Performance and Persistence of Mutual Funds and Trading Strategy Implications

Abstract

This paper evaluates the fund performance employing the Treynor, the modified Sharpe, and the Jensen measures and performance persistence in Taiwan. The empirical results show that mutual fund performances are significantly consistent under these three measures. While considering the performance persistence, in the crisis period the best performing ones may be later on become the worst performing ones and vice versa. The relationships of the mutual fund performances between in the financial crisis period and in the post-crisis period under different measurements all show negatively correlated. Overall, investors should be very cautious during a financial crisis period since winners now may become losers in the future.