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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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