Mutual fund performance: Some recent evidence from European equity funds

Q3 Economics, Econometrics and Finance

Economic Annals Pub Date : 2021-01-01 DOI:10.2298/eka2130007b

M. Božović

引用次数: 0

Abstract

This paper studies the performance of mutual funds that specialise in equity investment. We use a sample of the top sixteen actively managed European equity funds operating in the United States between July 1990 and November 2020. Using standard factor models, we show that none of our sample funds generated a positive and significant alpha. The observed funds could not outperform a simple passive strategy that involves tradeable European benchmark portfolios in the longer run. As a rule, the funds in our sample did not exploit the known asset pricing anomalies.

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共同基金的表现:来自欧洲股票基金的一些近期证据

本文研究了专门从事股权投资的共同基金的绩效。我们使用了1990年7月至2020年11月期间在美国运营的前16家积极管理的欧洲股票基金的样本。使用标准因子模型，我们表明我们的样本基金都没有产生积极和显著的α。观察到的基金在较长期内的表现不可能超过涉及可交易的欧洲基准投资组合的简单被动策略。通常，我们样本中的基金没有利用已知的资产定价异常。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economic Annals Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

0.90

自引率

0.00%

发文量

审稿时长

18 weeks

期刊介绍： Economic Annals is an academic journal that has been published on a quarterly basis since 1955, initially under its Serbian name of Ekonomski anali (EconLit). Since 2006 it has been published exclusively in English. It is published by the Faculty of Economics, University of Belgrade, Serbia. The journal publishes research in all areas of economics. The Editorial Board welcomes contributions that explore economic issues in a comparative perspective with a focus on transition and emerging economies in Europe and around the world. The journal encourages the submission of original unpublished works, not under consideration by other journals or publications. All submitted papers undergo a double blind refereeing process. Authors are expected to follow standard publication procedures [Instructions to Authors], to recognise the values of the international academic community and to respect the journal’s Policy.