Silvia Coran

Mutual fund performance

Performance evaluation of German mutual funds and R2 as a predictor of fund performance

• Broschiertes Buch

Produktbeschreibung

The purpose of the work is to provide a performance analysis of German mutual funds and investigate if there are differences between funds that invest in German, European or Global stocks. We further analyse the predictive power of R2 and test whether it can significantly predict the fund performance. The study includes 125 German mutual funds that have been in operation between 2005 and 2015. In this study we consider two main fund performance measures: Jensen Index and Carhart Four Factor model. Furthermore, we analyse the timing ability of the German funds managers with the Treynor and Mazuy (1966) quadratic regression. Finally, we examine if lower R2 significantly predicts better fund performance, following the study of Amihud and Goyenko (2013). The results show that the funds are on average not able to outperform the benchmark: they tend to follow the index strategy, thus have a similar performance. Furthermore results show that the German mutual funds that invest domestically constitute the group of funds that has the worst performance compared to the benchmark. Finally we found that R2 significantly predicts future fund performance.

Produktdetails

• Verlag: AV Akademikerverlag
• Seitenzahl: 116
• Erscheinungstermin: 29. August 2016
• Englisch
• Abmessung: 220mm x 150mm x 7mm
• Gewicht: 171g
• ISBN-13: 9783330503717
• ISBN-10: 3330503718
• Artikelnr.: 45757825

Autorenporträt

Silvia Coran comes from Bolzano, Italy. She received a BSc degree in Economics and Management from the University of Bolzano in 2013 and MSc degree in Banking and Finance from the University of Innsbruck in 2015. She is currently doing an international management graduate programme working in several European countries for a multinational company.