Using the portfolio insurance approach to evaluate the performance of open-ended mutual fund in Taiwan

• Main Authors: Huang Shih-hsiung, 黃世雄
• Other Authors: 林丙輝
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/57208348317537778309

碩士 === 國立臺灣科技大學 === 企業管理系 === 89 === Usually, techniques for evaluating mutual funds are based on CAPM models, where risk aversions are assumed. However, we believe that a significant portion of investors in Taiwan can be portrayed as loss aversions. For these investors, it is more appropriate to adopt another approach based on the option pricing theory. In this study, we show how to apply the portfolio insurance approach to evaluate mutual funds in Taiwan. The research sample in this study contains 66 Taiwan mutual funds for the period between 1 January 1996 and 31 December 2000. The 66 mutual funds include 47 equity mutual funds, 15 bond mutual funds and 4 balanced mutual funds. Since we set each the duration of insurance as one quarter, we divide the whole sample period into 20 quarters. Then we use the daily closing prices of these quarters to conduct the empirical research. First, we estimate insurance premia as indicator of risks for these mutual funds. Then, we use net-of-downside-risk return as indicator of performances for these mutual funds. The main empirical results are as follows: 1.As the transaction cost or the parameter increases, the risk of mutual funds also increases. 2.In general, the risk of equity mutual funds is greater than that of balanced mutual funds. And the risk of balanced mutual funds is greater than that of bond mutual funds. While there are some exceptions. 3.The rankings of mutual fund risks are almost the same with different levels of transaction cost or parameter. 4.When the transaction cost increases, the performance of mutual funds decreases. However the relations between the performance of mutual funds and the parameter are not quite clear. 5.In general, the rankings of mutual fund performances are not so consistent as the rankings of mutual fund risks with different levels of transaction or parameter. 6.The rankings of mutual fund performances are quite similar with different levels of transaction or parameter. 7.The rankings of mutual fund performances based on net-of-downside-risk return are different with those based on the Sharpe index.