Technical Analysis on Investment Performance of Mutual Funds

• Main Authors: MIN-JU, LIAO, 廖敏如
• Other Authors: TIEN-CHIN, WANG
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/02914799264404727062

碩士 === 國立高雄應用科技大學 === 國際企業研究所 === 103 === Mutual funds have become to one of the most important tool of investment in Taiwan, and inventors always keep finding ways to gain the best investment performance. This study selects 50 mutual funds which have more than 8 years of duration as research sample to analyze the earning ability of 7 technical indicators including KD, MA, MAMA, EMA, EMAEMA, DEMA and BBI. The empirical results are: 1. Each technical indicator along with different time period has no significant difference in cumulative return. 2. Although each technical indicator has no significant difference in cumulative return, if transaction cost is considered, the best time period of each technical indicator is KD50, MA60, MA(MA60), EMA60, EMAEMA60, DEMA60 and BBI(MA20/30/40/60). 3. There is no significant difference in the cumulative return among KD50, MA60, MA(MA60), EMA60, EMAEMA60, DEMA60 and BBI(MA20/30/40/60). However, EMAEMA60 requires the least transaction cost, so it is the best technical indicator. 4. By using MA indicator to analyze annual return of research sample, the top six within 50 mutual funds are all Growth Funds that invest Taiwan stock market. Key Words: Mutual funds, Technical Analysis, Stochastics Indicator (KD), Moving Average (MA), BBI