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Cycle and performance of mutual funds - an application of spectral analysis

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  • Pao-Peng Hsu
  • Chen-Hui Yen
  • Ya-Hui Chang
  • Li-Ling Chou

Abstract

This study investigates the daily and monthly data of nine major categories of funds from 1997 to 2008. It hopes to verify if lead-lag relations exist amid different categories of funds. The study has come up with two major conclusions: (1) the funds in respective categories mostly have a regular cyclical phenomenon; (2) three kinds of lead-lag relations in return exist amid various categories of funds, in which the first kind of relations is bond funds leading equity funds and equity funds leading energy funds, the second kind of relations is bond funds leading technology funds and technology funds leading energy funds and the third kind of relations is currency funds leading real estate funds. Thus, the investors can not only optimize their investment portfolios but also know the timing that they should buy or sell the funds' position.

Suggested Citation

  • Pao-Peng Hsu & Chen-Hui Yen & Ya-Hui Chang & Li-Ling Chou, 2011. "Cycle and performance of mutual funds - an application of spectral analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 18(1), pages 75-79.
    • Handle: RePEc:taf:apeclt:v:18:y:2011:i:1:p:75-79
    DOI: 10.1080/13504850903425132
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    References listed on IDEAS

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    1. Patrick Wilson & Ralf Zurbruegg, 2003. "Trends and Spectral Response: An Examination of the US Realty Market," Centre for International Economic Studies Working Papers 2003-15, University of Adelaide, Centre for International Economic Studies.
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    Cited by:

    1. Liang, Kuo-Yuan & Yen, Chen-Hui, 2014. "Dissecting the cycles: An intermarket investigation and its implications to portfolio reallocation," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 39-51.
    2. Hsu, Pao-Peng & Liao, Szu-Lang, 2012. "The portfolio strategy and hedging: A spectrum perspective on mean–variance theory," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 129-140.

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