Dissertations / Theses on the topic 'Strategy and Fund Performance'

This dissertation presents five research essays evaluating the performance of managed funds in light of the investment strategy and manager characteristics exhibited by institutional investment companies. An analysis of investment performance with respect to a fund managers strategy provides important information in determining whether performance objectives have been achieved. There are a number of different types of investment strategies managed funds may adopt. However, the primary dichotomy is on the basis of whether the portfolio manager implements either an active or index approach. Active managers attempt to outperform the market through the use of price-sensitive information, whereas a passive manager's objective is to replicate the returns and risk of a target benchmark index. The evaluation of investment manager characteristics is also evaluated. This is motivated on the basis that asset management entities place significant emphasis on both the articulation and differentiation of their investment style relative to competitors, and selling the strengths of their portfolio management skills (in terms of past performance) as well identifying the key individuals comprising their investment team and their unique attributes. For active equity managers, the methods used in constructing portfolios and implementing the investment strategy include security selection, in terms of 'top-down' or 'bottom-up' strategies, value-biased, growth-biased or style-neutral strategies, and portfolios exhibiting market capitalisation biases (i.e. preferences to large or small-cap securities). In terms of active bond portfolio management, the most common strategies include duration management and yield curve positioning. Active managers' strategies are likely to extend beyond stock selection, in particular, where the fund manager adjusts the portfolio's composition in anticipation of favourably capitalising on future movements in the market. For index managers, replication of both the returns and risk of the underlying index may be achieved through either full-replication of constituent stocks comprising the index, or through non-replication techniques (stratified sampling and/or optimisation). Each essay provides a unique contribution to the literature with respect to the performance of active and index funds, as well as an analysis of funds that invest specifically in domestic equities, domestic fixed interest, and diversified funds that invest across the broad spectrum of asset classes. The origins of the performance evaluation literature are ascribed to Cowles' (1933) pioneering work, and the literature has given increasing attention to the topic. However the most fundamental issue considered in almost all previous studies of managed fund performance is the extent to which actively managed portfolios have earned superior risk-adjusted excess returns for investors. The literature has overwhelmingly documented (with a small number of exceptions) that active funds have been unable to earn superior returns, either before or after expenses (e.g. Jensen (1968), Elton et al. (1993), Malkiel (1995), Gruber (1996)). While the international evidence is supported by the few Australian managed fund studies available, Australian research remains surprisingly scarce. This is perplexing considering the sheer size of the investment industry in Australia (around $A717 billion as at 30 June 2001) and the importance placed on the sector with respect to successive Federal Governments' retirement income policies. The objectives of this dissertation therefore involve an analysis of managed fund performance with respect to differences in investment strategies (i.e. active and index), as well as providing an analysis of funds invested in equities, bonds and diversified asset classes (or multi-sector portfolios). The first essay evaluates the market timing and security selection capabilities of Australian pooled superannuation funds. These funds provide institutional investors with exposure to securities across many different asset classes, including domestic and international equities, domestic and international fixed interest, property and cash. Surprisingly, the specific analysis of multi-sector funds is scarce in the literature and limited to Brinson et al. (1986, 1991), Sinclair (1990), and Blake et al. (1999). This essay also evaluates performance for the three largest asset classes within diversified superannuation funds and their contribution to overall portfolio return. The importance of an accurately specified market portfolio proxy in the measurement of investment performance is demonstrated, where the essay employs performance benchmarks that account for the multi-sector investment decisions of active investment managers in a manner that is consistent with their unique investment strategy. This approach rectifies Sinclair's (1990) analysis resulting from benchmark misspecification. Consistent with the literature, the empirical results indicate that Australian pooled superannuation funds do not exhibit significantly positive security selection or market timing skill. Given the evidence in the literature surrounding the inability of active funds to deliver superior returns to investors, lower cost index funds have become increasingly popular as an alternative investment strategy. Despite the significant growth in index funds since 1976, when the first index mutual fund was launched in the U.S., research on their performance is sparse in the U.S. and non-existent in Australia. The second essay provides an original analysis of the Australian index fund market, with specific analysis applicable to institutional Australian equity index funds offered by fund managers. While indexing is theoretically straightforward, in practice there exist potential difficulties in exactly matching the return of the underlying index. Therefore the magnitude of tracking error is likely to be of concern to investors. This essay documents the existence of significant tracking error for Australian index funds, where the magnitude of the difference between index fund returns and index returns averages between 7.4 and 22.3 basis points per month for funds operating at least five years. However, there is little evidence of bias in tracking error, implying that these funds neither systematically outperform or underperform their benchmark on a before cost basis. Further analysis documents that the magnitude of tracking error is related to fund cash flows, market volatility, transaction costs and index replication strategies used by passive investment managers. The third essay presents evidence of the performance of U.S. mutual funds, where attention is given to both active and index mutual funds for which the applicable benchmark index is the S&P 500. This essay examines both the magnitude and variation of tracking error over time for S&P 500 index mutual funds. The essay documents seasonality in S&P 500 index mutual fund tracking error, where tracking error is significantly higher in the months of January and May, together with a seasonal trough in the quarters ending March-June-September-December. Statistical evidence indicates tracking error is both positively and significantly correlated with the dividend payments arising from constituent S&P 500 securities. In terms of a performance comparison between actively managed and index funds, active funds on average are found to significantly underperform passive benchmarks. On the other hand, S&P 500 index mutual funds earned higher risk-adjusted excess returns after expenses than large capitalisation-oriented active mutual funds in the period examined. These results suggest the S&P 500 is consistent with capital market efficiency, implying an absence of economic benefit accruing to the average investor utilising actively managed U.S. equity mutual funds. The fourth essay presented in the dissertation examines the performance of Australian investment management organisations with direct reference to their specific characteristics and strategies employed. Using a unique information source, performance is evaluated for actively managed institutional balanced funds (or diversified asset class funds), Australian share funds and Australian bond funds. Performance is evaluated with respect to the investment strategy adopted, the experience and qualifications held by investment professionals, and the tenure of the key investment professionals. This essay also evaluates the performance of senior sector heads to determine the skills of individuals driving the investment process, even though these individuals may migrate to competitor organisations. The essay finds evidence that a significant number of active Australian equity managers earned superior risk-adjusted returns in the period, however active managers perform in line with market indices for balanced funds and Australian bond funds. A number of manager characteristics are also found to predict risk-adjusted excess returns, systematic risk and investment expenses. Of particular note, performance of balanced funds is negatively related to the institution's age and the loyalty of non-senior investment staff. Performance is also found to be significantly higher for managers that predominantly operate their portfolios using a bottom-up, stock selection approach. Interestingly, the human capital of managers, measured as the years of tertiary education undertaken, does not explain risk-adjusted excess returns. Systematic risk is positively related to an institutions age and negatively related to both senior manager loyalty and the implementation of bottom-up portfolio management strategies. In terms of management expenses, fees are directly related to the Australian equities benchmark allocation, the years of tertiary education, the number of years service (loyalty) for non-senior investment professionals and the total years experience of senior money managers. This concluding essay also documents that changes in top management have significant performance effects. In the 12-month period after a change in fixed income director or chief investment officer, performance is significantly lower and significantly higher, respectively. There is no significant difference in performance where changes in top management occur for Australian equities. The years of service (loyalty) provided to asset management firms by equities directors is inversely related to risk-adjusted return. The fifth and final essay examines the investment performance of active Australian bond funds and the impact of investor fund flows on portfolio returns. This essay represents a significant and original analysis in terms of its contribution to the literature, given the absence of Australian bond fund performance analytics and also the limited attention provided in the U.S. Both security selection and market timing performance is evaluated using both unconditional models and conditional performance evaluation techniques, which account for public information and the time-variation in risk. Overall, the results of this essay are consistent with the U.S. and international mutual fund evidence, where performance is found to be consistent with an efficient market. While actively managed institutional funds perform broadly in line with the index before expenses, the paper documents significant underperformance for actively managed retail bond funds after fees. The study also documents that retail fund flows negatively impact on market timing coefficients when flow is not accounted for in unconditional models.

