Evaluation of Mutual Fund Performance in Different Investment Regions

• Main Authors: Li-Hsueh Tseng, 曾麗雪
• Other Authors: Shin-Hung Lin, Ph.D.
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/10358572858341357797

碩士 === 國立雲林科技大學 === 財務金融系 === 102 === ABSTRACT This study investigates the performance of mutual funds. The investment regions are divided to global and Asian markets and we apply empirical methods to inspect the performance of mutual funds of different regions. Using criteria of Sharpe Ratio, Treynor Ratio, Jensen Ratio, Return to Risk Ratio, the performance of sample funds is investigated. The sample period is from January 2, 2004 to December 31, 2013. The daily returns of funds are used for empirical tests. Thirty mutual funds of investing global and Asian markets are separately investigated the performance in difference to an exchange traded fund (code: 0050). After the empirical analysis, the following results are: Firstly, the performance order is more consistent of various criteria in longer observation periods (two and three years). Secondly, the beta values of all funds are less than 1. It reveals that the systematic risk of funds is smaller than the market portfolio. Thirdly, there is a significant performance difference between the ETF and mutual funds regardless the investing regions (global or Asia). Finally, the Exchange Traded Fund passively tracks index returns and has a superior performance to funds of investing global and the Asian markets.