Predicting the performance of equity mutual funds : an Asian context.

• Main Authors: Peck, Samuel Sheng Wei., Fu, Shiheng., Chow, Chong Yang.
• Other Authors: Luo Jiang
• Format: Final Year Project
• Language: English
• Published: 2011
• Subjects: DRNTU::Business::Finance::Funds
• Online Access: http://hdl.handle.net/10356/43919
• Institution: Nanyang Technological University

This paper analyzes the persistence of equity-style mutual funds, in terms of realized returns, that are available to investors in the Asia-Pacific. It strives to examine whether performance persists in equity mutual funds, and the viability of picking the potential winners. The variables used as indicators of future fund performance are namely, historical fund returns, fund beta, fund total asset size, fund age since inception and fund equity style. We find significant statistical evidence of the possibility of using historical periodical returns and fund age since date of inception to predict future fund returns. Moreover, we also find that this relationship between historical fund returns and fund age versus eventual realized mutual fund returns persists even during the year of 2009, i.e. a year of noted volatility following the U.S mortgage crisis and the collapse of Lehman Brothers.