Performance Persistence of Domestic Equity Mutual Funds

• Main Authors: Wei-Ling Tang, 唐維蔆
• Other Authors: Jia-Chuen Wu
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/18763142152770672387

碩士 === 義守大學 === 資訊管理學系碩士班 === 98 === Mutual fund has become one of the familiar investment tools. While investing a fund, the performance of a fund would be a vital index. So in theory or practice, performance persistence of a fund is an important issue. If performance persistence exists, investors will be able to choose funds depend on it. This research is base on the “winner-winner, winner-loser” methodology, and uses returns , Treynor ratio, Sharpe ratio and Jensen’s α as performance indicators to analyze three types of mutual fund(SMEs type, science and technology type and general type) during the period 2000 to 2009. The conclusions are shown as below： (1)Persistence could be found more obvious in General equity funds with all indexes than other types of funds. (2)With four indicators, using return as indictor hardly find performance persistnece, but it shows statistically significant performance persistnece with Sharpe ratio, therefore it is recommended that investors should not choose mutual funds only depend on the returns. (3)Statistically significant short-term and long-term performance persistence can be found in general equity type funds with indictor Sharpe ratio. (4)SMEs fund and the general equity funds show statistically significant performance persistence in the 5-year period with indictor Treynor, Sharpe and Jensen ratios.