Mutual Fund Performance：an Empirical Study on Mutual Funds in UK
With the development of financial market, mutual fund has become an important tool for investors. And the performance of a mutual fund is critical for the investors when they make investment decisions. In this paper an attempt is made to evaluate the performance of 20 mutual funds in UK on the basis of quarterly returns compared to benchmark returns. For this purpose, risk adjusted performance measures suggested by Jensen, Treynor and Sharpe are employed. We also concentrate on the persistence of mutual funds performance. In this paper we test the persistence of these 20 funds by contingency table analysis of Winner-Winner, Winner-Loser. The results of empirical analysis on these 20 funds show that these three risk adjusted performance measures are applicable for evaluating the mutual funds performance. But there is no strong evidence to prove that funds have performance persistence.
Mutual Funds Performance Performance Persistence Contingency Table Analysis
ZHANG Xiaofei
School of Statistics and Mathematics, Shandong Economic University, Jinan, P.R.China, 250014
国际会议
2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)
烟台
英文
1-6
2008-08-14（万方平台首次上网日期，不代表论文的发表时间）