Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/1604
Title: Risk-adjusted performance, selectivity, timing ability and performance persistence of Hong Kong mutual funds
Authors: Abdel-Kader, MG
Kuang, Y
Keywords: Mutual Fund;Hong Kong;Performance persistence;Risk-adjusted performance
Issue Date: 2007
Publisher: Haworth Press
Citation: Journal of Asia-Pacific Business, 8(2): 25-58, Aug 2007
Abstract: This paper examines the performance of thirty Hong Kong mutual funds during the period from August 1995 to July 2005. The issues of risk-adjusted performance, selectivity, timing ability and performance persistence are addressed. We employ the signal-factor model, three-factor models and the measurements of Jensen’s alpha and Treynor ratio to evaluate the weekly returns on the sample funds relative to the performance of the Hong Kong market benchmark. Treynor and Mazuy (1966)’s quadratic model is used for assessing selectivity and timing ability of fund managers. Performance persistence of Hong Kong mutual funds is assessed at successive two-year intervals based on their ranking according to both Jensen measure and Treynor measure. Evidence of underperformance of Hong Kong mutual funds relative to the market is found. No significant selectivity and timing ability are shown in the results of the actively managed mutual funds. Persistence is identified for the performance of both winners and losers in the short run.
URI: http://bura.brunel.ac.uk/handle/2438/1604
ISSN: 1059-9231
Appears in Collections:Economics and Finance
Brunel Business School Research Papers

Files in This Item:
File Description SizeFormat 
JAPB 2007.pdf280.9 kBAdobe PDFView/Open


Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.