An Empirical Study on Relationship between Fund Performance and Active Management – China Open-End Mutual Funds

• Main Authors: Chia-Hung Chen, 陳嘉宏
• Other Authors: Shean-Bii Chiu
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/39251402549555776857

碩士 === 國立臺灣大學 === 財務金融學研究所 === 99 === In this paper, we introduce Active Share as one of the quantified measures for active management. Active Share measures to which extent that a fund’s portfolios deviate from its benchmark portfolio. We also use Tracking Error, a traditional measure of active management, with Active Share to examine if these two quantified measures for active management could evaluate and predict the open-ended equity mutual fund performance in China. We take benchmarked-adjusted return, CAPM-adjusted return (Jensen’s alpha), three factor-adjusted return (Fama-French Model), and four factor-adjusted return (Carhart Model) as the mutual fund performance measures. In terms of benchmarked-adjusted return and CAPM-adjusted return, we find that funds with higher current and previous Active Share significantly outperform other funds with lower Active Share, which means Active Share shows performance predictability. Funds with higher current Tracking Error significantly outperform other funds. However, Tracking Error does not show performance predictability due to its poor persistence.