| Summary: | 碩士 === 國立彰化師範大學 === 企業管理學系國際企業經營管理 === 100 === According to the Securities Investment Trust &; Consulting Association of the R.O.C. (SITCA), securities investment trust enterprises launched a total of 67 new mutual funds for NT$180 billion in 2011, but this had shrunk by almost 40% to NT$110 billion by the end of December 2011. Aside from lower net asset value (NAV), rapid redemption after the lock-up period expires is another major reason behind the significant drop in new funds’ asset under management (AUM). Is this because the new fund’s performance is worse than existing funds? Why is it that newly established funds are unable to continue to catch investors’ interest?
Using rate of return, annualized standard deviation and beta from onshore open-ended domestic equity funds, this paper seeks to investigate whether there are significant differences in performance between new mutual funds and those existing funds established for over a year.
We have selected 38 funds established between 2001 and 2010 from the “Domestic Equity Fund” category as research subjects, then analyzed their performance, annualized standard deviation and beta, used Sharpe Ratio, Jensen Ratio, and Treynor Ratio as the basis for fund performance evaluation, and observed whether there are significant differences between 12-month and 24-month holding period returns. Empirical results illustrate the following:
(1) Observing the 12-month and 24-month holding period return since fund inception, and three years and five years after inception, there is a positive correlation between fund performance and length of its existence. (2) Comparing new fund’s performance with existing peers to determine whether there is significant difference, we observe that when market conditions are positive, the performance of new funds lag behind those of existing funds; when market condition is negative, new funds outperform existing funds. (3) In terms of average annualized standard deviation and beta, there are no overall systematic differences.
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