None

　This thesis discuss the security selection ability by comparing the performance of the portfolio of fund of funds and Exchange-Traded Funds based on the Markowitz Mean-Variance model and the Genetic Algorithm to that of the operation of fund managers. The sample data of fund of funds were chosen from U.S. market, while the sample data of Exchange-Traded Funds were chosen from U.K market and Canada market. The studied period of those sample data ranges from February 1, 1999 to December 31, 2005.
　The Markowitz Mean-Variance model is a famous investment theory in portfolio selection problems, and requires the assumption that the securities must follow the normal distribution. Genetic Algorithms is a methodology with artificial intelligence that is free of the assumption of normal distribution, and it can also be applied to the portfolio selection problems.
　At last, we get some results from this paper. First, the Markowitz Mean-Variance model and the Genetic Algorithm can beat the market index. Second, the Markowitz Mean-Variance model and the Genetic Algorithm can all beat the operation of fund managers when Sharpe’s measure is used. Finally, the Markowitz Mean-Variance model performs better than the Genetic Algorithm in performance measuring and performance persistence.

Allen, F. and Karjalainen R., “Using Genetic Algorithms to Find Technical Trading Rules”, Journal of Financial Economics, Vol. 51, pp. 245~271,1999.
Beinhocker, E. D. ,Robust Adaptive Strategies, Sloan Management Review, Spring 1999
Benari, Yoav, “Optimal asset mix and its link to changing fundamental fact.” Journal of Portfolio Management. New York: Winter. Vol. 16, Iss. 2; pg. 11, 8 pgs,1990.
Bers, M. K., and J. Madura, “The performance persistence of close-end funds”, The Financial Review 35, 33-52, 2000.
Bers, M. K., and J. Madura, “The performance persistence of foreign close-end funds”, Review of Finacial Economics 11, 263-285, 2001.
Bian, Jyh-Shang, “An Genetic-Algorithm Model for Taiwan Stock Index” M.A. thesis, Graduate Institute of Information Management, National Chiao Tung University, Hsinchu, Taiwan), in Chinese,1995.
Brightman, J.S., Haslanger, B.L.. Journal of Portfolio Management. New York: Winter. Vol. 6, Iss. 2; p. 43, 1980.
Brown, S. J., and W. N. Goetzmann, “Performance persistence”, Journal of Finance 50, 679-698, 1995.
Carhart, M.M., “On persistence in mutual fund performance”, Journal of Finance 52,57–82, 1997.
Carlson, R. S., “Aggregate performance of mutual funds”, Journal of Financial and Quantitative Analysis 5, 1-31, 1970.
Chang, C.C., “Construction of Stock Index Simulation Portfolio Using Genetic Algorithm” M.A. thesis, Graduate Institute of Accounting, National Taipei University, Taipei, Taiwan), in Chinese, 2003.
Chang, T. J., “Heuristics for cardinality constrained portfolio optimisation” The Management School, Imperial College, London SW7 2AZ, UK, 1998
Cheney, J.M., S. Atkinson and B.A. Bailey, “International Mutual Fund Performance U.S. vs. U.K.”,Managerial Finance. Patrington,Vol. 18, Iss. 2; pg. 39, 10 pgs,1992.
Chiu, C.R., “An Application of Genetic Algorithms on Portfolio Strategies” M.A. thesis, Graduate Institute of Economics, National Sun Yat-sen University, Kaohsiung, Taiwan), in Chinese, 1998.
Chopra, N., J. Lakonishok, and J.R. Ritter, “Measuring abnormal performance: Do stocks overreact?” Journal of Financial Economics 31, 235–268, 1992.
Daniel, K, and S. Titman, “Evidence on the characteristics of cross-sectional variation in stock returns”, Journal of Finance 52, 1–33, 1997.
Daniel, K., M. Grinblatt, S. Titman, and R. Wermers,” Measuring mutual fund performance with characteristic-based benchmarks”, Journal of Finance 52, 1035–1058, 1997.
Daniel, W. W.,” Applied Nonparametric Statistics”, Pws-Kent Publishing Company, 358-364, 1994.
Detzler, M. L., “The value of mutual fund rankings to the individual investor”, Journal of Business & Economic Studies 8, 48-72, 2002.
Droms, W. G., and D. A. Walker, “Performance persistence of international mutual funds”, Global Finance Journal 12, 237-248, 2001.
Dunn, P. C., and, R. D. Theisen, “How consistently do active managers win”, Journal of Portfolio Management 9, 47-51, 1983.
Elton, E. and Gruber, M., “Modern Portfolio Theory and Investment Analysis”. New York:　John Wiley & Sons, 1981.
Fama, E.F., and K.R. French, “Common risk factors in the returns on stocks and bonds”, Journal of Financial Economics 33, 3–56, 1993.
Fama, E.F., and K.R. French, “Multifactor explanations of asset pricing anomalies”, Journal of Finance 51, 55–84, 1996.
