Persistence on Performance of Taiwan Mutual Fund ：Before and After the Subprime Mortgage Crisis

• Main Authors: Chao-ming Wu, 吳昭明
• Other Authors: Chu-hsiung Lin
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/22284012881079130047

碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 97 === The New Century Financial Corp. that is the second major subprime lending company went into bankruptcy in February 2007, brought about subprime mortgage crisis, and the financial tsunami. Such event shook investment confidence and caused global stock markets drop sharply. We examine persistence of the “subprime mortgage crisis“ on Taiwan open-ended mutual funds during 2005 to 2008 by comparing reward-to-VaR ratio with Sharpe ratio, Treynor ratio, and Jensen’s α. The study shows that persistence on performance is obvious in short run rather than in long run. The variation of technology class funds’ performance is large during half and a years’ period before and after sub-prime mortgage crisis. And in short run, technology class funds’ performance are better than others.