A Research on Performance and Performance Persistence of Awarded Funds
Date Issued
2016
Date
2016
Author(s)
Chen, Pei-Chun
Abstract
Mutual fund, one of the financial instruments the public use, has characteristics of fund convergence, risks sharing, as well as profit sharing. The predominant attribute lies in risk diversification with which we can lower market risks and volatility. This paper examines the degree of impact that mutual fund award has on the fund’s persistency of performance for future reference. Awarded domestic open-end equity funds from 2010 to 2016 were used as the research subjects. The Fama-French Three-Factor Model was adopted to evaluate whether a fund has excess return. The results indicate that the awarded funds have excess returns and that the degree of multicollinearity among the variables of the regression model is proved to be small by correlation coefficients and variance inflation factors. As to the persistency of awarded fund performance, the assessment period was divided into six months, one year, three years, and five years for further analysis. The NAV return and fund performance ranking were used as fund performance indexes for the non-parametric Wilcoxon Signed Rank Test. The empirical evidence suggests that persistent performance of domestic awarded equity funds does not exist no matter in the short, medium, and long run.
Subjects
Mutual Funds
Taiwan Investment Funds Award
Awarded Funds
Excess Return
Performance Persistence
Type
thesis