| Summary: | 碩士 === 亞洲大學 === 國際企業學系碩士在職專班 === 103 === When investors depend only on risk-return (RR) level disclosed by the Investment Trust Companies to select investment targets, if the disclosed RR levels have large differences from the realized RR, the investors may choose mutual funds that have inconsistency between funds’ RR and investors’ risk preference. Thus, the RR consistency issue is important. The purpose of this study is to examine whether the RR level disclosed by the fund issuer is consistent with the realized RR level.
Because the realized RR might be affected by investment holding period, this study sets two holding periods, which are 12 months and 24 months, to examine whether the empirical results are robustness. The realized RR is achieved first by computing a specific holding-period standard deviation on rate of return divided by the holding-period rate of return, which is coefficient of variation (C.V.) on statistics, and then according to the relative size of C.V. among sample funds each month to divide equally as five groups. Then using the T test to examine the difference between the realized RR and the disclosed RR. Finally, regression analysis is employed to explore the possible factors for the large realized-disclosed RR gap (the gap over one level). The sample of this study includes all various types of funds with disclosed RR levels, a total of 1,003 funds.
The empirical results find that regardless of holding 12 or 24 months, stock funds (RR = 4 and 5) have lower realized RR than their disclosed RR. This result indicates that the risk of funds is much lower than that the fund issue company claims, in particular for funds with RR = 5, lower than one level. On the contrary, the disclosed RR of other types of funds (with RR = 1 and 2) is lower than the realized RR. As for funds with RR = 3, the realized RR is also higher than the disclosed RR, but on average up less than one level statistically. Using regression analysis to explore the factors for higher RRR–RR, for funds with RR = 1 to 3, the greater transaction cost ratio, expense ratio, fund flow and net asset value size, and the smaller turnover, the smaller the realized RR; while for funds with RR = 4 and 5 (i.e., stock funds), a decrease in both transaction cost ratio and fund flow rate, as well as an increase in turnover, would raise the realized RR.
Keywords: mutual fund, risk-return level, coefficient of variation
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