Performance Evaluation of Pakistan's Mutual Fund through CAPM and Fama French 3-Factor Model

Tests Of The Fama And French Three Factor Model In Iran

Portfolio Diversification and Net Selectivity Performance of Mutual Funds in Iran by Using Fama Decomposition Model

T he main purpose of this paper is to analyze the performance of mutual funds in Iran by using Fama decomposition model (1972). Thus, daily data of 55 mutual funds during a four-year period from 21/3/2014 to 21/3/2018 were investigated. To achieve this goal, firstly, the performance of mutual funds was broken down into Fama components, and it was shown that the diversification perfor...

Evaluating Mutual Fund Performance

We study standard mutual fund performance measures, using simulated funds whose characteristics mimic actual funds. We find that performance measures used in previous mutual fund research have little ability to detect economically large magnitudes ~e.g., three percent per year! of abnormal fund performance, particularly if a fund’s style characteristics differ from those of the value-weighted m...

tests of the fama and french three factor model in iran

Mutual Fund Performance Evaluation with Active Peer Benchmarks

IE. Kandel, D. Hunter, and R. Wermers dedicate this paper to the memory of our valued friend and colleague, Shmuel Kandel, who inspired us and contributed mightily to this project. Corresponding author: R. Wermers, [email protected] (email), 301-405-0572 (tel), 301-405-0359 (fax). We gratefully acknowledge useful comments from an anonymous referee, and suggestions from the participants of the Ger...