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

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 in...

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Main Authors: Peck, Samuel Sheng Wei., Fu, Shiheng., Chow, Chong Yang.
Other Authors: Luo Jiang
Format: Final Year Project
Language:English
Published: 2011
Subjects:
Online Access:http://hdl.handle.net/10356/43919
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-439192023-05-19T05:41:38Z Predicting the performance of equity mutual funds : an Asian context. Peck, Samuel Sheng Wei. Fu, Shiheng. Chow, Chong Yang. Luo Jiang Nanyang Business School DRNTU::Business::Finance::Funds 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. BUSINESS 2011-05-13T08:18:11Z 2011-05-13T08:18:11Z 2011 2011 Final Year Project (FYP) http://hdl.handle.net/10356/43919 en Nanyang Technological University 36 p application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business::Finance::Funds
spellingShingle DRNTU::Business::Finance::Funds
Peck, Samuel Sheng Wei.
Fu, Shiheng.
Chow, Chong Yang.
Predicting the performance of equity mutual funds : an Asian context.
description 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.
author2 Luo Jiang
author_facet Luo Jiang
Peck, Samuel Sheng Wei.
Fu, Shiheng.
Chow, Chong Yang.
format Final Year Project
author Peck, Samuel Sheng Wei.
Fu, Shiheng.
Chow, Chong Yang.
author_sort Peck, Samuel Sheng Wei.
title Predicting the performance of equity mutual funds : an Asian context.
title_short Predicting the performance of equity mutual funds : an Asian context.
title_full Predicting the performance of equity mutual funds : an Asian context.
title_fullStr Predicting the performance of equity mutual funds : an Asian context.
title_full_unstemmed Predicting the performance of equity mutual funds : an Asian context.
title_sort predicting the performance of equity mutual funds : an asian context.
publishDate 2011
url http://hdl.handle.net/10356/43919
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