The performance of mutual funds in Hong Kong.

Fan Chun-kong.Thesis (M.Phil.)--Chinese University of Hong Kong, 2001.Includes bibliographical references (leaves 69-70).Abstracts in English and Chinese.Abstract --- p.ii摘要 --- p.iiiAcknowledgment --- p.ivTable of Contents --- p.vChapter Chapter 1 --- IntroductionChapter 1.1 --- Introduction to Mutual Funds --- p.1Chapter 1.2 --- Thesis Organization --- p.4Chapter Chapter 2 --- Literature ReviewChapter 2.1 --- Measurement of Performance --- p.6Chapter 2.2 --- Persistence of Performance --- p.10Chapter Chapter 3 --- Data Description and MethodologyChapter 3.1 --- Data DescriptionChapter 3.1.1 --- Mutual Fund Database --- p.26Chapter 3.1.2 --- Survivorship Bias Problem --- p.31Chapter 3.1.3 --- Other Data Source --- p.32Chapter 3.2 --- Methodology --- p.33Chapter Chapter 4 --- Empirical FindingsChapter 4.1 --- The Performance of Mutual Funds --- p.35Chapter 4.2 --- The Performance Persistency --- p.37Chapter 4.3 --- Simulated Investment Strategies --- p.40Chapter Chapter 5 --- Conclusion --- p.43AppendicesAppendix A Comparison on the Performance Results --- p.45Appendix B Spearman's Coefficient of Rank Correlation --- p.46Appendix C Detail Information of Mutual Funds --- p.49TablesTable 1 Listing of 46 Mutual Funds --- p.52Table 2 Mutual Fund Database Summary Statistics --- p.53Table 3 Some Estimates of Survivorship Bias --- p.54Table 4 Comparison Between Surviving and Non-surviving Funds --- p.55Table 5 Regression Result: Performance of Mutual FundsPanel A --- p.56Panel B --- p.57Table 6 The Annual Returns of Funds in Group B --- p.58Table 7 Ranking and Spearman Coefficient of Funds In Group B --- p.59Table 8 Spearman Coefficient for All Funds --- p.60Table 9 Comparison Between Different Simulated Investment Strategies --- p.61Table 10 Regression Result: Simulated Investment Strategies --- p.62Table A Comparison of Performance Results Between Different Studies --- p.63Table C1 Detail Information of the Funds --- p.64Table C2 Major Stocks Holding by Fund Managers --- p.65FiguresFigure 1 Distribution of Alphas --- p.66Figure 2 Distribution of Betas --- p.67Figure 3 Comparison Between the Annual Return of Funds' average and Hang Seng Index --- p.68Bibliography --- p.6