| Summary: | 碩士 === 輔仁大學 === 金融研究所 === 95 === This research focuses on 3 subjects:
1.Will Barra system help to improve fund managers’ performance;
2.Which has better performance between Barra’s portfolio and fund manager’s;
3.Would that be necessary for fund managers trading in-between month.
Our findings are:
1.Barra system can’t help improve fund managers’ performance. Through 4 different screening criteria for stocks, the Barra system can’t significantly improve performances. One possibility is, for domestic funds, that performances are purely from alpha, not beta. The other reason is that the pooling stocks are either better or worse, so we can’t improve the portfolio’s performance in any way.
2.The performances vary among different strategies. The best is momentum-driven strategy and the worst is TEJ credit-rating strategy. Other strategies have not significantly better performance, but the average returns are positive.
3.Tradings in-between month are not necessary. Our research finds that buy-and-hold for at least one month would have better performance than frequent tradings. This prove that transaction costs do harm to performance.
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