The Risk-adjusted Performance of KiwiSaver Funds
| aut.embargo | No | en_NZ |
| aut.thirdpc.contains | No | en_NZ |
| aut.thirdpc.permission | No | en_NZ |
| aut.thirdpc.removed | No | en_NZ |
| dc.contributor.advisor | Gilbert, Aaron | |
| dc.contributor.author | Xiong, Xueshan | |
| dc.date.accessioned | 2017-05-19T04:06:17Z | |
| dc.date.available | 2017-05-19T04:06:17Z | |
| dc.date.copyright | 2016 | |
| dc.date.created | 2017 | |
| dc.date.issued | 2016 | |
| dc.date.updated | 2017-05-19T03:00:35Z | |
| dc.description.abstract | The New Zealand government introduced a national superannuation scheme named KiwiSaver to its citizens on 1 July 2007. However, until now, KiwiSaver funds’ performance is still an under-researched topic. This study investigates the risk-adjusted performance of KiwiSaver growth and balance funds, where 3 models (Capital Asset Pricing Model, Fama and French 3-factor model, and Carhart 4-factor model) are applied to the KiwiSaver growth funds and 1 model (Balance fund 4-factor model) is applied to the KiwiSaver balance funds. I observe significant evidence of outperformance for some KiwiSaver growth funds and balance funds. Further, most growth funds are relatively more exposed to large companies and growth stocks. However, once I control for the momentum strategy much of the outperformance disappears, suggesting a lot of fund managers are employing a momentum strategy. I also observe 2 superior KiwiSaver funds based on its outperformance with all methods, and they are Aon KiwiSaver Milford and Milford Active Growth KiwiSaver fund. | en_NZ |
| dc.identifier.uri | https://hdl.handle.net/10292/10483 | |
| dc.language.iso | en | en_NZ |
| dc.publisher | Auckland University of Technology | |
| dc.rights.accessrights | OpenAccess | |
| dc.subject | KiwiSaver | en_NZ |
| dc.subject | Mutual Funds | en_NZ |
| dc.subject | Performance Measurement | en_NZ |
| dc.subject | Risk-adjusted Performance | en_NZ |
| dc.title | The Risk-adjusted Performance of KiwiSaver Funds | en_NZ |
| dc.type | Dissertation | |
| thesis.degree.grantor | Auckland University of Technology | |
| thesis.degree.level | Masters Dissertations | |
| thesis.degree.name | Master of Business | en_NZ |