| Summary: | 碩士 === 國立臺灣大學 === 財務金融學系 === 84 === The performance of mutual funds is not only a method to
evaluate fund managers'' analytic ability, but also an
important reference for investors when selecting mutual funds.
Most of the performance evaluation indices are based on
mean - variance efficiency, but it is apparent that
investors care about more fund information besides risk and
return.Thus, the definition of performance should have
broader sense : Mutual funds that can elevate the utility of
investors have good performance. So, if the investors choose
the fund products by their preference and the information
they can collect,and if the fund companies are really doing
what they have promised,the investors'' needs would be
satisified and we can say the funds have performed well.
Besides, classifying mutual funds according to their actual
investment style before evaluating their performance ranking
is also a principle that can not be neglected. Since many
funds change their initial style registered in their
prospectus, the main job of our research is to classify
mutual funds precisely with an after-the-fact viewpoint. One
of our purposes is to observe if the fund companies
deviate from their promises and the investors'' expectation.
The other purpose is to make the evluation process more
impartial by comparing funds of the same style. Our research
applied cluster analysis to classify the style of 47 mutual
funds in Taiwan from 1994 to 1995. We defined 8 attributes
of funds as the segmentation variables. We found that 12 of
the 47 sample funds changed their investment style during
the research period. Although some of them got better
performance by doing so, they compelled the investors to
undertake the risk they did not expect.
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