Geert, B., C.B. Erb, C.R. Harvey, and T.E.B. Viskanta, “Distributional characteristics of emerging market returns and asset allocation.” Journal of Portfolio Management, Winter, pp. 102-116, 1998.
Goetzmann, W. N., and R. G. Ibbotson, 1994, “Do winners repeat?” Journal of Portfolio Management, 9-18.
Goldberg, D.E., “Genetic Algorithms in Search, Optimization and Machine Learning.” Addison-Wesley Publishing Co., 1989.
Grinblatt, M., and S. Titman,” The persistence of mutual fund performance”, Journal of Finance 47, 1977-1984, 1992.
Grinblatt, M., and Titman, S., “Mutual fund performance: An analysis of quarterly portfolio holdings”. Journal of Business 62:393-416, 1992.
Hendricks, D., J. Patel, and R. Zeckhauser, “Hot hands in mutual funds: short-run persistence of relative performance 1974-88”, Journal of Finance 48, 93-130, 1993.
Holland, J., “Adaptation in Natural and Artificial System” , 1975.
Hull, J. and A. White, “The Pricing of Options on Assets with Stochastic Volatilities”The Journal of Finance. Cambridge: Jun. Vol. 42, Iss. 2; p. 281,1987
Ippolito, R. A.,” Consumer reaction to measures of poor quality: evidence from the mutual fund industry”, Journal of Law and Economics 35, 45-70, 1992.
Jensen, M. C., “The performance of mutual funds in the period 1945-1964”, Journal of Finance 23, 389-416, 1969.
Kaly, vas E., Using Neural Networks and Genetic Algorithms to Predict Stock Market Returns : University of Manchester, U.K, 2001
Karjalainen, R., Using Genetic Algorithms To Find Technical Trading Rules, 1995
Konno, H., Piecewise linear risk function and portfolio optimization. Journal of the Operational Research Society of Japan 33 2 (1990), pp. 139–156.
Korczak, J. J, Portfolio Design and Simulation Using Evolution Based Strategy : University of Worclaw, Poland ,2001
Lee, S., and Chang, K.P.. “Mean-variance-instability portfolio analysis: A case of Taiwan's stock market”, Management Science. Linthicum: Jul. Vol. 41, Iss. 7; p. 1151 (7 pages) ,1995.
Leinweber, D. J. and R.D.Arnott, “Quantiative and Computational Innovation in Investment Management” Journal of Portfolio Management, pp. 8-15, 1995.
Leinweber, D. J., The perils and the promise of evolutionary computation on the Wall Street, Journal of Investing ,2003
Li, Jin and Tsang, P. K. E., Improving Technical Analysis Prediction - An Application of Genetic Programming : University of Essex ,1999
Lin, P.C., “An Application of Genetic Algorithms on User-Oriented Portfolio Selection” M.A. thesis, Graduate Institute of Information Management, National Chiao Tung University, Hsinchu, Taiwan), in Chinese, 1997.
Lyon, J.D., B.M. Barber, and Chih-Ling Tsai, “Improved methods for tests of longrun abnormal stock returns”, Journal of Finance 54, 165–201, 1999.
Malkiel, B., 1995, “Returns form investing in equity mutual funds 1971 to”, Journal of Finance 50, 549-572, 1991.
Markowitz, H., M., 1971, “Portfolio Selection, Yale University Press”
Markowitz, H.,1995, “Portfolio selection”. Journal of Finance 1952; pp.77-91
Moses, E.A., J. M.Cheyney, and E. T. Viet, “A new and more complete performance measure”, Journal of Portfolio Management 13, 24-33, 1987.
Praetz, P.D., “The distribution of share price changes.” Journal of Business 45,pp. 45-55.
Sharpe, W. F., 1966, “Mutual fund performance”, Journal of Business 39,119-138,1972.
Shapcott, J., Index Tracking: Genetic Algorithms for Investment Portfolio Selection ,1992
Smith, K. V., and D. A. Tito, “Risk-return measures of ex-post portfolio performance”, Journal of Financial and Quantitative Analysis 4,449-471, 1969.
Sumanth Krishna, P., Rao, U S, Hari Shankar., Portfolio Selection Using Genetic Algorithms : Sri Sathya Sai Institute of Higher Learning, Working Paper, 2003
Treynor, J. L., “How to rate management of investment funds”, Harvard Business Review 43, 63-75, 1965.
Venugopal, M., Subramanian S., Rao U.S., “Journal of Financial Management & Analysis” , Jan-Jun 2004. Vol. 17, Iss. 1; p. 45 (9 pages)
Warshawsky, M., M. DiCarlantonio, and L. Mullan, “The persistence of morningstrar ratings”, Journal of Financial Planning, 110-128, 2000.
Williamson, P. J., “Measurement and forecasting of mutual fund performance: choosing an investment strategy”, Financial Analysts Journal 28, 78-84, 1972.