which is much higher than the average of the peer group to earn higher excess return.
(2) As to the investment ratio, the stock (tech) mutual funds and balanced mutual funds are more powerful in stock selecting than stock (general) mutual funds and due to the characteristics.
(3) The investment proportion of derivatives is found to be uncorrelated with the excess return no matter whether the mutual fund involves in derivatives or not.
(4) The total risk is found to have significantly negative correlation with the fund performance, which means fund managers are able to control total risk and increase rate of return.
(5) In the aspect of systematic risk, investors should focus on those fund with negative correlations between beta and the monthly return of Taiwan stock market.
This research finds that mutual fund investing behaviors may result in many empirical related conclusions. We find that when turnover rate or investment ratio increases, the total risk is lower than the level of peer group and systematic risk is lower than the previous level, the performance of that fund may outperform over other mutual funds and have positive returns.
Subjects
相關係數
週轉率
持股比率
期貨參與程度
標準差
β
mutual funds
turnover rate
investment ratio
derivatives
standard error
Type
other