An Examination on Investment Performance of Taiwan Open-end Stock Fund Markets

• Main Authors: Yu-Ting Cheng, 程郁婷
• Other Authors: Chin-Sheng Huang
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/gtj48p

碩士 === 國立雲林科技大學 === 財務金融系 === 105 === This study examines the performance of Taiwan open-end stock fund markets. The empirical data consists of 77 general funds,19 middle-and-small-sized funds, and 27 technological funds, during the period 2011-2015, a total of 1235 daily fund returns. The empirical results are as followed: 1. The returns of Taiwan open-end stock funds are not significantly different from that of Taiwan stock index over the horizons of one, three, six and nine months, but significantly outperform the market index for the long horizons of two and three years. 2. The returns of the whole sample of funds increase with the holding period; in particular, the Sharpe and the Treynor have their highest at the horizon of three years. 3. The performance of the general funds improves with the holding horizon. Although the worst three general funds are underperformed to time deposit rate of Bank of Taiwan over the horizon under one year, they can get positive risk compensation by the horizon over one year and eventually reach the highest in three years. 4. The middle-and-small-sized funds have the characteristics of small-sized stocks, with high standard deviation and high beta, which relatively decrease the performance measures of Sharpe ratio and Treynor index. 5. The technological funds have both highest risk and beta, which in turn bring forth the lowest Sharpe and Treynor among four fund categories.