This dissertation presents five research essays evaluating the performance of managed funds in light of the investment strategy and manager characteristics exhibited by institutional investment companies. An analysis of investment performance with respect to a fund managers strategy provides important information in determining whether performance objectives have been achieved. There are a number of different types of investment strategies managed funds may adopt. However, the primary dichotomy is on the basis of whether the portfolio manager implements either an active or index approach. Active managers attempt to outperform the market through the use of price-sensitive information, whereas a passive manager's objective is to replicate the returns and risk of a target benchmark index. The evaluation of investment manager characteristics is also evaluated. This is motivated on the basis that asset management entities place significant emphasis on both the articulation and differentiation of their investment style relative to competitors, and selling the strengths of their portfolio management skills (in terms of past performance) as well identifying the key individuals comprising their investment team and their unique attributes. For active equity managers, the methods used in constructing portfolios and implementing the investment strategy include security selection, in terms of 'top-down' or 'bottom-up' strategies, value-biased, growth-biased or style-neutral strategies, and portfolios exhibiting market capitalisation biases (i.e. preferences to large or small-cap securities). In terms of active bond portfolio management, the most common strategies include duration management and yield curve positioning. Active managers' strategies are likely to extend beyond stock selection, in particular, where the fund manager adjusts the portfolio's composition in anticipation of favourably capitalising on future movements in the market. For index managers, replication of both the returns and risk of the underlying index may be achieved through either full-replication of constituent stocks comprising the index, or through non-replication techniques (stratified sampling and/or optimisation). Each essay provides a unique contribution to the literature with respect to the performance of active and index funds, as well as an analysis of funds that invest specifically in domestic equities, domestic fixed interest, and diversified funds that invest across the broad spectrum of asset classes. The origins of the performance evaluation literature are ascribed to Cowles' (1933) pioneering work, and the literature has given increasing attention to the topic. However the most fundamental issue considered in almost all previous studies of managed fund performance is the extent to which actively managed portfolios have earned superior risk-adjusted excess returns for investors. The literature has overwhelmingly documented (with a small number of exceptions) that active funds have been unable to earn superior returns, either before or after expenses (e.g. Jensen (1968), Elton et al. (1993), Malkiel (1995), Gruber (1996)). While the international evidence is supported by the few Australian managed fund studies available, Australian research remains surprisingly scarce. This is perplexing considering the sheer size of the investment industry in Australia (around $A717 billion as at 30 June 2001) and the importance placed on the sector with respect to successive Federal Governments' retirement income policies. The objectives of this dissertation therefore involve an analysis of managed fund performance with respect to differences in investment strategies (i.e. active and index), as well as providing an analysis of funds invested in equities, bonds and diversified asset classes (or multi-sector portfolios). The first essay evaluates the market timing and security selection capabilities of Australian pooled superannuation funds. These funds provide institutional investors with exposure to securities across many different asset classes, including domestic and international equities, domestic and international fixed interest, property and cash. Surprisingly, the specific analysis of multi-sector funds is scarce in the literature and limited to Brinson et al. (1986, 1991), Sinclair (1990), and Blake et al. (1999). This essay also evaluates performance for the three largest asset classes within diversified superannuation funds and their contribution to overall portfolio return. The importance of an accurately specified market portfolio proxy in the measurement of investment performance is demonstrated, where the essay employs performance benchmarks that account for the multi-sector investment decisions of active investment managers in a manner that is consistent with their unique investment strategy. This approach rectifies Sinclair's (1990) analysis resulting from benchmark misspecification. Consistent with the literature, the empirical results indicate that Australian pooled superannuation funds do not exhibit significantly positive security selection or market timing skill. Given the evidence in the literature surrounding the inability of active funds to deliver superior returns to investors, lower cost index funds have become increasingly popular as an alternative investment strategy. Despite the significant growth in index funds since 1976, when the first index mutual fund was launched in the U.S., research on their performance is sparse in the U.S. and non-existent in Australia. The second essay provides an original analysis of the Australian index fund market, with specific analysis applicable to institutional Australian equity index funds offered by fund managers. While indexing is theoretically straightforward, in practice there exist potential difficulties in exactly matching the return of the underlying index. Therefore the magnitude of tracking error is likely to be of concern to investors. This essay documents the existence of significant tracking error for Australian index funds, where the magnitude of the difference between index fund returns and index returns averages between 7.4 and 22.3 basis points per month for funds operating at least five years. However, there is little evidence of bias in tracking error, implying that these funds neither systematically outperform or underperform their benchmark on a before cost basis. Further analysis documents that the magnitude of tracking error is related to fund cash flows, market volatility, transaction costs and index replication strategies used by passive investment managers. The third essay presents evidence of the performance of U.S. mutual funds, where attention is given to both active and index mutual funds for which the applicable benchmark index is the S&P 500. This essay examines both the magnitude and variation of tracking error over time for S&P 500 index mutual funds. The essay documents seasonality in S&P 500 index mutual fund tracking error, where tracking error is significantly higher in the months of January and May, together with a seasonal trough in the quarters ending March-June-September-December. Statistical evidence indicates tracking error is both positively and significantly correlated with the dividend payments arising from constituent S&P 500 securities. In terms of a performance comparison between actively managed and index funds, active funds on average are found to significantly underperform passive benchmarks. On the other hand, S&P 500 index mutual funds earned higher risk-adjusted excess returns after expenses than large capitalisation-oriented active mutual funds in the period examined. These results suggest the S&P 500 is consistent with capital market efficiency, implying an absence of economic benefit accruing to the average investor utilising actively managed U.S. equity mutual funds. The fourth essay presented in the dissertation examines the performance of Australian investment management organisations with direct reference to their specific characteristics and strategies employed. Using a unique information source, performance is evaluated for actively managed institutional balanced funds (or diversified asset class funds), Australian share funds and Australian bond funds. Performance is evaluated with respect to the investment strategy adopted, the experience and qualifications held by investment professionals, and the tenure of the key investment professionals. This essay also evaluates the performance of senior sector heads to determine the skills of individuals driving the investment process, even though these individuals may migrate to competitor organisations. The essay finds evidence that a significant number of active Australian equity managers earned superior risk-adjusted returns in the period, however active managers perform in line with market indices for balanced funds and Australian bond funds. A number of manager characteristics are also found to predict risk-adjusted excess returns, systematic risk and investment expenses. Of particular note, performance of balanced funds is negatively related to the institution's age and the loyalty of non-senior investment staff. Performance is also found to be significantly higher for managers that predominantly operate their portfolios using a bottom-up, stock selection approach. Interestingly, the human capital of managers, measured as the years of tertiary education undertaken, does not explain risk-adjusted excess returns. Systematic risk is positively related to an institutions age and negatively related to both senior manager loyalty and the implementation of bottom-up portfolio management strategies. In terms of management expenses, fees are directly related to the Australian equities benchmark allocation, the years of tertiary education, the number of years service (loyalty) for non-senior investment professionals and the total years experience of senior money managers. This concluding essay also documents that changes in top management have significant performance effects. In the 12-month period after a change in fixed income director or chief investment officer, performance is significantly lower and significantly higher, respectively. There is no significant difference in performance where changes in top management occur for Australian equities. The years of service (loyalty) provided to asset management firms by equities directors is inversely related to risk-adjusted return. The fifth and final essay examines the investment performance of active Australian bond funds and the impact of investor fund flows on portfolio returns. This essay represents a significant and original analysis in terms of its contribution to the literature, given the absence of Australian bond fund performance analytics and also the limited attention provided in the U.S. Both security selection and market timing performance is evaluated using both unconditional models and conditional performance evaluation techniques, which account for public information and the time-variation in risk. Overall, the results of this essay are consistent with the U.S. and international mutual fund evidence, where performance is found to be consistent with an efficient market. While actively managed institutional funds perform broadly in line with the index before expenses, the paper documents significant underperformance for actively managed retail bond funds after fees. The study also documents that retail fund flows negatively impact on market timing coefficients when flow is not accounted for in unconditional models.

Private equity investing (PE) has experienced rapid growth on a global scale over the last few decades to become a significant industry. While scholars have devoted considerable effort to studying the area of risk capital investing into businesses, research about private equity as an asset class is surprisingly scarce. This dissertation addresses this gap by enhancing understanding of PE fund investing in general, and specifically about how heterogeneity in investor-specific characteristics and entry order strategies may impact performance. Based on a comprehensive set of interviews with PE fund investors, in-dept insights about variances in motives for investing in the asset class, ways of working, and investment strategies across investors were acquired; findings that are elaborated upon in the dissertation. In addition, to facilitate a thorough investigation of the links between organizational characteristics, entry order and performance, hypotheses were tested through the statistical analysis of unique data covering PE funds raised in Sweden over a twenty-year period. Among several novel results, this study indicates that the level of environmental uncertainty has a clear impact on which organization-specific factors explain entry order, as well as which factors impact the ability of an organization to take advantage of a chosen entry order. Furthermore, the study points at organizational reputation as an especially valuable asset in situations of uncertainty. While a good reputation does not directly lead to superior performance, it may be used in exchange for favorable entry order positions.

Diss. Stockholm : Handelshögskolan i Stockholm, 2011

Nowadays, there is a debate about the possibility that sin stocks bring higher returns than other ones to the investors. This thesis is a case study on a mutual fund: The Vice Fund. This US fund has a specific investment strategy: it invests in sin stocks. We compared this mutual fund to The Timothy Fund because they have similar characteristics such as – date of inception, total assets, home country and investment universe, expect the investment strategy. Indeed, The Vice Fund invests in sin stocks and The Timothy Fund does not. Two benchmarks are also used in the study: the S&P 500 Index as a domestic benchmark and the MSCI World Index as an international benchmark. This thesis is a case study using a deductive approach on a quantitative ground. The study is done on ten years long from 2003 to 2012. We divided the entire period into three different sub-periods depending of the S&P 500 Index trend. The first and the last sub-periods are bullish and the second one is bearish. In order to analyse both the financial performances and the risks of The Vice Fund we use several tools. We calculated returns and risk-adjusted ratios: the Treynor’s ratio, the Sharpe’s ratio and the Jensen’s ratio. Because these ratios are less accurate in bearish markets, we calculated the normalized Sharpe ratio by doing linear regressions and we also calculated the modified Sharpe ratio. In order to perform these calculations, we used DataStream as a database to obtain prices and dividends for the two mutual funds and the prices for the two benchmarks. We got also the one-month T-bill to have a risk-free rate. We found that The Vice Fund had a better average returns performance whatever the market conditions over the period studied. However the difference between weekly results with The Timothy Plan Fund and the benchmarks is not statistically significant. The risk- adjusted ratios confirmed the superiority of the risk-adjusted financial performance of the sin fund.

