Evaluating the Performance of America Stock Fund Managers－Analysis of the stock selectivity ability and timing ability

• Main Authors: Szu-Yun Lin, 林詩芸
• Other Authors: Hwa-Rong Shen
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/7226ac

碩士 === 國立交通大學 === 管理科學系所 === 92 === ABSTRACT More and more people select mutual fund to be a investment tool because of the progress of invest concepts. This paper chooses American stock fund to be object and tries to evaluate the stock selectivity ability and timing ability of Funds’ managers.We compare with Jensen’s α Index, Treynor and Mazuy Model, and Henriksson and Merton Model. The research results are summarized as following: 1.Just one of third managers have stock selectivity ability and timing ability, especially aggressive growth fund and balanced fund managers. 2.Global equity fund and International equities fund managers’ performance was worse. 3.Threshold CAPM model is better than traditional CAPM model due to the former is not easy having the problem of evaluating return. Key Word：stock fund, performance evaluation, threshold regressive, stock selectivity ability, timing ability.