Estimation of Performance for Different Types of Mutual Funds: An Application of Switching Regression
| Autor: | Grace Chuan, 莊蟬甄 |
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| Rok vydání: | 1997 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 85 Jen and kon (1987) used switching regression techniques to estimate fund's performance. They demonstrated that the fund managers wil adjust portfolio risk at market conditions change. The funds' risk level is different because of different types of funds. The different types of fund managers should adjust their portfolio risk and change their investment strategy when the market moves. We select five types of American mutual funds for research. They are aggressive growth funds, growth funds, growth and income funds, balance funds and income funds. First, we use the switching regression to demonstrate the different types funds have different strategy on market movement. Second, we use Sharpe ratio, Treynor ratio and Jensen ratio to evaluate the different types of funds' perfomance. Third, we use Treynor & Mazuy model and Henriksson & Merton model to evaluate the different types of funds' selectivity and timing ability. There are some empirical results: 1.In funds' performance, the more active the types of funds are, the higher of the return rate and risk level are. In average, the five tpes of funds' performance are better than the market porfolio. 2.There are one half of funds managers have ability to expect the market movement among five types of funds. Only aggressive growth fund managers will change their investment strategy according to their prediction. All types of funds' investment strategy will be influence by the change of default risk premia and industrial product growth. The more active of types of funds are, the more economic factors the managers have to consider. 3.Only income funds and growth-and -income funds have a little selectivity. And there is no timing ability among five types of funds. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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