Thesis (MBA)--Stellenbosch University, 2002.
ENGLISH ABSTRACT: Previous studies show that interest rates, dividend yields and other commonly available variables are useful market indicators. Although this has produced new insights into asset pricing models, it has not been applied to the measurement of unit trust funds' performance. This study introduces a set of predetermined variables into the measures of performance of South African unit trust fund managers. This paper modifies classical performance measures to incorporate these well-known market indicators. The performance and strategy of the South African general equity unit trust managers are evaluated for the period 1989 to 2002. The incorporation of these predetermined variables is both statistically and economically significant. It is concluded that when the conditional measures are applied to this sample of unit trusts, their performance improves and there is no evidence of market timing strategy. This study advocates conditional performance evaluation in which the relevant expectations are conditioned on public information variables.
AFRIKAANSE OPSOMMING: Vorige studies toon dat rentekoerse, dividendopbrengste en ander algemeen beskikbare veranderlikes bruikbare markaanwysers is. Hoewel dit nuwe insigte in bateprysbepalingsmodelle bring, is dit nog nie toegepas op die meting van effektetrust prestasie nie. Hierdie ondersoek gebruik 'n stel voorafbepaalde veranderlikes in die prestasiemeting van Suid-Afrikaanse effektetrust bestuurders. Hierdie werkstuk wysig klassieke prestasiemetings om die bekende markaanwysers in ag te neem. Die prestasie van Suid-Afrikaanse algemene aandele-effektetrusts vir die tydperk van 1989 tot 2002 is geëvalueer met behulp van hierdie wysigings. Daar word bevind dat die gebruik van hierdie voorafbepaalde veranderlikes statisties sowel as ekonomies beduidend is. Hierdie ondersoek bevind dat die prestasie van die steekproef van effektetrusts verbeter wanneer voorwaardelike metings daarop toegepas word. Daar is geen bewys van marktydberekeningstrategie nie. Hierdie werkstuk beveel voorwaardelike prestasie-evaluering aan waarin die betrokke verwagtings bepaal word deur veranderlikes wat openbare inligting is.

The thesis starts by examining how organisations deploy strategy and performance measurement systems and reviews how well they fink to the employee appraisal process. Many organisations are still failing to provide the linkage that employees require to fully exploit their potential. Whilst companies have processes for strategy and appraisal construction, objective setting and support structures, including communications the research found that these lacked the effectiveness necessary to motivate employees. For strategy to become truly meaningful to employees' personal goals and objectives must be aligned with the organisational objectives. The methodology design detailed in this thesis assisted the research in determining that none of the current strategy and performance measurement models or frameworks was able to combine strategy and appraisal processes in to an integrated system that was effective. A strategy deployment process was developed which creates this link to the employe e's appraisal system, ensuring that the actions of the individual are inline with the company goals. Four process requirements were identified in the model construction. The strategy deployment process is a new business model to integrate strategy and performance measurement systems to the appraisal process. This provides a greater understanding of the competencies required by management and the employees of the organisation. All businesses need to align their strategies, operations, competencies and resources in order to achieve the organisational objectives but to gain the maximum from these the culture of the company has to be flexible and encouraging to achieve this. To ensure that cultural flexibility is sustained the research found that organisations should have: strategy aligned communication links, effective leadership and a coaching environment. From the beginning of the research, criteria for the evaluation of the quality of the research were developed. The thesis concludes with the evaluation of the research against these criteria. The results obtained demonstrate that the research has satisfactorily fulfilled academic requirements and has reached the standards outlined in the methodology.

The growing interest in savings on the financial markets implicates that the competition is expanding and managers of Swedish equity funds need to create shareholder value, independent of the macroeconomic situation. The Swedish financial market experienced a rapid rebound during the first quarter of 2019, following the plunge in the preceding quarter. This thesis utilizes multiple linear regression to analyze Swedish equity funds during the first quarter of 2019. The aim is to identify variables affecting fund performance in a market rebound in order to formulate a performance maximizing strategy. Based on the results of the performance influencing variables, the strategy is to underweight small cap stocks, overweight the energy and technology sector, underweight the communication services sector and staying neutral to overweighted in remaining sectors. Furthermore, the strategy proposes an overweighted exposure to North American stocks and an underweight to Western European stocks. The overexposure to North America should be larger in absolute value compared to the underexposure to Western Europe. The strategy is ambiguous since data from only one market rebound is analyzed. Therefore, the strategy is not significantly proven to be adaptable in any market rebound. The model analysis is based on modern macroeconomic and financial theories. In addition, the discussion problematizes the neoclassical view on economics based on the notion that a combination of rationality and irrationality is prevalent among investors. Further research is essential either to support or reject the performance affecting variables and the allocation strategy specified in the thesis.
Det växande intresset att investera på de finansiella marknaderna implicerar att konkurrensen hårdnar bland fondförvaltare. Fondförvaltare för svenska aktiefonder måste därmed skapa andelsägarvärde, oberoende av det makroekonomiska läget. Den finansiella marknaden återhämtade sig snabbt under det första kvartalet 2019 efter den branta nedgången under det föregående kvartalet. Studien avser att identifiera de bidragande faktorerna till avkastning för svenska aktiefonder under denna återhämtning. Multipel linjär regression används för detta ändamål samt för att formulera en avkastningsmaximerande strategi. Strategin föreslår att förvaltare för svenska aktiefonder bör undervikta småbolag, övervikta aktier inom energi och teknik samt undervikta aktier i kommunikationssektorn. Strategin är vidare att vara neutral till överviktad i övriga sektorer. Dessutom är strategin att övervikta nordamerikanska aktier och att undervikta västeuropeiska aktier. Övervikten i Nordamerika ska vara större i absoluta termer än undervikten i Västeuropa. Strategin är tvetydig då den bygger på data från enbart en marknadsåterhämtning. Därmed är den framtagna strategin inte bevisad att vara applicerbar på vilken marknadsåterhämtning som helst. Analysen är baserad på modern makroekonomisk och finansiell teori. Diskussionen problematiserar den neoklassiska synen på ekonomi baserat på uppfattningen att investerare är både irrationella och rationella i sina investeringsbeslut. Fortsatt forskning är essentiell för att antingen stärka eller förkasta dragna slutsatser i denna studie.

This diploma thesis deals with the management of free capital of a selected company on the financial market with a focus on mutual funds and ETFs. The result is the construction and analysis of the potential appreciation of the investment strategy interpreted through historical data and a comparison of the results with alternative options for the appreciation of financial capital, especially in the form of mutual funds.

This study evaluates the performance of the export marketing strategy for Malaysian palm oil over the period 1980-90, with emphasis on the promotion of this commodity in a large number of importing countries world-wide. The analysis of global data indicates that over this period the average per capita consumption level of oils and fats grew from 13.4 to 15.1 kg/hd, led by soybean oil and followed by palm, rape seed, and coconut oils, tallow and butter. However, the per capita consumption trend of soybean and coconut oils is declining, while there is a positive trend for rapeseed and palm oils, tallow and butter. Regression analysis using 1990 cross-sectional data based on 92 importing countries indicates that there is a significant positive and inelastic income response in per capita consumption of oils and fats, but that the income elasticity of consumption for animal fats is higher than that for vegetable oils. The relationship between per capita consumption of oils and fats types with price was found to be negative. The only significant relationship between per capita consumption of oil types and price is with palm oil. Between 1982 and 1990, vegetable oils accounted for 78 per cent of world trade in oils and fats, led by palm, soybean, rapeseed and sunflower oils. Malaysian palm oil accounted for 21 per cent of the total oils and fats trade in 1982-90. Based on market share analysis, the export gains for Malaysian palm oil came mainly from the general expansion of demand for oils and fats, particularly in developing countries, and to the lesser extent from the market reorientation and competitiveness effects. The contribution of promotional efforts was evaluated using import demand and promotion model for Malaysian palm oil. Promotional efforts were measured by estimated costs of overseas trips and familiarisation programmes, and a binary variable for ministerial visits.

This research provides empirical evidence on the implementation of the strategic marketing planning in the context of Indonesia, a newly industrialized country. Drawing from a contingency theory, the research posits that the credibility of marketing strategy depends on the external business environments and its formulation process. The credibility of marketing strategy and the strategy formulation process, in turn, determine the effectiveness of the implementation of the strategy in achieving the desired performance. The causal relationships amongst these variables were then analyzed by structural equation model using LISREL 8.30 program. The primary data for this study were collected through structured interviews with the Marketing Managers of 219 Indonesian companies. The results of the study not only strengthen the notion of the influence of external business environments on the actions of organizations, such as the credibility of marketing strategy, but also confirm the belief of the importance of an innovative culture in implementing strategic marketing planning. The study also identifies that marketing managers play a pivotal role in the formulation and implementation of the strategy. Within the scope of the strategy formulation, marketing managers as boundary spanners of their companies provide the decision makers with current and up to date strategic issues, which in turn enhance the credibility of the formulated strategy. On the other hand, within the strategy implementation, the managers with their autonomy conduct evaluation and control of the marketing strategy, and adjust the strategy to any significant environmental changes to achieve the desired performance.
These findings not only support the view that it is inappropriate to separate the strategy formulation from its implementation aspects, but also corroborate the importance of the fit between marketing strategy and its external and internal environments to gain the desired performance. Finally, the use of Indonesian companies as the sample of this study and the consistencies of most of the results of the study with the existing findings reveal that the results are applicable in both industrialized and newly industrialized countries.

