Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11779/724
Title: Performance of Taiwanese Domestic Equity Funds During Quantitative Easing
Authors: Tan, Ömer Faruk
Keywords: Sharpe ratio
Equity funds
Performance evaluation
Jensen's alpha
Quantitative easing
Source: Tan, O. F. (September 30, 2015). Performance of Taiwanese Domestic Equity Funds during Quantitative Easing. The Journal of Asian Finance, Economics and Business, 2(4), 5-11.
Abstract: 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.
Description: Ömer Faruk Tan (MEF Author)
URI: http://dx.doi.org/10.13106/jafeb.2015.vol2.no4.5
https://hdl.handle.net/20.500.11779/724
ISSN: 2288-4645
2288-4637
Appears in Collections:Elektrik Elektronik Mühendisliği Bölümü Koleksiyonu
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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