The Impact of Mutual Fund’s Management Strategy on Performance
碩士 === 國立高雄第一科技大學 === 金融所 === 98 === ABSTRACT The relationship of fund management strategies and fund performance has been an important issue focused by academics and practitioners. Using Taiwan equity mutual fund data from 2001 to 2008, we investigate the relationship between the management strateg...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/51839452940694560445 |
| Summary: | 碩士 === 國立高雄第一科技大學 === 金融所 === 98 === ABSTRACT
The relationship of fund management strategies and fund performance has been
an important issue focused by academics and practitioners. Using Taiwan equity
mutual fund data from 2001 to 2008, we investigate the relationship between the
management strategy of mutual funds and their performance after controlling the
different fund characteristics. There are two measures to detect the degree of active
management of a fund. The first is R2 obtained by regressing fund’s return on the
Fama-French-Carhart four benchmark portfolios. Lower R2 represents higher degree
of active management. The second is the standard deviation of the difference between
a fund return and its benchmark portfolio return. Larger standard deviation of tracking
error measures the higher degree of active management. The empirical results show
that a significantly positive relationship between the degree of active management and
performance in the corresponding period of time. However, the degree of active
management can not predict the following year’s fund performance and is not helpful
to performance persistence.
|
|---|