| Author: | Fong, Chi Wah |
| Title: | Can fund managers time the market and achieve superior risk adjusted returns? Evidence from different categories of Hong Kong equity funds |
| Advisors: | Cheng, Louis (AF) |
| Degree: | D.B.A. |
| Year: | 2008 |
| Subject: | Pension trusts -- China -- Hong Kong -- Management Pension trusts -- Management Risk management Hong Kong Polytechnic University -- Dissertations |
| Department: | Graduate School of Business |
| Pages: | xxv, 168 pages : illustrations |
| Language: | English |
| Abstract: | This study employs the monthly return data of 51 Hong Kong focused equity funds and tests the market-timing ability of these funds under general and volatile market conditions. The results demonstrate that there is both a positive and a negative market-timing ability under general and volatile market conditions. When applying traditional models, namely Treynor and Mazuy’s (1966) Model and Henriksson and Merton’s (1981) Model under general market conditions, all fund groups, except the MPF group compared with the Hang Seng Index, show a negative or insignificant market-timing ability. The MPF group compared with the Hang Seng Index shows a positive market-timing ability. When applying additional modified models under volatile market conditions, all fund groups, except the SFC group and MPF group compared with the Hang Seng Index under certain market conditions, show a negative or insignificant market-timing ability. The SFC group and MPF group compared with the Hang Seng Index under certain market conditions demonstrate a positive market-timing ability. The positive market-timing ability exists more prominently under volatile down market conditions than volatile up market conditions while the negative market-timing ability exists more prominently in volatile up market conditions than volatile down market conditions. There is more negative market-timing ability than positive market-timing ability under general and volatile market conditions. The MPF group achieved a relatively higher extent of the positive market-timing ability. We find evidence to support the impact of various regulatory constraints and monitoring on the market-timing ability of different categories of mutual funds under general and volatile market conditions. The greater the extent of regulatory constraints and monitoring, the lower the level of risks the mutual funds take and the greater the market-timing ability is. O&I funds are subject to minimum regulatory constraints and monitoring; their standard deviations of return are the highest, but they show no market-timing ability. SFC funds are subject to a relatively low extent of regulatory constraints and monitoring; their standard deviations of return are between those of the O&I funds and the MPF funds and they show little market-timing ability. MPF funds are subject to the highest extent of regulatory constraints and monitoring; their standard deviations and semi-standard deviations of return are the lowest and their market-timing ability is the highest among all groups. This study provides evidence that the regulatory constraints and monitoring do not affect fund performance in a negative way. The MPF funds, on average, show superior market-timing ability and risk-adjusted returns. The four MPF funds show positive market-timing ability and their risk-adjusted returns are superior to all O&I funds and all but three SFC funds. One MPF fund showing positive market-timing ability achieves the highest risk-adjusted return among all funds. However, flexibility in investment and operation does not necessarily lead to success. When evaluating returns without taking risks into account, the MPF funds perform better than the O&I funds but slightly worse than the SFC funds. The performance of the MPF funds is consistent with the requirements of the MPF beneficiaries who are relatively risk-averse and have a relatively long investment horizon. |
| Rights: | All rights reserved |
| Access: | restricted access |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 7000.pdf | For All Users (off-campus access for PolyU Staff & Students only) | 1.79 MB | Adobe PDF | View/Open |
Copyright Undertaking
As a bona fide Library user, I declare that:
- I will abide by the rules and legal ordinances governing copyright regarding the use of the Database.
- I will use the Database for the purpose of my research or private study only and not for circulation or further reproduction or any other purpose.
- I agree to indemnify and hold the University harmless from and against any loss, damage, cost, liability or expenses arising from copyright infringement or unauthorized usage.
By downloading any item(s) listed above, you acknowledge that you have read and understood the copyright undertaking as stated above, and agree to be bound by all of its terms.
Please use this identifier to cite or link to this item:
https://theses.lib.polyu.edu.hk/handle/200/12524