| Summary: | 碩士 === 國立中興大學 === 高階經理人碩士在職專班 === 96 === Fama (1970) brought out the efficient market hypothesis and advocated that if capital market is efficiency, the trend of stock cannot be predicted and no investment strategy can let investors to earn abnormal returns. Since a mutual fund is a portfolio constituted by stocks, fund managers can no longer earn excess returns though any investment strategy.
If the persistence of the performance for mutual funds exists, investors can learn from the behavior of returns of mutual funds to form strategies to select funds and obtain excess returns with either the momentum or the contrarian strategy. In this paper, we concentrate on whether fund managers utilize above strategies derived from market anomalies to obtain persistent performance for mutual funds.
The empirical studies of the 4-Factor Model show that after removing emerging market, energy, and mineral funds, the persistence of mutual fund performance is sound but the top decile portfolio of funds is not with better stock picking ability than the bottom one. In addition, the difference of the performance of these two portfolios results from different investment strategy. We also find that among the three investment strategies we discussed – the momentum strategy, buying the top or the bottom decile portfolio of funds, adopting the momentum strategy gets a better Sharpe ratio if the emerging market, energy, and mineral funds are not considered. For the portfolio of emerging market, energy, and mineral funds, it is with better performance for the strategies of buying the top or the bottom decile portfolio of funds.
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