In the past few years there has been a dramatic change in the orientation of marketing, and strategic thinking has become the order of the day. More and more attention has been paid to the competitor. Competitive marketing in general has become an area of primary concern to marketers, managers, and businessmen. Despite its potential, however, competitive marketing strategy has received relatively little attention in the marketing literature. Few studies have provided analytical techniques for gaining a clearer understanding of industries and competitors, and those that have emerged are considered to lack breadth and comprehensiveness. This study of competitive marketing strategy represents a step towards bridging this gap, by reviewing the concepts and issues related to the practice of competitive strategy and its relation to corporate success. It shows how marketing factors, besides others, shape the competitive position of firms within an industry or any industry within the world market place. A general view of competitive marketing strategy is presented and thereafter illustrated with specific evidence about the competitive dilemma facing the British car industry. It is hoped that this work will not only provide help for practitioners who need to develop an appropriate strategy for a particular business, or scholars trying to understand competition better, but also be of help to analysts and policy makers within government who wish to understand the pressures that affect the competitive position in an industry or the whole economy in the world trade scene. The study generally makes the point that it is, after all, the practice of competitive marketing strategies within individual businesses that largely determines national competitiveness.

While, Japanese marketing strategies in world markets have attracted much attention in international business circles, they have received only secondary attention from researchers. Indeed, most studies into the competitive behaviour of Japanese firms have not identified marketing as a particularly significant factor in accounting for their overall success. By default, therefore, researchers have failed to provide information and insight into an area which is recognised as crucial to efficient performance. The aim of this study was to gain an insight into the role marketing plays in affecting the competitive position of Japanese firms in the British market. In particular, the research focused on the overall approach of Japanese companies to the marketplace, the process by which they identify and bring products to the market and their view towards the 1992 single European market. Care has been taken in describing and explaining the competitive behaviour of Japan's companies in order t o achieve a fair analysis of the contribution of marketing to their overall strategy. In doing so, it is hoped that a more analytic and less subjective outcome will be of value and interest to the Western business community. Based upon the literature review which documented the positive role of marketing in competitive success, analysed the factors that contributed to Japan's success in world markets and highlighted the specific role played by Japanese marketing strategies in achieving such results, a set of hypotheses were developed and tested. The field research was carried out during October/November 1989 following a series of five personal interviews with managing directors and senior marketing staff in August 1989 to pilot test the questionnaire. Questionnaires were despatched addressed in person to the managing directors of Japanese companies operating in Britain. The subsequent analysis is based upon a total sample of 57 companies operating in the U. K. -a substantial proportion of the total (63%). The broad findings emerging from this research present few surprises. Japanese companies do not seem to suffer from a 'sales orientation', 'production orientation' or 'finance orientation' as opposed to a marketing orientation. The in-roads being made into the British market are based by and large on a strategy aimed at satisfying customer needs and wants. Japanese companies saw their strengths in placing emphasis on research and engineering and bringing the right product to the market quickly and decisively. As far as 1992 is concerned, Japanese companies indicate that they will be fighting aggressively to hold onto their market share. They also anticipate increased competition coupled with a necessity to know and serve the market better.

The fuel ethanol industry is now making use of a very efficient process where virtually all sugar substrates are converted to ethanol. Nevertheless, some metabolic by-products excreted from Saccharomyces cerevisiae tend to reduce the ethanol yield. Of such, glycerol is the major one, accounting for about 5-10% relative to the amount of ethanol produced.
Glycerol plays an important role in maintaining the redox balance within the cells by oxidizing the cytosolic NADH under anaerobic conditions. It is also believed that it acts as an osmoprotectant and would be favourably produced in high osmotic pressure conditions.
In order to mitigate the production of glycerol, various aeration strategies were investigated in a single-stage continuous fermentation system. Oxygen dissolved in the fermentation medium put the yeast in aerobiosis, acted as an oxidizing agent and hence minimised the specific glycerol production by 36% as compared to a completely anaerobic fermentation.
This has hardly been reproduced in a more industrially relevant system using a multi-stage continuous fermentation process. Indeed, oscillations in the concentrations of the various metabolites over time made difficult the assessment of significant changes. Nevertheless, these findings open the door to further investigations in order to understand the effect of oxygen in continuous fermentations using very high gravity feeds, such as in the fuel ethanol industry.

In this thesis I will examine active equity mutual fund managers’ ability to outperform an index, which is done by utilizing a sample of four equity mutual funds that mainly invest in large Swedish quoted companies. In order to measure the risk-adjusted performance of the funds, a model created by Michael Jensen will be used. Furthermore, I will investigate whether the managers of the mutual funds increase/decrease the risk level, or rather the beta, when the stock market is bullish/bearish. Hence, two time spans have been chosen, 2001-2003 and 2004-2006, where the previous represents a bearish stock market and the later represents a bullish stock market.

The empirical evidence indicates that one fund in each period was significantly outper-formed by the comparable index. Furthermore, the result also suggests that two significant funds were talking more risk than the index in the bearish time period while three signifi-cant funds decreased the risk level during the bullish time period.

Denna kandidatuppsats undersöker aktiva fondförvaltares förmåga att upptäcka och inve-stera i fonder som presterar bättre än deras jämförekse index. Undersökningen är baserad på fyra aktiefonder som huvudsakligen investerats i Svenska börsnoterade företag. Fonder-nas riskjusterade prestation kommer att mätas med hjälp av en modell som är utformad av Michael Jensen.

Vidare kommer uppsatsen att undersöka om fondförvaltarna ökar eller minskar risk nivån, eller betavärdet, baserat på börsens utveckling under åren 2001-2003 och 2004-2006. Det förgående intervallet representerar en sjunkande börsperiod och det senare en stigande börsperiod.

Det empiriska resultatet indikerar att en signifikant fond i varje tidsintervall presterade säm-re än index. Utöver detta visade även resultatet att två signifikanta fonder ökade risk nivån, jämfört med index, i den sjunkande börsperioden medan tre signifikanta fonder minskade risk nivån i den stigande börsperioden.

I examine mutual fund performance using three different perspectives. I begin with Mutual Fund Holdings Batting Average, in which I analyze mutual fund performance through the creation of a new variable using funds’ stock holdings information. My results show that this new variable, Holdings Batting Average, is related to the future performance of managers. My next chapter, Quarterly Mutual Fund Holdings Information and Window Dressing examines two different approaches of using holdings information. I recommend that fund holdings reported at the beginning of the quarter are more related to actual mutual fund performance than holdings disclosed at the end of the quarter. In my last chapter, Morningstar’s Upside and Downside Capture Ratios¸ I test these two ratios that are being reported by Morningstar. I find that these measures do not predict outperformance, but appear to be related to future fund flows.

Cette thèse traite des fonds d’Investissement Socialement Responsables (ISR) français. D’après la Théorie Moderne du Portefeuille leur performance devrait être inférieure à celle des fonds traditionnels. Cependant des recherches antérieures présentent des résultats contradictoires. Nous choisissons de faire appel à la Resource Based View (RBV) pour interpréter cette incohérence entre théorie et pratique.Nous employons une méthodologie qualitative exploratoire, combinant des entretiens avec une analyse lexicale. Nous validons quantitativement une partie de nos résultats qualitatifs en modélisant la performance d’un fonds ISR par rapport à son indice de référence à l’aide d’une régression linéaire multiple. En se basant sur notre grille de lecture nous pensons avoir identifié deux ressources stratégiques à la disposition des fonds ISR, transformées en avantage compétitif par le biais de deux leviers stratégiques. Les deux ressources sont la compétence du gérant du fonds ISR et la subvention indirecte des frais du fonds ISR par leur Société de Gestion de Portefeuille (SGP). Les deux leviers sont la disposition de la SGP à la différentiation et l’apprentissage organisationnel à l’intérieur de la SGP.Notre recherche présente un triple apport : pour les universitaires, elle offre un cadre théorique alternatif au MEDAF qui expliquerait mieux la performance erratique des fonds ISR ; pour les praticiens, elle nous permet de faire des propositions aux fonds ISR concernant leur organisation ; pour les consommateurs, elle décortique les fonds ISR dans leurs composantes, leur proposant un aperçu non-conventionnel de leurs fonctionnements et leurs motivations
The focal interest of this doctoral thesis is French Socially Responsible Investment (SRI) funds. According to Modern Portfolio Theory (MPT) their performance should be inferior to “traditional” fund performance. The results from previous research however have been contradicting; we have thus chosen to make use of the Resource Based View (RBV) in order to interpret this incoherency between theory and practice and shed some light into the complex interactions that govern their behavior.We approach the field using an exploratory qualitative methodology, combining interviews with lexical analysis. We validate part of our qualitative results quantitatively through a multiple linear regression of SRI funds’ performance relative to their benchmark. Based on our framework, we believe we have identified two strategic resources available to SRI funds, leveraged into competitive advantage by two drivers. The two resources are the fund manager’s competency and the indirect subsidizing of the fund’s fees by its Asset Management (AM) company. The two drivers are the tendency of AM companies to diversify their services and organizational learning inside AM companies.Our research should appeal to three types of readers: researchers, since RBV offers a more compelling (as per Occam’s Razor) interpretation of SRI funds’ erratic performance than MPT; managers, since it enables us to formulate proposals for SRI funds’ organization; and laymen, since it breaks down SRI funds to their components, offering a rarely seen view of their inner workings and ulterior motivations

Using a comprehensive data set on (surviving and non-surviving) UK equity mutual funds (April 1975 - December 2002), this study uses a bootstrap methodology to distinguish between `skill' and `luck' in fund performance. This methodology allows for non-normality in the idiosyncratic risks of the funds -a major issue when considering the `best' and `worst' funds and these are the funds which investors are most interested in. The study points to the existence of genuine stock picking ability among a relatively small number of top performing UK equity mutual funds (i. e. performance which is not solely due to good luck). At the negative end of the performance scale, the analysis strongly rejects the hypothesis that most poor performing funds are merely unlucky. Most of these funds demonstrate `bad skill'. The study also examines the economic and statistical significance of persistence. Sorting funds into deciles based on past raw returns or on past 4-factor alphas, strong evidence is found that past loser funds continue to perform badly in terms of their future 4-factor alphas while little evidence is found that past winner funds provide future positive risk adjusted performance. However, on investigating relatively small `fund-of-fund' portfolios of past winners, evidence of positive persistence is found. Using a cross-section bootstrap approach the study derives the empirical distribution of final wealth at a 10 year horizon and finds that if transactions costs are above 2.5% per fund round trip, a passive strategy seems at least as good as the active strategies examined while with transactions costs of 5% the passive strategy is most probably superior. The study also examines the market timing performance of the funds. Using a nonparametric test procedure the study evaluates both unconditional market timing and timing conditional on publicly available information. A relatively small number of funds (around 1%) are found to successfully time the market while market mistiming is relatively prevalent.

