The Evaluation of Taiwan Stock Mutual Fund Performance and Risk-Application of Hurst Exponent and Effective Return
Date Issued
2007
Date
2007
Author(s)
Chang, Cheng-Li
DOI
zh-TW
Abstract
This paper evaluates the performances of 84 Taiwanese stock mutual funds from 1999 to 2006. By using Hurst exponent (H) derived from rescaled range analysis (R/S analysis) and effective return, we compose mutual fund portfolios and invest them for one year. Then we compare the performances with those mutual fund portfolios selected by Sharpe Ratio.
The empirical results show that the performances of mutual fund portfolios selected by Hurst exponent and effective return statistically outperform those selected by Sharpe Ratio. Furthermore, our measures are also shown to be more robust against clustering of losses (maximum drawdown).
Subjects
共同基金績效
夏普指數
赫斯特指數
R/S分析
有效報酬
mutual fund
Sharpe Ratio
Hurst exponent
R/S analysis
effective return
Type
thesis
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