Managed currency funds - is performance predictable?
This study tests whether the performance of managed currency funds is predictable, using several factors that prior studies have used to predict the performance of equity mutual funds. It is scoped within the geographical boundaries of Eurasia, where a majority of the funds and fund managers in the...
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sg-ntu-dr.10356-514042023-05-19T06:09:04Z Managed currency funds - is performance predictable? Yip, Jenson Jing Min. Tan, Woon Loong. Chan, Yan Heng. Hor, Kenneth Kong Jie. Nanyang Business School Stephen Geoffrey Dimmock DRNTU::Business This study tests whether the performance of managed currency funds is predictable, using several factors that prior studies have used to predict the performance of equity mutual funds. It is scoped within the geographical boundaries of Eurasia, where a majority of the funds and fund managers in the study are based. Of particular interest is the predictive power of a fund’s age, past returns and volatility, together with the size of its manager’s capital, in predicting the fund’s future returns. Based on these identified variables, a total of four hypotheses were developed. Judgment sampling was employed and data was collected weekly over a period of ten weeks from an online public database maintained by Alpari, one of the leading names in online trading. The data gathered was then coded, prepared and used for statistical analysis. Univariate and multivariate regression analyses were carried out to test the hypotheses developed. Test results show that there exists a significant correlation between a fund’s age and its future 1-week return, and between a fund’s volatility and its future 1-week return, suggesting that a fund’s age and volatility have a moderate to high predictive power in projecting its future performance. However, no such significant correlation was found between a fund’s future 1-week return and its past returns or manager’s capital. BUSINESS 2013-04-02T07:10:56Z 2013-04-02T07:10:56Z 2013 2013 Final Year Project (FYP) http://hdl.handle.net/10356/51404 en Nanyang Technological University 52 p. application/pdf |
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DRNTU::Business Yip, Jenson Jing Min. Tan, Woon Loong. Chan, Yan Heng. Hor, Kenneth Kong Jie. Managed currency funds - is performance predictable? |
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This study tests whether the performance of managed currency funds is predictable, using several factors that prior studies have used to predict the performance of equity mutual funds. It is scoped within the geographical boundaries of Eurasia, where a majority of the funds and fund managers in the study are based. Of particular interest is the predictive power of a fund’s age, past returns and volatility, together with the size of its manager’s capital, in predicting the fund’s future returns. Based on these identified variables, a total of four hypotheses were developed. Judgment sampling was employed and data was collected weekly over a period of ten weeks from an online public database maintained by Alpari, one of the leading names in online trading. The data gathered was then coded, prepared and used for statistical analysis. Univariate and multivariate regression analyses were carried out to test the hypotheses developed. Test results show that there exists a significant correlation between a fund’s age and its future 1-week return, and between a fund’s volatility and its future 1-week return, suggesting that a fund’s age and volatility have a moderate to high predictive power in projecting its future performance. However, no such significant correlation was found between a fund’s future 1-week return and its past returns or manager’s capital. |
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Nanyang Business School |
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Nanyang Business School Yip, Jenson Jing Min. Tan, Woon Loong. Chan, Yan Heng. Hor, Kenneth Kong Jie. |
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Final Year Project |
author |
Yip, Jenson Jing Min. Tan, Woon Loong. Chan, Yan Heng. Hor, Kenneth Kong Jie. |
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Yip, Jenson Jing Min. |
title |
Managed currency funds - is performance predictable? |
title_short |
Managed currency funds - is performance predictable? |
title_full |
Managed currency funds - is performance predictable? |
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Managed currency funds - is performance predictable? |
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Managed currency funds - is performance predictable? |
title_sort |
managed currency funds - is performance predictable? |
publishDate |
2013 |
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http://hdl.handle.net/10356/51404 |
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1770566599759101952 |