For the passed few years, bond funds have been becoming the most popular investment instrument for all investors. Because the values of those bonds invested by bond funds were not marked to market, the net asset values of bond funds may be greatly distorted. As the interest rates rise, most structured inverse-floating rate bonds invested by bond funds suffer enormous capital losses and greatly impact the bond fund yields. In order to protect the general public, the Financial Supervisory Commission (FSC) of R.O.C. requested all the bond funds to sell out all inverse-floating rate bonds at the fund company shareholders¡¦ expense to correct the distortion by the end of 2005.
To understand the effect of these inverse-floating rate bonds on bond fund performance, this paper analyzes the relationship between the fund allocation and fund performance, using grouping analysis and rolling window method, to find out the most important factors affecting fund performance. Bond funds are found to generally allocate their asset in three categories - corporate bonds, government bond repurchases and short term deposits. It was found that how the fund allocates its asset has different effects to bond fund performance in different times. Before September 2005, funds with more corporate bonds performed better, but after September 2005, funds with more government bond repurchases performed better. There is no single asset allocation category always leads to superior fund performance.
After further studying various bond funds portfolio rebalancing data, it is found that funds with better performance have smaller and slower portfolio adjustments after the FSC request. This may reflect a fact that the better funds are holding less structured products, such like inverse-floating rate bonds, so that they can maintain a better performance when reducing corporate fund holdings. Bond funds favored by the general public, indicated by having a greater increment in fund asset sizes during the period of April 2005 through August 2006, also show similar properties.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0125107-143815 |
| Date | 25 January 2007 |
| Creators | Chiang, Pi-chien |
| Contributors | Chieh Yow ChiangLin, Yih Jeng, Hsioujen Kuo |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0125107-143815 |
| Rights | withheld, Copyright information available at source archive |
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