The Style Classification and Performance Evaluation of Mutual Funds in Taiwan

• Main Authors: Pei-Hsuan Kung, 貢培萱
• Other Authors: Keh-Hsiao Lin
• Format: Others
• Language: zh-TW
• Published: 1996
• Online Access: http://ndltd.ncl.edu.tw/handle/50012514749454344709

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.