Summary
The performance of mutual funds has been measured with data in fixed intervals such as weeks or months. This is, however, not reasonable because funds of different objectives differ in risk attitudes, and hence also differ in their holding horizons. This paper examines the performance of three types of the Taiwan mutual funds over various investment horizons. It is found that aggressive funds appear to be more attractive for both short-term (less than one year) and long-term (greater than four years) investments; growth and income funds and growth funds appear to be more attractive for medium-term investment such as one to three years and three to four years, respectively. In addition, fund performance is positively related to net asset value, but inversely related to expense ratio.
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Extract
An Examination of the Determinants of Mutual Fund Performance Over Different Investment Horizons
I. Introduction
Following the development of capital asset pricing model (CAPM), several studies use this model and its extension to evaluate the ex post performance of mutual fund. Past literature analyze We performance on the basis of a given investment horizon (e.g., one year (Sharpe, 1966), one month (Friend and Blume, 197O)). However, there are different risk attitudes for mutual funds with various investment policies. Then, the holding periods for invested assets as well as the tune-gap to gust the portfolio composition and their weights under management differ for various funds.1 Thus, to evaluate all types...See the full content of this document
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