Evaluating The Investment Performance of Taiwan Security Investment Trust Companies

• Main Authors: Chou, Yun Hai, 周雲海
• Other Authors: 方國榮
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/12275713978014259968

碩士 === 實踐大學 === 企業管理研究所 === 91 === All the previous studies about mutual fund performance are all presumed each fund to be an isolated entity, trying to find either a general performance measure or the connections between fund managers’ personal characteristics and performance. They all neglected the fact that mutual funds might be issued by the same fund sponsors. And since these fund managers are employed by the same fund sponsors, they should work in the same offices, and use the same investment research resources and databases. They also should share their opinions through periodic investment conferences or formal industry reports. That’s why the investment herding occurs significantly among mutual funds issued by the same fund sponsors. And furthermore, if fund managers are the key to predict the success of the mutual funds, there should be significant performance differences after mutual funds replace their managers. In fact, studies proved that there’s no such significant differences for the replacement of managers. Due to herding effect, there might be similar react for performance among funds, especially those issued by the same sponsors. And since manager change wouldn’t affect performance significantly, we could say that fund managers should not be a sufficient condition concerning mutual fund performance, though it must be a necessary condition. And fund sponsors might play an important role that makes differences happening. In view of the possible sponsor effect, we try to go back to Mean-Variance model and add sponsor factors on it as qualitative predictors to conduct these mutiple-regression analyses and examine whether these sponsor factors could produce significant results. Using the database containing 5-year performance data (from 1998 to 2002) derived from monthly mutual fund performance ranking reports of SITCA, we find that there does exist statistically significant differences in both constants and slopes of the Mean-Variance regression lines of Taiwan mutual fund sponsors.