The Performances of MBS Mutual Funds and Hedge Funds: Another Puzzle
Mutual funds that target mortgage-backed securities (MBS) as an investment objective have underperformed the Lehman MBS Index by an average of 141 basis points annually from 1992 through 2003. In contrast, MBS hedge funds have outperformed the Lehman MBS Index by an average of 210 basis points per year. This contrast in performance persists even after adjusting for total risk, as measured by Sharpe ratios. It also persists on a market risk-adjusted basis. Using CAPM single-index, market-timing, and various multi-index and multi-factor models, we consistently find that Jensen.s alpha is negative and significant for MBS mutual funds, but positive and significant for MBS hedge funds. Extending the study to examine the cross- sectional variation in MBS mutual fund performance, we find that performance is negatively related to the expense ratio and load, but positively related to the turnover ratio.
mortgage-backed securities (MBS) mutual funds hedge funds and performance
Xiaoqing Eleanor Xu Anthony L. Loviscek
Finance Stillman School of Business Seton Hall University 400 South Orange Avenue South Orange, NJ 07079
国际会议
昆明
英文
1-38
2005-07-05（万方平台首次上网日期，不代表论文的发表时间）