An Empirical Study on the Performance and Persistence of Domestic Equity Funds

• Main Authors: Bo-Yan Lin, 林博諺
• Other Authors: 洪茂蔚
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/c9jz38

碩士 === 國立臺灣大學 === 國際企業學研究所 === 106 === There are three purposes of this thesis. First is to measure the mutual fund performance by calculating return of net asset value, Treynor Index and Sharpe Ratio. Second is to examine whether the asset managers in Taiwan’s equity fund market have the abilities of stock selection and market timing by Jensen’s Index, Treynor & Mazuy and Henriksson & Merton’s model. Last is to check whether these funds have the performance persistence through the Spearman Rank Correlation. After observing 129 Taiwan equity funds in the period of ten years, the empirical result shows that the open-end technology funds perform best. Besides, the asset managers in Taiwan equity funds have the ability of stock selection and do not have the ability of market timing. For the performance persistence, our markets do have the phenomenon in most of the time, but sometimes the phenomenon would be disappeared in some continuous periods.