| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 96 === This study mainly focuses on profit-making situation of momentum
investment strategy in Taiwan’s mutual fund market. The research objective
is to discuss the timing of momentum investment strategy, by studying the
Taiwan’s stock open-end fund from Jan 2002 to Dec 2007. To sum up
various results and analysis, the conclusions are listed below:
1. When based on rate of returns as the investment strategy of momentum
investment, the evidence proves that investors could get higher return by
holding the investment portfolio in a middle-long term.
2. When based on turnover rate as the investment strategy of momentum
investment, it is proven that in a middle-long term, the return of mutual
funds with higher turnover rate is higher than the ones with lower
turnover rate.
3. When based on volatility rate as the investment strategy of momentum
investment, as expected by investors, the mutual funds with higher
volatility rate have a better performance.
4. When the investment portfolio combines fund net value return with
turnover rate, winner''s high turnover rate portfolio of funds could
generate price momentum effect, it is proven that turnover rates construct
winner''s portfolio of Funds has higher return.
5. When the investment portfolio combines fund net value return with
volatility rate, no matter winner or loser combination, it generates
volatility rate Momentum effect in a long run.
Keyword: mutual funds, price momentum, turnover rate, volatility rate
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