How to Choose Mutual Funds that Perform Well? Evidence from Taiwan
نویسندگان
چکیده
This study aimed to examine the performance evaluation and persistence of equity mutual funds when the market reverses from a bull market to a bear market. We also attempt to find the appropriate performance evaluation indicators when funds exhibit performance reversal. Such an indicator will be of great assistance to investors in making investment decisions. Therefore, this study investigates the performance of 30 equity mutual funds in Taiwan. The data cover 500 dealing days from November 2006 to October 2008, with an emphasis on the 2007 financial crisis. There were two main findings in our study. First, we found that different performance measures led to significantly diverging rankings of mutual funds in different market climates. Second, the result of the persistence test showed that when the market climate shifts from bull to bear market, using the GRAROC model is the best indicator of future mutual fund performance.
منابع مشابه
Effect of Exchange Rate Change Shocks on Systemic Risk Index Among Mutual Funds
Financial stability is amongst the issues that have been increasingly considered over the past two decades. Today, money and capital markets play a substantial role in the development of societies, but at the same time, this development will be problematic if it is not accompanied by a program, control, and supervision. The main reason is that, due to the correlation between the real and financ...
متن کاملA Review of Mutual Investment Funds Performance with a View of Market Timing
Appropriate function of active management in common investment funds function depend on factors such as diversification, identification papers unrealistic pricing, market timing, and so on. Market timing are include changing the portfolio investment funds and market indices such as short-term bonds and make an asset depends on whether the market is expected in the whole of the assets to make be...
متن کاملThe role of investors’ objective financial knowledge on the assessment of risk disclosures in mix mutual funds advertisements in Iran (The evidence of mutual funds in Iran)
Financial literacy of investors reduces uncertainty on future decisions and increases predictability of investment policies in financial markets. Thus, the lack of clear information on financial markets is a determining factor in the arrival of domestic and foreign capitals and their quick exit in case of crisis. The lack of transparency and basic knowledge on decisions and failure to provide r...
متن کاملHOW DO EMPLOYERS’ 401(k) MUTUAL FUND SELECTIONS AFFECT PERFORMANCE?
Defined contribution plans, predominantly 401(k)s, are the primary source of personal retirement savings for American workers, making the investment decisions within these accounts a salient policy concern. These decisions are a result of two separate actions: the mutual fund options selected by the employer’s plan administrator and the specific funds chosen by the participant. While considerab...
متن کاملOn the Concentration of Mutual Fund Portfolio Holdings - Skills or Overconfidence?
This paper tests the alternative hypotheses of investment selection skills versus overconfidence of fund managers among equity mutual funds in Taiwan. We find a positive relation between fund holdings’ concentration level and risk-adjusted fund performance in the bull market, but a negative relation in the bear markets. The time varying concentration-performance relation is not driven by the fu...
متن کامل