Investigating Iranian Equity Mutual Funds’ Performance by Return Gap Approach

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Ghanipour, Majid | 2017

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 49685 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Barakchian, Mehdi; Ebrahimnejad, Ali
Abstract:
We Estimate the value of equity mutual fund management by return gap - the difference between the the actual mutual fund performance with the performance of a hypothetical portfolio that invests in the previously disclosed fund holdings.The return gap is negatively related to the hidden costs and positively related to the hidden benefits of a mutual fund. There are three main findings: – In the aggregate sample, the return gap is small, which indicates that, fund managers, on average, have investment ability that creates sufficient value to offset their expenses; – Fund managers, on average, would have market timing skill; – We confirm, the relationship between funds return gap and their subsequent performance
Keywords:
Mutual Fund ; Active Strategy ; Iranian Mutual Funds ; Return Gap ; Disclosed Holding Portfolio