The Study on Performance Persistence Before and After the Classification of Bond Funds

• Main Authors: Wei-Te Lee, 李威德
• Other Authors: Shu-Mei Chiang
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/77268389508582264966

碩士 === 龍華科技大學 === 商學與管理研究所 === 98 === In the aftermath of bond funds diverting to the class of quasi money market funds, as to the restrictions on the ratios of bond holdings, the returns on the funds fall gradually. The purpose of this study is to examine the performance persistence of bond funds before and after the segregation of funds. Our study period includes two periods: the first period represents the span before the segregation of funds (2004-2006) and the second period is the time after the segregation of funds (2007-2009). We apply various indicators to compare the performance persistence between the two periods. The empirical results show that bond funds indeed possess performance persistence. Besides, the performance also persists before and after the segregation of funds. Except for Treynor index, the performacnes computed form the Sharpe index and Jensen index do possess significant persistence with the returns on net value is the next. As significant persistence exists for the performances of bond funds before and after the segregation of funds, it is appropriate for the investors to refer to the past performance to select optimum investment targets. Fund was established some time differences of the Fund set up longer, the more obvious effects of sustained performance, and this result can also provide investors choose funds in one reference.