Title page for etd-0016114-183408


[Back to Results | New Search]

URN etd-0016114-183408
Author Yu-Sheng Lin
Author's Email Address No Public.
Statistics This thesis had been viewed 5581 times. Download 65 times.
Department Finance
Year 2013
Semester 2
Degree Master
Type of Document
Language English
Title A New Fund Performance Measure in Taiwan Equity Mutual Funds
Date of Defense 2013-06-14
Page Count 58
Keyword
  • portfolio concentration
  • composite performance index
  • performance persistence
  • active management
  • factor analysis
  • Abstract The purpose of this paper is to provide investors with a practical composite index for selecting better funds. We use factor analysis to construct the composite index in the estimation period from 2002 to 2007. After constructing the composite index, we use this index to divide Taiwan equity funds into five groups. Then, we test the performance between the top group and the bottom group in the evaluation period from January 2008 to July 2010. The annualized return is 4.78%, the annualized standard deviation is 5.43%, and the Sharpe ratio is 0.88. During periods of low interest rates, the composite index can make a return of 4.78% per year. This proves that the composite index can help investors choose better funds.
    We follow Huij and Derwall (2011) to find the relationships among Taiwan fund performance, portfolio concentration, and the breadth of the underlying fund strategies. We find that funds that have a low tracking-error and are concentrated in multiple market segments have better performance when the market turns downward.
    Advisory Committee
  • Shyh-Weir Tzang - chair
  • Yi-Hsi Lee - co-chair
  • Yih Jeng - advisor
  • Files
  • etd-0016114-183408.pdf
  • Indicate in-campus at 5 year and off-campus access at 5 year.
    Date of Submission 2014-01-20

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys