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Performance of Taiwanese Domestic Equity Funds during Quantitative Easing
Ömer Faruk Tan 한국유통과학회 2015 The Journal of Asian Finance, Economics and Busine Vol.2 No.4
This study is the first to analyze performance of Taiwanese domestic equity funds between January 2009 and October 2014, the period during which quantitative redirected capital flows toward developing economies and the Taiwanese Stock Exchange Weighted Index compounded at approximately 12.9% annually. Adopting methods endorsed by earlier research, we evaluated 15 Taiwanese equity funds’ performance relative to market averages using the Sharpe (1966) and Treynor (1965) ratios and Jensen’s alpha method (1968). To test market timing proficiency, we applied the Treynor and Mazuy (1966) and Henriksson and Merton (1981) regression analysis methods. Jensen’s alpha method (1968) was used to measure fund managers’ stock selection skills. Results revealed that funds significantly under-performed Taiwan’s average annual market return and demonstrated no exceptional stock-selection skills and market timing proficiency during the era of quantitative easing.
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Performance of Taiwanese Domestic Equity Funds during Quantitative Easing
Ö,mer Faruk Tan 한국유통과학회 2016 KODISA ICBE (International Conference on Business Vol.2016 No.-
This study is the first analysis on the performance of Taiwanese domestic equity funds during the period of January, 2009 and October, 2014. For the period, quantitative redirected capital flowed toward developing economies and the Taiwanese Stock Exchange Weighted Index compounded at approximately12.9% annually. Adopting methods endorsed by earlier research, we evaluated 15 Taiwanese equity funds' performance relative to market averages using the Sharpe (1966) and Treynor (1965) ratios and Jensen's alpha method (1968). In testing market timing proficiency, we applied Treynor & Mazuy (1966) and Henriksson & Merton (1981) regression analysis methods. Jensen's alpha method (1968) was used to measure fund managers' stock selection skills. The results of this study show that funds under-performed Taiwan's average annual market return significantly and demonstrates no exceptional stock-selection skills and market timing proficiency during the era of quantitative easing.
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