An Empirical Study on Relationship between Fund Performance and Active Management – China Open-End Mutual Funds
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 man...
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ndltd-TW-099NTU053040122015-10-16T04:02:48Z http://ndltd.ncl.edu.tw/handle/39251402549555776857 An Empirical Study on Relationship between Fund Performance and Active Management – China Open-End Mutual Funds 大陸開放型共同基金績效與積極管理之相關性研究 Chia-Hung Chen 陳嘉宏 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. Shean-Bii Chiu 邱顯比 2011 學位論文 ; thesis 37 zh-TW |
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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.
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author2 |
Shean-Bii Chiu |
author_facet |
Shean-Bii Chiu Chia-Hung Chen 陳嘉宏 |
author |
Chia-Hung Chen 陳嘉宏 |
spellingShingle |
Chia-Hung Chen 陳嘉宏 An Empirical Study on Relationship between Fund Performance and Active Management – China Open-End Mutual Funds |
author_sort |
Chia-Hung Chen |
title |
An Empirical Study on Relationship between Fund Performance and Active Management – China Open-End Mutual Funds |
title_short |
An Empirical Study on Relationship between Fund Performance and Active Management – China Open-End Mutual Funds |
title_full |
An Empirical Study on Relationship between Fund Performance and Active Management – China Open-End Mutual Funds |
title_fullStr |
An Empirical Study on Relationship between Fund Performance and Active Management – China Open-End Mutual Funds |
title_full_unstemmed |
An Empirical Study on Relationship between Fund Performance and Active Management – China Open-End Mutual Funds |
title_sort |
empirical study on relationship between fund performance and active management – china open-end mutual funds |
publishDate |
2011 |
url |
http://ndltd.ncl.edu.tw/handle/39251402549555776857 |
work_keys_str_mv |
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