The Effects of Fund Size ,Turnover Rate, Manager’s Tenure and Manager’s Seniority on Mutual Fund Performance

• Main Authors: FENG-AN LI, 李豐安
• Other Authors: Hsueh-Lan Yang
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/86911302666422658271

碩士 === 南台科技大學 === 企業管理系 === 98 === This research tried to utilize the most common indicators as other researches like Treynor、Sharpe and Jensen indicator to measure fund performance , and to avoid the possible bias problem. The research period is from January 2005 to December 2009 totally 60 months. The sample is 146 funds of Taiwan Open-ended Equity Mutual Funds. This research mainly used the fund size、fund turnover rate 、fund manager’s seniority and fund manager’s tenure to discuss the effects on fund performances. This research adopted the Panel Threshold Model to discuss the fund size、fund turnover rate、fund manager’s seniority and tenure’s threshold level above or below two scales to measure any different effects on performance measurement indicators. This could provide investors some suggestions of purchasing mutual fund and the efficiency of agencies. Empirical results:1. Fund size had a significantly positive correlation with the Treynor, Sharpe, and Jensen indicators when it is below the threshold level (around 1.2 billion).However, it had no significant effects when it exceed the threshold level. 2. Fund turnover rate had significantly negative effects on Treynor、Sharpe and Jensen indicators when it above the threshold level (22.9) 3. The manager’s seniority above the threshold level (around 51.1 months) had positive effect on Sharpe indicator. As for the manager’s seniority above and below the threshold, it had no effects on Treynor、Sharpe and Jensen indicators. 4. When the manager’s tenure above and below the threshold (about 22.29), it had no significant effects on Treynor、Sharpe and Jensen indicators.