Wang, J. J., and Yuan-Hung Hsu Ku 2004. The Application of Value-at-Risk and the Persistence of Performance Indicators on Taiwan Mutual Funds. NTU Management Review, 14 (2): 023-048
Jai-Jen Wang, Lecturer, Department of Finance, Jin Wen Institute of Technology
Yuan-Hung Hsu Ku, Assistant Professor, Department of Financial Operations, National Kaoshiung First University of Science and Technology
Abstract
In order to elaborate different dimensions of mutual fund performance, this study details the concepts of PET associated with VaR in depth with 18 "long-lived" stock funds. In addition, we find some persistent pattern as ranking the 18 funds' performances. Because such persistence may connect with predicting effectiveness, we empirically test 14 indicators under various investing horizons and 3 VaR confidence levels by 3 correlation coefficients within 171 Taiwan mutual funds. And we find that the characteristics of persistence do exist, while they are mixed and complicated by different types of mutual funds. These findings may help investors on their fund investing decision making.
Keywords
Value at Risk (VaR) Performance Evaluation Triangle (PET) Treynor & Mazuy Indicators Chang & Lewellen Indicators Henriksson Indicators