The Optimal Parameters of the Mutual Fund Rating
| Autor: | Chun-Yi Chen, 陳君毅 |
|---|---|
| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 Miao(2005) proposed a rating system for mutual fund performance based on SPRT (Sequential Probability Ratio Test). This system rates mutual funds according to past excess return. However, the setting of input parameters quietly affects the results of such a system, and an appropriate setting makes the system more efficiently as a reference for sieving mutual funds. In this study, return rates of offshore and domestic funds according to database of TEJ (Taiwan Economic Journal) from March 2001 to December 2006 are analyzed. Statistical tests for excess returns estimated by SPRT fund rating system are performed by using one-way and two-way ANOVA in order to figure out the factors affecting the rating system most and to propose best fit parameter settings. The conclusions are summarized as follows : (1) the average excess return is obviously influenced by star rating. The five-star funds make most of the highest excess returns and the one-star funds make most of the lowest. (2) The shift of input parameters partially influences the most important excess return of one-star and five-star funds. (3) The setting of estimation period (n) has more influences on SPRT fund rating system. (4) The rating system shows best performance when the estimation period is six months. Therefore short-term estimation period is the first priority while setting parameters for SPRT fund rating system. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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