Loading...

Investigation of Performance of Mutual Fund in Iran

karami, Sonia | 2014

805 Viewed
  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 45952 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Barakchian, Mehdi
  7. Abstract:
  8. Using a comprehensive data set on (surviving and non-surviving) Iranian equity mutual funds, we examine performance of mutual fund by using jensen’s model, fama & French three factor model and treynor & mussy’s model. we use as well as a cross-section bootstrapmethodology to distinguish between ‘skill’ and ‘luck’ for individual funds. This methodology allows for non-normality in the idiosyncratic risk of the funds — a major issue when considering those funds which appear to be either very good or very bad performers, since these are the funds which investors are primarily interested in identifying. Standard tests designed to identify mutual funds with non-zero alphas are problematic, in that they do not adequately account for the presence of lucky funds.Lucky funds have significant estimated alphas, while their true alphas are equal to zero.
    To address this issue, this thesis quantifies the impact of luck with new measures built on the False Discovery Rate (FDR). These FDR measures provide a simple way to compute the proportion of funds with genuine positive or negative performance as well as their location in the cross-sectional alpha distribution.Our contributions are as follows. most of funds show the same performance as index market and a relatively small number of equity mutual funds have weaker performance than index market
  9. Keywords:
  10. Bootstrap Statistical Inference ; Fama and French Three Factor Model ; Jensen Inequality ; Mutual Fund ; False Discovery Rate

 Digital Object List

 Bookmark

No TOC