This thesis comprises three essays on mutual fund performance which provide new insights into different aspects of the mutual fund industry. The first essay examines the relationship between the mutual fund manager’s past experience and mutual fund performance. The skills and knowledge acquired from the prior working experience may be transferred to the current working context, thereby influencing the current job performance (Schmidt et al., 1986). Using data on U.S. mutual fund managers’ work experience ranging from 1993 to 2012, we introduce a new method to evaluate mutual fund performance from the perspective of the manager’s lifetime working experience. Specifically, the method involves using the Principal Component Analysis to construct a Managerial Experience Index (MEI) based on 3 professional experience factors from the past career history of each manager: (i) investment objectives of the funds that s/he has managed (Zambrana and Zapatero, 2017), (ii) fund companies that s/he has worked for and (iii) industries of stocks in which s/he has invested (Kacperczyk et al., 2005). The MEI would increase along with the experience accumulation for each mutual fund manager. We group the sample based on the MEI into 5 quintiles from the lowest MEI score (most concentrated experience) to the highest MEI score (most diversified experience). The findings suggest that managers with more specialised experience outperform managers with more diversified experience. In addition, the “Specialist” managers tend to exhibit stock-picking ability while the “Generalist” managers tend to exhibit market-timing ability. The second essay analyzes the performance patterns of new funds during the early stage after their creation, and provides potential explanations for their short-lived outperformance. Using a sample of incubation-free mutual fund data from 1996 to 2015, we address the questions of (i) whether new mutual funds outperform the market and (ii) if they do what may explain their superior performance. We find evidence of out performance for the new funds during their emerging period defined here as the first 6 months of their existence, both before and after fund expenses are taken into account. This outperformance, however, only lasts for a short term and disappears soon after the emerging period. This short-lived outperformance can be explained by the small size effect and IPO stock allocation, but is only weakly associated with managerial characteristics such as team managers and prior experience in equity fund management. Our analysis also provides evidence on a flow-performance relationship. The results suggest that IPO allocation is an effective strategy that enhances investment flows during the emerging period of a new fund. In addition, we find that funds created by team managers attract more flows than funds created by individual managers. The third essay examines if fund managers would take into account turnover risk from a tournament when adjusting the risk of portfolios under their management, where the tournament is defined as the competition in a group with the purpose of being rewarded on their relative performance Conyon et al. (2001). In addition to exploring a statistical correlation between a manager’s discharge from a fund and the realized volatility of the fund that she had been managing, we use an instrumental variable (IV) approach to study whether one may infer causality from such a correlation. Using the instrumental variable (IV) measured as the peer flow pressure in the tournament following the “Rank-of-Ranks” approach in Kempf and Ruenzi (2008), we find that peer flow pressure is a highly statistically significant determinant of manager replacement. Further, the risk of replacement is significantly linked to the fund’s realized idiosyncratic volatility. The finding is robust to the use of an alternative instrumental variable (Segment Flow Rank), an alternative measure of realized risk (Carhart-adjusted Idiosyncratic Risk), and finite distributed lag specifications that incorporate one-period lags of explanatory factors.

Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Architecture, 2003.
Includes bibliographical references (leaves 64-66).
The returns of opportunistic real estate private equity investment funds were tested for evidence of performance persistence between subsequent funds by the same manager. Tests include regression analysis, construction of contingency tables, and calculation of rank correlation coefficients. Tests were based on return data from the period 1991 to 2001 and were similar to those used to analyze performance persistence in other investment vehicles such as mutual funds and hedge funds. Results indicate that manager performance in a given fund is a significant indicator of performance in subsequent funds, but that this persistence accounts for only a limited portion of fund return Gross fund returns exhibit a higher degree of serial correlation than net returns. Other fund characteristics, analyzed in conjunction with previous fund performance, are not shown to be significant indicators of performance.
by Cathy C. Hahn.
S.M.

Our study aims at analyzing the performance of 1455 live hedge funds in the chosen timeframe from 2004 and 2010. Our work is of great importance both forindividual and institutional investor which finds alternative investments as aninvestment choice. By decomposing hedge funds into different strategies we implementour analysis. To answer to our research question “Do hedge fund investing strategiesmatter in hedge fund performance?” our findings based on single and multipleregression models on risk-adjusted basis, show that different hedge investmentstrategies have different risk and return characteristics.Our multiple regression analysis in which we have included sub-category indices asfactor has provided the high R squared (99%). Managerial skill (alpha) is lower in caseof single regression using benchmarks compared to market (S&P 500), which isreasonable since our benchmark is homogenous funds included and measures theaverage performance of specific hedge fund sub category. The beta values in case ofbenchmark used is higher compared to market due to the same reason. The difference inR squared values is quite fluctuating. For some hedge funds, the explanatory power ofbenchmark is higher while for others is lower. We would like to emphasize that Rsquared values in case of market (S&P 500) are more stable compared to benchmark.H test showed that the differences existed among the performance of hedge fundinvestment strategies. LSD test showed that there are some strategies having significantdifferences on performance among different investment strategies. The multipleregression analysis using dummy variables showed that to some extent hedge fundstrategies matter on hedge fund performance. Risk-adjusted performance measuresshow the highest sharp ratio to PIPES (2,88) and Statistical Arbitrage (1,55).

In questa tesi, l’analisi verte su risk-adjusted performance, proprietà statistiche e caratteristiche dei fondi hedge (FH). Nel primo articolo, i risultati relativi al survivorship bias e backfill bias indicano che l’impatto delle distorsioni è diverso a seconda delle strategie. Utilizzando il modello multifattoriale di Fung and Hsieh (2004), l’analisi della performance indica che il 42% dei FH ha ottenuto un rendimento superiore al mercato. Infine, utilizzando dei metodi parametrici e non parametrici, l’analisi della persistenza indica differenti livelli di persistenza a seconda della strategia. Nel secondo articolo, vengono analizzati i fondi di fondi hedge (FOHFs). I risultati sono particolarmente interessanti. In primo luogo, i FOHFs e le sotto strategie hanno generato un excess return positivo; inoltre l’alfa ottenuto attraverso il modello a 7 fattori di Fung and Hsieh (2004) risulta elevato. In secondo luogo, i FOHFs e le sotto strategie hanno un rendimento inferiore a quello dell’indice dei FH. In terzo luogo, le correlazioni tra gli indici dei FOHFs e l’indice azionario sono inferiori rispetto alle correlazioni tra l’indice dei FH e gli indici azionari. Infine, l’indice dei FH e quelli dei FOHFs sono positivamente correlati con l’indice azionario quando il mercato tende al ribasso, ma risultano non correlati con l’indice azionario quando il mercato tende al rialzo. Rispetto all’indice dei FH, gli indici dei FOHFs hanno una correlazione minore con gli indici azionari in entrambe le fasi del mercato, suggerendo che i FOHFs forniscono benefici maggiori in termini di diversificazione rispetto ai fondi hedge puri.
In this thesis, I examine the risk-adjusted performance, statistical properties and fund characteristics of hedge fund investments. In Essay One, results of survivorship bias and backfill bias by investment styles indicate that biases are different across styles. Using a multi-factor model of Fung and Hsieh (2004), the analysis of performance indicates that 42% of the hedge funds significantly outperformed the market. Finally, using parametric and non-parametric methods, the analysis of persistence indicates different degree of persistence depending on the hedge fund strategy. In Essay Two, I analyse fund of hedge funds (FOHFs). I find several interesting results. First, FOHFs and the sub-strategies earn positive excess returns and a high Fung and Hsieh 7-factor alpha. Second, FOHFs and the sub-strategies underperform the hedge fund index (HFI). Third, the correlations between FOHF indices and equity index are lower than correlations between HFI and equity indices. Finally, hedge funds and FOHFs are positively correlated with the equity index in the bear markets but uncorrelated with the equity index in the bull markets. Compared to HFI, FOHF indices have lower correlation with equity index in both bull and bear markets, indicating that FOHFs provide better diversification benefits than individual hedge funds.

