Evaluating the Performance of Mutual Funds— Using the Technology of Data Mining

• Main Author: 謝明倫
• Other Authors: 郭維裕
• Format: Others
• Language: en_US
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/30982617229835979292

碩士 === 國立政治大學 === 國際貿易研究所 === 95 === We study the performance of open-end mutual funds in Taiwan, and use the technology of data mining to classify the outperforming and underperforming mutual funds. Classification and regression tree (CART) is the method to evaluate and predict the performance of mutual funds. In this paper, we utilize thirteen crucial factors to build trees and pick mutual funds by its classification rules. Moreover, we will verify precision of each tree. We find that the CART is a good tool to evaluate the performance of mutual funds in Taiwan because of its stability in outperforming - underperforming spreads. Moreover, we use two kinds of learning sample to build two trees and pick mutual funds to compose of them into the fund of funds. The results are better than the total average returns monthly, and one of them is better than the mutual funds that its investing target is high-tech stocks.