Persistence in Style-Adjusted Mutual Fund Returns
نویسندگان
چکیده
منابع مشابه
Mutual Fund Ratings: What is the Risk in Risk-Adjusted Fund Returns?
Several ̄rms use historical returns to rate or rank the performance of mutual funds, for the bene ̄t of individual investors desiring to invest in one or more of them. Because the past will not exactly repeat itself, such ratings re°ect di®erent notions of \risk" faced by investors. This paper describes and analyzes the performance measures employed by some advisory ̄rms. Approximations are deri...
متن کاملStyle Dispersion and Mutual Fund Performance∗
We estimate investment style dispersions for individual actively managed equity mutual funds, which describe how widely fund investments are distributed around the core fund style along the dimensions of size, book-to-market, and momentum, respectively. We find that high style dispersions, especially that along the size dimension, are associated with superior fund performance, consistent with h...
متن کاملMutual fund flows, expected returns, and the real economy
This paper investigates the relation between mutual fund flows and the real economy. The findings of this paper support the theory that the positive co-movement of flows into equity funds and stock market returns is explained by a common response to macroeconomic news. Variables that predict the real economy as well as the equity premium – in particular dividend-price ratio, default spread, rel...
متن کاملMutual Funds, Part II: Fund Flows and Security Returns
T his study is the second in a two-part analysis of the mutual fund industry. The first part (Fortune 1997, referred to here as " Part I ") examined the basic structure of the industry and discussed the historical relationship between mutual fund flows and returns on both short-term and long-term financial instruments. That study ended with a discussion of the role that momentum investing by mu...
متن کاملMutual Fund Style Analysis: A Stochastic Dominance Approach
It is a well-known fact that actively managed mutual funds on average underperform passive benchmarks. In this paper, we use the stochastic dominance test proposed by Linton, Maasoumi, and Whang (2005) to shed new light on mutual fund performance on average and across styles. This test evaluates mutual fund performance using a non-parametric framework that 1) imposes a minimal set of conditions...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2001
ISSN: 1556-5068
DOI: 10.2139/ssrn.291372