Abstract This doctoral thesis aims to contribute to the literature on hedge fund performance in three interrelated essays. The first essay uses a novel database aggregation and a comprehensive analysis of differences between the main commercial databases exploring the effects of different databases on previously documented stylized facts, including the (1) average risk-adjusted performance; (2) the persistence of that performance; (3) and the cross-sectional relation between fund-characteristics and risk-adjusted returns. The main finding is that several previously documented stylized facts about hedge fund performance are sensitive to database selection and associated biases. Differences in conclusions stem from database differences in defunct coverage, survivorship and backfill biases, and the completeness of assets under management information. The second essay examines the effect of frictions on the returns that investors can earn from investing in hedge funds. The study focuses on size and redemption restrictions that are key investment constraints in practice. The size–performance relationship is positive (negative) when past (future) performance is used. The negative size–performance relationship is consistent with theories suggesting a decreasing returns-to-scale in the active management industry. Differences in attrition rates and risk taking as well as the relative importance of management fees and capacity constraints between small and large funds are consistent with an equilibrium in which investors and hedge funds optimally respond to incentives subject to constraints. Performance persistence decreases along with the fund size but concentrated hypothetical Fund-of-Fund portfolios outperform. The third essay examines hedge funds' ability to enhance their performance through leverage. The essay explicitly shows that leverage enhances risk-adjusted performance and risk of investment programs. The main finding is that the average high-leverage fund class underperforms its low-leverage counterpart of the same investment program after their returns are appropriately adjusted to the same level. The finding is consistent with the predictions of leverage aversion theories suggesting that leverage constraints and costs of leverage have a negative impact on risk-adjusted returns
Tiivistelmä Tämä väitöskirja sisältää kolme artikkelia, joissa tutkitaan hedge-rahastojen menestystä. Ensimmäisessä artikkelissa rakennetaan yhdistelmäaineisto päätietokannoista ja tutkitaan tietokantojen eroavaisuuksien vaikutuksia keskeisiin kirjallisuudessa esitettyihin tutkimustuloksiin hedge-rahastojen riskikorjatun tuoton tasosta ja tuoton pysyvyydestä sekä rahastokohtaisten ominaispiirteiden ja riskikorjatun tuoton välisestä relaatiosta. Tutkimuksessa havaitaan että tutkimusaineiston valinta vaikuttaa merkittävästi aikaisemmassa kirjallisuudessa esitettyihin tutkimustuloksiin. Merkittävimmät erot tutkimustuloksissa eri tietokantojen välillä selittyvät tietokantojen eroavaisuuksissa toimintansa lopettaneiden rahastojen kattavuudessa ja näin ollen eloonjäämis- ja backfilling-harhan tasossa sekä rahastojen markkina-arvoa kuvaavan aineiston määrässä ja laadussa. Toinen artikkeli tarkastelee rajoitteita, joita sijoittajat kohtaavat sijoittaessaan hedge-rahastoihin. Päähuomio on koko- ja lunastusrajoitteissa, jotka ovat käytännössä merkittävimmät rajoitteet hedge-rahastosijoittajalle. Rahastojen markkina-arvon ja riskikorjatun tuoton välillä on negatiivinen (positiivinen) relaatio kun tarkastellaan rahastojen tulevaa (historiallista) menestystä. Tulokset tukevat teoreettisia esityksiä, joiden mukaan rahastojen kasvu heijastuu menestykseen negatiivisesti. Markkina-arvoltaan pienissä rahastoissa on huomattavasti enemmän riskiä kuin markkina-arvoltaan suurissa rahastoissa. Korkeampi riski pienissä rahastoissa lisää tuotto-perusteisten palkkioiden merkitystä palkkiorakenteissa kun taas suurilla rahastoilla on kannustimet maksimoida markkina-arvon mukaan määriteltyjä hallinnointipalkkioita. Tulokset tukevat talousteoriaa, jonka mukaan riski ja tuoton taso pienevät rahastojen markkina-arvojen kasvaessa. Tuoton pysyvyys pienenee rahaston markkina-arvon kasvaessa. Kuitenkin hypoteettiset rahastot, jotka on hajautettu aikaisempiin menestyjiin keskeiset sijoittajien rajoitteet huomioiden, menestyvät riskikorjatusti. Kolmannessa artikkelissa tutkitaan hedge-rahastojen kykyä lisätä riskikorjatun tuoton tasoa velkavivun avulla. Velkavivun käyttö kasvattaa sijoitusstrategian tuoton ja riskin tasoa alhaisemman velkatason osuuslajeihin verrattuna. Päätuloksena havaitaan, että tyypillinen sijoitusstrategian korkean velkatason osuuslajin tuoton taso on merkittävästi alhaisempi matalan velkatason osuuslajiin nähden kun molempien osuuslajien tuottoaikasarjat ovat asetettu samalle tasolle. Talousteoriaa ennustaa, että sijoittajien rajoitteet käyttää velkavipua ja velkavivun käyttöön liittyvät kustannukset heijastuvat salkun tuoton tasoon negatiivisesti

碩士
國立臺灣大學
國際企業學系
85
During the process of economic development in Taiwan, family businesses have play an important role. Several large family businesses have already succeeded by the second generation or even the third. Under the leadership of new CEOs , do they successfully succeeded the mission of their businesses? And did they trigger dramatic organizational or strategic changes after succession? This study is to discuss the consequences of CEO succession in Taiwan family businesses, examine the correlation between organiza The conclusion of this study are presented as followings:1. Average sale volume was increasing after succession ; however , average profitability declined.2. Average capital increased after succession ,and the increasing rate of capital has significant positive correlation with that of diversity .3. There is no negative correlation between prior performance and organizational change.4. The number of unrelated diversified companies became larger after succession. Since the percent of its sales was low , the change of degree of diversification was not significant.5. Except return of stock, which is positively correlated with organizational change, other performance variables : sales growth rate , stock price, ROA, and ROE were negatively correlated with the turnover of top managers.

博士
國立臺北大學
企業管理學系
99
Mutual funds have become an indispensable financial instrument for Taiwanese investors in asset allocation. Previous studies have been focused on the behavior of fund managers, such as herding behavior and window dressing of the fund holdings. Despite that the American mutual fund scandals happening in September 2003 have drawn our attentions on fund governance, there are few literature studies on fund company-level strategies. Therefore, this study intends to investigate whether fund companies in Taiwan actively pursue company-level strategies to maximize their overall profits at the expense of fund investors under the conflict of interest between fund companies and fund investors. The motivation for these company-level strategies is also examined in this research. The purposes of this research are: (1) to examine the fund performance—flow relationship in the Taiwan fund market. (2) to investigate whether fund companies pursue a risk-sharing strategy to support the fund whose performance is lagging behind. (3) to examine whether there exist favoritism strategies in fund companies—that is, fund companies give favoritism to high-contribution-value funds at the expense of the low-contribution-value funds for their companies. (4) to find whether a fund company’s risk-sharing strategy depends on the performances of the investment category for high-value funds or low-value funds. (5) to find whether a fund company’s favoritism strategy depends on the performances of the investment category for high-value funds or low-value funds. This study uses the Taiwan open-end domestic equity funds from Jan. 2001 to June 2010 as the research sample. The whole sample data can be divided into 7 categories: Common Equity Fund, Medium-Small Capital Equity Fund, High-Tech Fund, Value-Stock Fund, Theme Fund, Taiwan Enterprise Fund and OTC Equity Fund. The resulting base sample consists of 172 funds and 38 fund companies, including fund monthly return, monthly fund fee ratios, fund monthly total net assets, fund age, and company age, and the monthly rate of return of TAIEX. The cross-sectional regression and panel regression model are employed to examine the relationship between fund flows and fund performances. And the multivariate regression model is used to examine the fund company-level strategies. The results of this research are summarized as follows: (1) For the empirical results on fund performance—flow relationship, we find (a) the previous fund monthly ranking, no matter compared with the peer funds or the funds with the same company, is positively related to the growth rate of fund flows. There exists a similar U-shaped fund performance—flow relationship. In other words, fund investors chase past winners but also flee from past losers at nearly the same rate, which is a little different from the asymmetric fund performance—flow relationship of the U.S. fund data. (b) The top performers in the previous month have significantly positive effect on the growth rate of fund flows. (c) A crowding out effect is found when there exists at least one top performer within the same fund company. (d) The concurrent market rate of return is negatively related to the fund flows. (2) For the empirical results on fund company-level strategies, we find (a) there exist favoritism strategies in the fund companies—that is, the fund companies give favoritism to high-value funds at the expense of low-value funds. Besides, the favoritism strategies are more prevalent in the High-Tech Funds. (b) After considering the characteristics of fund companies, we find that favoritism strategies are more prevalent in the fund companies that have medium-sized management assets, set up earlier or belong to medium-sized and old companies. (c) The results also show fund companies give favoritism to high-fee funds.

碩士
國立高雄應用科技大學
資訊管理系碩士在職專班
105
Smart beta is widely used in the global investment market, this trend also spreads into the national fund market recent years.2017 ETF leading company YUANDA named Smart Beta as “Smart" to provide investors strategy for the national investors risk assessment. This study explores the benefits of the three capital strategies such as Equal-Weighted (EW), Global Minimum Variance (GMV), Equal Risk Contribution (ERC), etc., The study is based on an analysis of domestic funds from 2006 to 2016. The empirical results show. We measured the investment performance of the three smart beta strategies for three indicators such as Sharpe Ratio, Treynor Ratio and Jensen Ratio. That although the average annual remuneration of these three strategies is lower than the weighted average of the compensation in the study period, the risk and in the case of remuneration, the minimum variance strategy is best evaluated in these three strategies. Except that it has a higher rate than the market, and it also has a better market performance than the broader market.

碩士
國立彰化師範大學
會計學系企業高階管理
98
As for hedge funds, the market in Taiwan is little experience if comparing to the overseas market with much more matured. This study is aimed at exploring the sequence of ideas and the developing directions as well as analyzing the advantages and the disadvantages in the domestic and overseas markets recently. Through interviewing senior professional managers who have had many years’ investment experiences, we have assessed and sorted it out from the practical experiences and results in accordance with the strategy, risk and performance. The purpose is to figure out if the method of the manipulation and the conclusion are consistent with the hedge funds. We can offer the investors in Taiwan for assessment when opening the market for hedge funds one day. This study uses in-depth interview to effectively research the strategy, risk and performance, and adopts the blocked questions to let each interviewee answer the same question, and get the conclusion by means of cross-analysis and induction. As a result, the greatest feature is the utilization of shorting strategy, and the investment performance completely depends on the transaction strategy from managers. The core strategy for each manager is to control the marketing factors and then, the performance; this will make the people have much more understanding and options toward the investment market. Eventually, this study also focuses on the possible effects that maybe produced from the Taiwan market, which can further be discussed. Moreover, the analysis on the strategy, risk and performance may prove the contribution on the market, and then, offering the specific suggestions according to the research findings.

