Computer Science and Information Engineering, World Congress on (2009)
Los Angeles, California USA
Mar. 31, 2009 to Apr. 2, 2009
DOI Bookmark: http://doi.ieeecomputersociety.org/10.1109/CSIE.2009.500
The purpose of this note is to examine the performance of equity index funds in Taiwan using time-varying Jensen's and risk, which is generated by both the rolling and recursive regression approach. The empirical evidence indicates that the Taiwan Top50 Tracker Fund (TTT) is indeed characterized by relatively lower risk and better performance than the Taiwan Tracker Fund (TTF). The TTT serves as a worthwhile investment target for most investors. The findings also indicate that it is comparatively easier for fund managers to replicate the small index portfolios than those larger ones.
Index fund performance, rolling regression
T. Hwang, S. Chen, M. Chen, H. Wang and C. Huang, "Do Index Funds Perform Acceptably? Evidence of Time Varying Risk Analysis," 2009 WRI World Congress on Computer Science and Information Engineering, CSIE(CSIE), Los Angeles, CA, 2009, pp. 517-520.