A Comparison of the Predictability of the Generalized Step-SPA test with the Morningstar Ratings on Mutual Funds' Future Performance

  • 施 佳樺

Student thesis: Master's Thesis


The main purpose of this dissertation is to explore the Morningstar RatingTM result and the generalized Step-SPA test applied on mutual fund performance in order to determine which could better generate a superior performance in the future and would provide investors with valuable mutual fund investment information United States domestic equity and bond funds which raise money in the US and are rated by Morningstar are chosen as samples Based on the two different judgements on the same mutual funds we construct two kinds of investment strategies and do a comparison of the predictability of future performance Our results indicate that the generalized Step-SPA test will generally outperform the Morningstar rating results in the five star four star and three stars categories and will also outperform an average weighted portfolio in the same category
Date of Award2016 Jun 23
Original languageEnglish
SupervisorMeng-Feng Yen (Supervisor)

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