A Comparison between the Performance of Open-Stocked Mutual Funds and Changes in Stock Price Index in Taiwan.

• Main Authors: Pao-Kuei Li, 李寶貴
• Other Authors: Jin-Li Hu
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/97781891969775872494

碩士 === 國立交通大學 === 管理學院碩士在職專班經營管理組 === 94 === ABSTRACT This research studies the performance of 40 domestic open-ended equity funds in Taiwan. The data cover 497 dealing days from January 1, 2004 to December 31, 2005. The daily performance data are first calculated and then converted into an annual basis. Sharpe, Treynor, and Jensen indices are used to evaluate their performance. The Mann-Whitney U test is used to examine if there are significant differences between a fund’s performance and the Taiwan stock exchange index. In 2004 and 2005 there were 13 and 39 mutual funds outperformed the stock market with respect to the Sharpe index. In 2004 and 2005 there were 36 and 36 mutual funds outperformed the stock market with respect to the Treynor index. However, there were 39 and 39 mutual funds outperformed the stock market with respect to the Jensen index, implying that stock selection ability is a key factor of a mutual fund’s performance. Regarding the overall performance, the research discovers that Fuh-Hwa Small Capital, Cathay Cathay, and Prudential High-Growth were the best performerce.