Muual Funds Performance Persisence and Classificaion Schemes β Ching-Jun Hsu, Chih-Chien Chiang, Deparmen of Financial Managemen, Nan-Hua Universiy ABSTRACT Muual funds performance persisence is a very imporan facor when invesors selec muual funds. So we hope o find a classificaion scheme ha does no exhibi he problem of performance reversals. Our sample includes 120 funds from 1998 o 2002. We show ha he relaion beween performance persisence and he sandard deviaion. Exremely, performance reversals do no display in he bond funds. Afer we add a variable represening he degree of a fund momenum sraegy o he facor analysis, he previous performance reversals are largely removed. This resul shows ha dynamic invesmen sraegies should also be included when deermining funds. KeywordsMuual fund, Classificaion, Performance, Persisence, Momenum 785
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R p, = NAV p, = NAV p, 1 = 1 D p, = R p, R f S p = σ ( R p, ) R p, = R f = σ ( R p, ) = 2 6 d r s = 1 2 n( n 1) NAVp, NAVp, 1 Dp, Rp, = + NAVp, 1 NAV (1) p, 1 788
n 2 = rs 1 r 2 s β β β r i = α i + bi RMRF + pi PR1YR + ei σ r = i RMFR = PR1YR = 789
α α α 790
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β β β 795
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