碩士
東海大學
企業管理學系碩士班
97
In semi-strong-form efficient market, when the portfolio strategy based on public information to be copied, it could not get excess return. However, some scholars had pointed out that fund managers will hold low-accruals stocks as fund’s trading strategy, and can get excess return from the market. Therefore, First of all, we observed the domestic stock funds whether had negative relationship between differeent level of accruals and fund’s performance. Second, fund managers held low-accruals stocks that were based on public information to get excess return, whether they had better characteristic selectivity and characteristic timing ability. Third, we observed the accruals trading strategy whether be affected and reduced its performance by fund characteristics. The empirical results show, first of all, the domestic stock funds had negative relationship between accruals and fund’s performance. Second, fund managers held low-accruals stocks that were based on public information to get excess return had better characteristic selectivity and characteristic timing ability.Third, in the characteristics's study, found that higher fund’s expense rate and industrial concentration index will decrease the performance of accruals trading strategy; higher fund’s size and turnover rate will increase the performance of accruals trading strategy; fund’s age will not affect the performance of accruals trading strategy.

碩士
國立臺灣大學
農業經濟學研究所
104
This paper examines the relationship between active management strategy and fund performance by studying 814 foreign and domestic equity funds available for sale in Taiwan from 2006Q4 to 2015Q3. This paper uses Active Share and Tracking Error as measures of active management strategy introduced by Cremers and Petajisto (2009), while controlling for other fund characteristics such as expenses, size and holdings in the panel regression, we examine using funds’ alpha. Empirical results indicate a significant relationship between active management strategy and fund performance, where Active Share has positive effect and Tracking Error has negative effect on future performance. This paper also separate funds into five types according to levels of active management strategy, results show difference in fund performances between strategy types, which further imply that Active Share must be combined with other measures of active management.

碩士
國立臺灣大學
財務金融學研究所
100
This paper examines relationship between mutual fund management strategy and its performance by using Taiwan domestic equity mutual fund data from 2004 third quarter to 2011. We introduce Active Share and Tracking Error as measures for fund active management. Active Share is to compare the holdings of one mutual fund with the holdings of its benchmark. Combining Active Share with traditional active management measure, Tracking Error, would give two-dimensional explanation to fund performance. Under controlling other fund characteristics such as expense, size and turnover, we use panel regression to examine the relationship between mutual fund management strategy and its performance. Empirical result indicates a significantly positive relationship between Tracking Error and fund performance in the corresponding period of time. However, Active Share could not attribute better fund performance. In addition, this paper also divide time span into three parts: Range bound, Bull market and Bear Market to investigate relationship of active management strategy and fund performance in different market conditions. It shows that when market is in range bound, active management strategy could not lead to better fund performance. Finally, empirical result also indicates that Tracking Error does not show performance predictability due to its poor persistence.

碩士
國立高雄第一科技大學
財務管理所
97
ABSTRACT Financial tsunami sweeps across the whole world, the depreciation tendency of the stock market of Taiwan plummeted all the way down from 9000 points on May 20. Sometime later, even the stock index fell under 4000 points for a time. The investors become very conservative. The decline range of the domestic stock type fund is up to 60% in average. The investors preferred to choose Dollar-cost Averaging instead of lump sum in order to reduce investment risk. In this study, we observe recently many financial management banks provide periodic with nonfixed-amount as a tactics to add or reduce investment strategy amount by investors themselves. By comparing this new tactics made by banks plus lump sum investment with the tactics of Dollar-cost Averaging, this study tries to see if the tactics of periodic with nonfixed-amount reduce the investment risk of lump sum and gain were profits from Dollar-cost Averaging. The purpose of this research is first to focus on comparing the performance and risk (mean square) of mutual funds’investment approaches, i.e., the lump-sum, dollar-cost averaging, and periodic investment with nonfixed-amount approaches. With the different tactics, the study tries to find out a way of investment to reduce risk value and obtain higher return rate. The samples of study were collected from the net values of daily transaction of from 50 domestic stock mutual funds from January of 1997 to November of 2008. The data is acquired from the mutual fund models in the Taiwan Economic Journal Data Bank, TEJ. By setting up different investment horizons, which included 1 year, 3 years, and 5 years. This study extrapdate the net values of these months to get the whole number of one year, 3 years, 5 years, respectively. This study then compared the performance of three investment strategy by using one-way ANOVA. The result shows that is there is no obviously difference between the tactics of periodic with nonfixed-amount and lump-sum, but average investment performance is still higher than lump-sum. This way of investment can avoid the risk of lump-sum and will earm extra profits from deposit in bank saving. Moreover the risk (mean square ) of periodic with nonfixed-amount is smaller than lump-sum. Therefore, it is recommended investors should use periodic investment with nonfixed-amount to lower the investment risk. Meanwhile, the result indicates that the performace of 3 years investment horizons has the highest return.

碩士
國立臺灣大學
財務金融學系
86
The purpose of this thesis is to search for a mutual fund classification method which could produce more persistent fund performance. We use "3-year standard deviation", "P/B ratio", "ROA", "percentage invested in financial stocks", "percentage invested in health stocks", and "percentage invested in technology stocks" to catch the characteristics of mutual funds. To catch the fund managers'' behaviors, we add a variable "momentum strategy" to distinguish the different managing strategies of mutual funds. The sample consists of 3,981 funds from 1992 to 1997. We use the factor analysis method to divide our sample funds into four styles. The main empirical results are as follows: 1. Funds'' relative degree of "momentum strategy" remains consistent. It indicates that a mutual fund manager seldom changes his investing strategy. 2. Example to prior research, adding "momentum measure", "beta risk" and "P/E ratio" to the factor analysis improves the performance persistence of funds in the same style. 3. The funds with high beta are most likely to have negative correlation between prior and future performance when market condition changes. 4. As a whole, the performance of mutual funds is persistent. The reversal of performance seems to be correlated with the change of markets, but not related to the ability of managers.

碩士
中原大學
國際貿易研究所
90
In recent years, SRI (socially responsible investing) and eco-fund have gradually become the trend of global investment. This research aims at establishing a screening system and the accompanying computer interfaces for Taiwan eco-fund based on both environmental and financial criteria, which could be used by fund managers in screening investment targets and evaluating the performance of their portfolios. This system and related interfaces can also be used to evaluate the risk of the portfolios (in terms of value at risk, VaR), which can provide fund managers and general investors with additional information for making investment decisions. The theoretical derivation of this research is based on the model of Heinkel et al. (2001). We modified the hypothesis of equivalent risk tolerance parameter for both green investors and neutral investors and found that if the risk tolerance of investors were reduced, the production process of manufactures will likely to be affected. In addition, when the percentage of green investment increases, more firms with polluting technology will reform their technology to be clean, resulting in an overall reduction of the level of pollution. The empirical results reveal that the eco-fund portfolios established based on our screening system perform less well than most of the funds in the market in short holding periods. However, with longer holding periods, the performance of eco-funds is better than the funds in the market, and with smaller risk values. This result suggests that eco-fund might find a position in Taiwan, and could be very attractive to the more risk-averse investors.

碩士
國立高雄第一科技大學
財務管理所
96
My research has two targets: (1) are dollar-cost averaging and lump-sum better strategies than single alone？(2) what strategy is the better under different holding period？I use TSE weight stock index for rolling test. The periods are from 1997/1/1 to 2007/12/31. Holding periods are 1, 3, 5 and 10 years, respectively and there are 140 outcomes. I hope to find what is the best strategy and provide investors some advises. Empirical results are as followings: (1) when sample periods are 1 and 3 years, respectively, mix strategy (DCA mixed LS) is the best; when sample periods are 5 and 10 years, respectively, dollar-cost averaging strategy is the best. (2) when sample period is 1 year, 15 percent of DCA mixed 25 percent of LS is the best in terms of return; when sample period is 3 years, 30 percent of DCA mixed 30 percent of LS is the best in terms of return; when sample period is 5 years, 25 percent of DCA is the best in terms of return; when sample period is 10 years, 25 percent of DCA is the best in terms of return. (3) when sample period is one year, 10 percent of DCA mixed 25 percent of LS is the best in terms of C.V ratio; when sample period is 3 years, 25 percent of DCA mixed 30 percent of LS is the best in terms of C.V ratio; when sample period is 5 years, 25 percent of DCA is the best in terms of C.V ratio; when sample period is 10 years, 10 percent of DCA is the best in terms of C.V ratio.

