Assessing the Performance and Risk-Adjusted Returns of Financial Mutual Funds

IF 2.1 Q2 BUSINESS, FINANCE International Journal of Financial Studies Pub Date : 2023-11-09 DOI:10.3390/ijfs11040136
Davinder K. Malhotra, Tim Mooney, Raymond Poteau, Philip Russel
{"title":"Assessing the Performance and Risk-Adjusted Returns of Financial Mutual Funds","authors":"Davinder K. Malhotra, Tim Mooney, Raymond Poteau, Philip Russel","doi":"10.3390/ijfs11040136","DOIUrl":null,"url":null,"abstract":"In this study, we provide a comprehensive examination of the performance of financial (specialty sector financial) mutual funds over a 23-year period, a much longer time frame than what has been analyzed in previous literature. To fully understand the performance of these mutual funds, we consider multiple factors, including risk-adjusted performance, both unconditional and conditional multifactor analysis, and market timing and selectivity. Financial mutual funds have higher risk-adjusted performance than the overall market and financial sector benchmarks. However, fund alphas are not different from zero, and managers do not exhibit market timing or security selection abilities. Our analysis not only includes the overall performance of these mutual funds, but we also delve into sub-samples before and after the 2008 financial crisis and during the recent Coronavirus pandemic.","PeriodicalId":45794,"journal":{"name":"International Journal of Financial Studies","volume":" 46","pages":"0"},"PeriodicalIF":2.1000,"publicationDate":"2023-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Financial Studies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3390/ijfs11040136","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 1

Abstract

In this study, we provide a comprehensive examination of the performance of financial (specialty sector financial) mutual funds over a 23-year period, a much longer time frame than what has been analyzed in previous literature. To fully understand the performance of these mutual funds, we consider multiple factors, including risk-adjusted performance, both unconditional and conditional multifactor analysis, and market timing and selectivity. Financial mutual funds have higher risk-adjusted performance than the overall market and financial sector benchmarks. However, fund alphas are not different from zero, and managers do not exhibit market timing or security selection abilities. Our analysis not only includes the overall performance of these mutual funds, but we also delve into sub-samples before and after the 2008 financial crisis and during the recent Coronavirus pandemic.
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
评估金融共同基金的业绩和风险调整收益
在本研究中,我们对金融(专业领域金融)共同基金在23年期间的表现进行了全面检查,这比以前文献中分析的时间框架要长得多。为了充分了解这些共同基金的表现,我们考虑了多个因素,包括风险调整后的表现,无条件和有条件的多因素分析,以及市场时机和选择性。金融共同基金经风险调整后的表现高于整体市场和金融行业基准。然而,基金阿尔法值与零并无不同,基金经理也没有表现出市场时机选择或证券选择的能力。我们的分析不仅包括这些共同基金的整体表现,还深入研究了2008年金融危机前后以及最近冠状病毒大流行期间的子样本。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
CiteScore
3.70
自引率
8.70%
发文量
100
审稿时长
11 weeks
期刊最新文献
Financial Interdependencies: Analyzing the Volatility Linkages between Real Estate Investment Trusts, Sukuk, and Oil in GCC Countries Impacts of Digital Transformation and Basel III Implementation on the Credit Risk Level of Vietnamese Commercial Banks Deregulating the Volume Limit on Share Repurchases Microcredit Pricing Model for Microfinance Institutions under Basel III Banking Regulations Efficiency of Healthcare Financing: Case of European Countries
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1