Evaluation of Performance and Construct Criteria of Investment in Open-end Stock Mutual Funds

• Main Authors: Wong, Jui-Ching, 翁瑞靜
• Other Authors: Lee, You-Kong
• Format: Others
• Language: en_US
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/65314159496191184491

碩士 === 淡江大學 === 國際商學碩士在職專班 === 92 === Abstract:With the open up of domestic financial market day by day, investors usually have difficulty to chose from various financial assets, in which mutual fund is the most well-known and widely invested object. Investors will certainly gain considerable return on investment if they invest correctly. Therefore, the purpose of this paper is to make a systematic analysis of the relative performance and exhibited persistence of domestic open-end stock mutual fund according to its performance assessment data. First, We use monthly, quarterly, and annually fund return to compare with Stock Exchange Market’s return, and analyze the numbers and percentages of funds that defeated market performance; and then observe the change in fund’s annual performance ranking, and test its persistence through Spearman rank correlation test, furthermore, through correlation analysis and establishment of stepwise regression econometric model to establish investment criteria that could be followed by investors for the investment of domestic open-end stock mutual funds. In the paper, we find operational effects for the open-end stock mutual fund, from 1998 till 2001, no matter in regards to the months, quarters and years, it all has outstanding performance. Until2002 and 2003, as for the performance on the relative effects, it has become pretty bad. According to the persistence of domestic open-end stock mutual fund, we find when fund has outstanding performance in the specific year, normally on the next year, or even the following years, it’s hard to see such a bright performance. Besides, only Capital Marathon Fund and President Tung Hsin are the only two that can cross three consecutive years, which were all situated on the first 20% of the samples. In addition, to check through the related coefficient of the Spearman rank correlation, we find no matter of crossing the years from one year to five years, the performance for the persistence in the operational result for the domestic open-end stock mutual fund was overall not ideal. Through the correlation analysis and the stepwise regression econometric model, we find that electronic and other type of stock index with regards to the overall open-end stock mutual fund that defeats the market ratio has a significantly positive effects; and on the contrary, financial insurance and papermaking type of stock index with regards to the relative performance has displayed significantly negative effects. It has provided us with the possible abiding principle on the investment for the open-end stock mutual fund : as far as possible to utilize the going strong of the electronic and other type of stock index, and during the time when the financial insurance and papermaking type of stock index is turning weak, to invest the open-end stock mutual fund. Within the model after the amendment on “monthly return of various type of stock index in deducting the monthly return of the relative has played the role of holding back, as for the other type of stock index, it has displayed significantly positive benefit. It tells us the investment principle that should be abided during investment on the open-end stock mutual fund: financial insurance and cement as the mainstream of the market, and when the performance of the other type of stock is not as good, the best way is not to the invest of open-end stock mutual fund.