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Recently, regular investment in mutual funds has become a common
practice. Most of the traditional indices adopted to evaluate
performance of mutual funds are based on CAPM. Nevertheless, the
accumulative returns of mutual funds do not match the
prerequisite of CAPM. This study will take accumulative return
as an indicator to evaluate performance of mutual funds. The
objectives are as follows: 1. To compare accumulative returns of
mutual funds with that of market portfolio 2. To discuss the
persistence of accumulative returns 3. To discuss the variation
in performance of different types of mutual funds4. To rank
mutual funds by traditional indices and by accumulative returns
respectively and to compare the differenceThere are 26 open-end
mutual funds adopted as samples in this study. The period is
from Apr. 1994 to Sep. 1997. All the information was provided by
month. The models used to evaluate performance are accumulative
returns, average monthly returns, Treynor, Shape, Jensen, and
modified Jensen indices. The results demonstrate the following
points:1. To long term investment, mutual funds may provide
higher accumulative returns than market portfolio does2. The
ranks of the accumulative returns of mutual funds are not
sustainable3. There is no significant difference in performance
within different types of mutual funds4. The results of ranking
by accumulative return and by traditional indices are related to
each other
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