| Summary: | 碩士 === 淡江大學 === 財務金融學系 === 89 === Mutual Fund is a kind of tool used to diversify risks. The rate of return and the standard deviation are important factors in the traditional performance evaluation. However it did not take into account for the investment style and skewness of the fund itself.
In this thesis we apply the concept of downside risk to adjust the traditional Sharpe ratio and Jensen Index in Lower Partial Moment. By setting the value of investor’s risk preference, we will perform an evaluation on the performance of Taiwanese open stock fund (it does not include the of over the counter funds) and bond. Our sample period extends from July 1995 to July 2000.
The analysis of each subset indicates the fund skewness and the target of investment are correlated to the stock holding. In general, the skewness of the open fund is almost always negative. Usually the more negative the skewness it is, the poorer the performance evaluation. Conversely, the skewness of the bond fund is also almost always positive, however in the long run, there is an equilibrium trend between the positive and negative skewness. The evaluation of the positive skewness on the fund generally has better performance. However the overall performance of a good rating fund in each class is not always true. The traditional performance method generally made the good credit rating to the bond fund recognized in less than one year. Nevertheless after considering the risk preference of investors, the outcome usually turns out to be the opposite. One of the possible reasons is the different holding in fund of stock and fund of bond. According to the view of Lower Partial Moment, it will be more reasonable for investors to find out their objectives and calculate the fund performance after reviewing their possible risk level. Even though it does not guarantee the greatest rate of return, yet, it is the best hand guide for conservative investors.
Today the increasing competitiveness in the investment trust market has threatened many long-established companies. If these companies wish to survive and maintain their performances, they will need to pay more attention to the market itself and be ready to make adjustment at anytime. Thus it is easy to foresee that the best resolution for these long established companies to shelter themselves from being merged or acquired by other companies is to attract more investments by coming up with attractive fund portfolios.
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