The trend in personal finance and retirement planning has changed, more and more investors have focused on the popular issue of wealth allocation across asset classes and specific investments. As a result, mutual fund investment companies have become an increasingly effective conduit for current income generation, capital appreciation, and the benefits derived through diversification. As time goes by, the amount of offshore funds introduced in Taiwan is increasing. We investors always want to ask which one could perform well and bring the investors a good return based on the past performance information.
Thus the purpose of this paper is to give an overview and performance persistence of the largely unexploited Taiwan offshore and international American, European, Japanese, and Global equity mutual funds compared to Taiwan equity mutual funds and the Information Technology equity mutual funds. To do this, we evaluate fund performance applied for the Composite Index to cooperate the highly cooperate the colinearity problem of the performance indices which is introduced from Lee (2007) and Chou (2007).
We focus on 6 biggest off-shore mutual fund market in Taiwan which are American, European, Global, Taiwan, Japan and Information Technology. All the performance information and fund characteristic are from Lipper. We restrict our sample to pure equity funds with at least 36 months of data. Performance details and specific fund characteristics are collected by the end of 2006. We develop the Composite Index component weights by factor analysis from January 2003 through December 2004 and rank the funds by the Composite Index score to exam the performance persistence through January 2005 through 2006. All returns are almost in local currency.
We have the conclusion which all the difference in performance of the top 10% and the bottom 10% in each market is significant from zero except for the Information Technology industry. We find the effect of the Composite Index would depend on the maturity, variety, and the characteristic of the market. The more mature the market is, the less significant the performance between top deciles and bottom deciles, American mutual fund is the best supportive evidence. All the return-based indices are not adding value to select funds. Though the performance of the Composite Index is better than the other index, the raw annual return is not so high to be applied. As to the variety, the different categories and the range of the distribution of monthly return in the market have the effect to the significance of the difference in performance between the top 10% and the bottom 10%, markets of European, Global, Japan, and Taiwan are the best explanations. Finally, the higher the risk is the better the fund perform is the one special rule selecting fund in the market of Information Technology.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0130108-105610 |
| Date | 30 January 2008 |
| Creators | Lin, Shi-Jung |
| Contributors | Huang,Jen-Jsung, Jeng,Yih, Kuo,Hsioujen |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0130108-105610 |
| Rights | restricted, Copyright information available at source archive |
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