The Decomposition of Equity Mutual Fund Performance

• Main Authors: Ming-Che Tu, 杜明哲
• Other Authors: Pei-Gi Shu
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/52203336026829898216

碩士 === 輔仁大學 === 管理學研究所 === 90 === The thesis is composed of three sections. First, the performance of mutual fund is decomposed through Characteristic-based benchmarks in order to verify Characteristic Selectivity, Characteristic Timing, and Average Style of mutual fund managers. However, in recent years, owing to the fact that market capital tends to flow to electricity stocks and the mutual fund managers tend to be younger and younger, the present paper further examines if mutual fund managers own Characteristic Selectivity, Characteristic Timing, and Average Style. Moreover, Characteristic-based benchmarks and Factor model are adopted to examine whether the persistence of mutual fund performance exists and the mutual funds with high turnover create performance. The final purpose of the thesis is to verify if investors can obtain excess return by means of all information on mutual funds trading. Results indicated that Characteristic Selectivity and Characteristic Timing of mutual fund managers were not significant in terms of the statistics, but mutual fund managers have Average Style. Nevertheless, as far as electricity stocks were concerned, mutual fund managers own significantly better ability of Buy-Characteristic Selectivity. It was indicated that mutual fund managers own better performance in manipulating specific stocks. The study was conducted within the framework of past return and turnover of mutual fund. It is concluded that mutual funds with higher past return and turnover ratio have higher performance. Furthermore, investors could construct a self-financing investment strategy to obtain significantly excess return from the trading position of mutual funds.