A Comparison of the Predictability of the Generalized Step-SPA test with the Morningstar Ratings on Mutual Funds' Future Performance

• Main Authors: Chia-HuaShih, 施佳樺
• Other Authors: Meng-Feng Yen
• Format: Others
• Language: en_US
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/03139074329125149772

碩士 === 國立成功大學 === 財務金融研究所 === 104 === The main purpose of this dissertation is to explore the Morningstar RatingTM result and the generalized Step-SPA test applied on mutual fund performance in order to determine which could better generate a superior performance in the future and would provide investors with valuable mutual fund investment information. United States domestic equity and bond funds, which raise money in the US and are rated by Morningstar, are chosen as samples. Based on the two different judgements on the same mutual funds, we construct two kinds of investment strategies and do a comparison of the predictability of future performance. Our results indicate that the generalized Step-SPA test will generally outperform the Morningstar rating results in the five star, four star, and three stars categories and will also outperform an average weighted portfolio in the same category.