Mutual Fund Performance Persistence, Size and Smart Money

• Main Authors: Shih-chang Lai, 賴世漳
• Other Authors: Chu-Hsiung Lin
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/98906843569046299906

碩士 === 國立高雄第一科技大學 === 企業管理研究所 === 101 === Most fund investors make determination according to the fund historical performance. Practically, the issues on fund performance persistence haven’t reached a common consensus. Additionally, in past research it’s dedicated that there are several factors to affect fund performance including flow, years, size, expense ratio, and turnover ratio, etc. Therefore, the strategies on investment not only consider fund historical performance. Hsiang-Hsuan Chih, Yu-En Lin and Pin-Huang Chou (2007) use momentum strategy to explore the existence between Smart Money Effects and performance Persistence, and review mutual relationship thought dependent sort method. In our work, the same method is taken. Fund magnitude variables are considered to observe the influence on each other. In advance, it’s expected that establish multiple investment strategy to provide overall suggestions for investors through analyzing the strength of each investment combination and information. The research reveals that 1. The open stock fund performance in Taiwan has Persistence, while smart money effects doesn’t exist. 2. Clearly, mutual fund size and fund performance have positive correlation, and may cause Survivorship. 3. Compared with fund performance, flow, and size, the fund performance has better prediction on fund reward in future.