Evaluating the total performance,selectivity and market timing ability of offshore funds

• Main Authors: Wu, Jia-Hsiung, 吳家雄
• Other Authors: Hung, Mao-Wei
• Format: Others
• Language: zh-TW
• Published: 1996
• Online Access: http://ndltd.ncl.edu.tw/handle/03740192132660745407

碩士 === 國立臺灣大學 === 國際貿易學系 === 84 === The purpose of this thesis is to evaluate the performance of a sample of twenty-eight offshore funds between 1990 and 1995. Two types of model are used to evaluate the total performance and selectivity, market timing ability individually. The main findings are as follows： 1.Most of the offshore funds can''t outperform the market，no matter the total performance or selectivity , market timing ability. 2.On total performance and selectivity, results of every model are congruent. But on market timing, results are quite different. 3.The relationship between selectivity and market timing is a trade-off in term of Chang & Lewellen model. But we can''t find this relationship in term of Bhattacharya & Pfleiderer model. 4.When we employ Taiwan Index as the benchmark, the performance of are better by contrast to the World Index. It may be due to the benefit of international diversification and the better performance of offshore stock market.