碩士
國立高雄應用科技大學
金融系金融資訊碩士班
102
With the rapid growth of investment markets, financial products continue to push out the old and bring in the new. The existing market already has mutual funds, stocks, futures and asset securitization products and other popular financial instruments. But how do investors to choose or compare their performances on these abounding types and a vast array of commodities? In this paper, mutual funds are selected as the subject matter of this study, Fund investment as“a regular variable”to explore the spindle. This study will focus on the strategies of investment of variable regularly to analyze and discuss. The data of this research are selected fifteen mutual funds (including three different types of stocks, balanced and fixed income) from local market and foreign market respectively and the different investment strategies of ten domestic banks. This research is trying to construct investment trading strategies by using three technical indicators of MA, BIAS and MTM. The strategies will select the optimum parameter with the best score of the rate of return. This parameter will be tested in back-testing during the half of a year and to compare with the strategies of the banks. Base on the exceptional of the evaluation between the investment trading strategies and the strategies of the banks to help investors to proceed their financial investments. Furthermore, the study selects the optimum parameter with the best score of the Sharpe Ratio to the back-testing additionally, and induces the results into technical indicators of different types of funds. The ultimate goal is to use the optimization techniques indicators to defeat the trading strategies of banks. The contribution of this study can help investors to proceed the convenient and effective investment

碩士
國立高雄應用科技大學
金融資訊研究所
97
The research about investment strategies and their differences of long-term yields between lump sum and dollar-cost averaging have been under serious attention. This research samples overseas mutual funds approved by the government in Taiwan yet smaller funds and funds that are under the duration of ten years are excluded. The result of T-test analysis showed that advantages for dollar-cost averaging includes: first, lessen the irrational behaviors caused by investors facing high volatile situations. Second, investors are able to acquire more shares and units to average the cost of the funds while the market price is low. The third reasons is that dollar-cost averaging shares the risks while lump sum investment is high. This research analyzed ten mutual funds and found that the return of investment yields higher in lump sum investment strategy then in dollar-cost averaging. The results of T- test and　analysis of literatures support this finding. It is also suggested that investment should not take short-term yields and return of　investment as the major consideration. More factors, such as the　characteristic and special traits of certain funds, risk and economical trends of the funds durations are also issues needed to　be scrutinized. This research traced and calculated the moving average of the fund yield. Collected from the years of 1998 to 2008, samples that computed various investment periods from 12, 24, 36, 48, 60 months are computed. The finding of this research indicates that lump sum　investment strategy is generally better than dollar-cost averaging. On the analysis of the most feasible investing portfolio and weight allocation, this study also confirmed that the yield of lump sum investment is superior to dollar-cost averaging.

碩士
國立高雄第一科技大學
財務管理研究所
100
Abstract This study explores investing style in the frame of momentum strategy proposed by Fama and French(1992) and Jegadeesh and Tittman(1993). The relations between portfolio performance and five indexes including market-book ratio, momentum strategy, cash dividend yield, price/earning ratio, The sample comprises firms listed on the TSEC from May,2003 to April,2011, Month data including stock return, market-book ratio, and marker value are derived from TEJ database. The empirical results show market-to-book ratio and high cash dividend yield had better portfolio performance. The portfolio of the high cash dividend gains the best performance. According to results of that Cross-sectional regression analysis, we find a positive correlation between cash dividend yield and return on investment. That means that the cash dividend yield can be a reference index when investors need to choose stocks more easily and efficiently in short-term and long-term.

碩士
中原大學
企業管理研究所
97
The objective of this study is to investigate the performance of momentum strategies, contrarian investment strategies and momentum life cycle hypothesis and examine whether there is the smart money effect under different kinds of mutual funds in Taiwan. We explore the performance of price momentum strategies based on the return of formation period and examine the performance of size momentum strategies based on the size of formation period under different kinds of mutual funds. According to the momentum life cycle hypothesis of Lee and Swaminathan (2000), we use fund size instead of turnover ratio to investigate the performance of early-stage and late-stage momentum life cycle. Finally, we examine whether the higher return of holding period are associated with the higher net flow of formation period to test the smart money effect under different kinds of mutual funds. The main findings are summarized as follow: 1. There are price momentum effect on the open-ended mutual funds, international mutual funds and currency funds over intermediate and long period. The balance mutual funds don’t get profit by using momentum strategy. Moreover, there is inconsistent performance of price momentum strategies under different holding periods in ETF. 2. Except balance funds, other kinds of funds could use the strategy of buying small size funds’ portfolio and selling large one to get significant profit. 3. The performance of early-stage price momentum strategy is better than that of the late-stage price momentum strategy on all kinds of mutual funds. 4. Generally, in the open-ended and international mutual funds, there doesn’t exist the smart money effect. Nevertheless, in the balance mutual funds and ETF, there exists smart money effect over long period.

碩士
國立高雄應用科技大學
財富與稅務管理系
101
Prior studies usually focus on Selectivity and Market Timing to investigate the association between mutual fund strategies and performance, after that, a series of measure to examine the level of active at mutual fund have developed. This research refer to Petajisto (2013) active share to determine domestic open-end equity fund from 2006 to 2012. Meanwhile, the moderating variable is as Volatility Index as domestic market volatility. Hence, this dissertation demonstrates whether the performance with active management is influence by market volatility. Further, we solve the multicollinearity problems in model by using the cross-product residual-centering approach (Lance, 1988). The empirical result examine that fund manager use active management have outperformance when market volatility increase. In practice, Fund managers take active strategies for positive performance that have to consider market volatility. In other words, active investor should choose mutual fund with active management when high volatility market.

碩士
國立臺灣大學
財務金融學系研究所
86
This study examines whether mutual funds in Taiwan use momentum strategy. Our example contains thirty-eight mutual funds from January 1995 to December 1997 . Funds portfolio holdings were used to analyze the extent to which mutua l funds purchase stocks based on their past returns, and whether the momentu m strategy has positive contribution to fund performance. By using the marke t return to divide stocks into past winners and past losers, We find that most mutual fund managers persistently buy stocks that were winners in the past. O n the other hand, it is not obvious that fund managers sell past losers. We al so find that funds buying winners in previous month have better returns and J ensen''s alphas than other funds.

In this study, the performance of the Rennies Provident Fund's management strategy is reviewed. The study aims to determine whether the Fund's management strategy created or destroyed shareholder value over the past 17- year period of its existence up to and including the 2004 financial year. First, the Rennies Provident Fund's performance is reviewed against its internally set performance objective of returning CPI (consumer price index) + 3% to its members. Secondly, the Fund's performance is compared to that of similar pension funds. Thirdly, the performance objective that the Fund has set itself is critiqued against the performance objectives of other pension funds. Finally, the value-based performance measurement approach is applied to the fund to determine whether shareholder value has been created or destroyed in absolute money terms during the 2003 financial year. This study finds that the Rennies Provident Fund has on average achieved the required internally set benchmark of returning CPI + 3% over the 17-year period of its existence. However, when the performance of the Fund is compared to available data for similar funds over a 12-year period, this study finds that the Rennies Provident Fund performed poorly. Further, this study also finds that in absolute monetary terms, the Rennies Provident Fund destroyed shareholder value over the 17-year review period.
Thesis (MBA)-University of KwaZulu-Natal, 2007.

碩士
元智大學
會計學系
93
The goal of regional military commissary is to provide an idea-shopping environment with fair price for military employees, veterans, and their dependents to satisfy their daily need. However, in recent years, big commercial shopping mall and local petty stores has developed with an astounding speed in local areas, which generates a harsh challenge to the operation of military commissary. The purpose of this research is to explore the strategies and ways to evaluate its performance that the military commissary should adopt in order to achieve its self-sufficient ability, the nature as a non-revolving fund, and the goal of satisfying its employees. Because Balanced Scorecard (BSC) not only focuses on organization’s financial aspects but also on organization’s no-financial aspects, it has been widely adopted by business or non-business sectors such as government and non-profit organizations. In this sense, using BSC on evaluating business strategy and performance of regional military commissary is the main purpose of this research. Currently, since each regional military commissary is under the command of Total of Welfare (TOW) of Ministry of National Defense, the data is collected from members of TOW and its customers. Through the questionnaire, the results show that several findings cannot be neglected. First of all, in the importance of business strategy items, the acknowledgement between TOW members and its customers exists obvious difference. The former focuses on providing a comfortable and convenient shopping environment; the other on cheaper price. Hence, TOW should, when making its business strategy, consider customers’ expectation and lower its price on merchandises in order to satisfy customers’ need and, moreover, to increase its profits. Second, in the performance evaluation items, the study shows both TOW members and its customers have believe that customer satisfaction is an eternal goal for a business. In addition, the interviewees fully understand the choices among those performance evaluation items should be multiple, which fits the nature of BSC. Third, in extracting the construct elements of performance evaluation, according to the indicators, it shows that customer element is the key to the business performance, and TOW members’ ability falls to the least important element. This situation should be taken care of, because the qualification and knowledge of employees is one of the important intangible assets to a business. Therefore, increasing education level and enhancing employees’ capability is an inevitable task to managerial level.

碩士
淡江大學
財務金融學系碩士在職專班
102
The thesis aims to investigate the Markowitz portfolio theory associate with the VIX fear index and apply to mutual fund portfolios, hoping to provide investors when investing in mutual funds as to when the VIX index and sharply pulled low reference standards. It also allows ordinary investors to avoid chasing the high and kill low investment strategy, and long-term vision to look at investing in mutual funds. This data contain year 2012 to 2014 which obtained from Morningstar Fund Awards Fund and be established more than ten years. According to the mean-variance model of Markowitz (1952), we can seek the optimal efficiency of the leading edge of efficient portfolio model for the study, divided into six months trading period, quarter,month, and based on the VIX trading at 20% of ups and downs to make decisions and Change 10% of investment, respectively. Empirical results show that the average rate of return of VIX-20% is greater than the VIX-10%, a longer period of return on investment is better than trading during trading knowledge. Based on MV portfolio theory and every six months performance,the VIX-20% is the best trade rule. In summary, the empirical results prove that Markowitz portfolio theory and the VIX volatility strategies provide investors as a reference portfolio.