评估能源共同基金:绩效、风险和管理技能

IF 2.1 Q2 BUSINESS, FINANCE International Journal of Financial Studies Pub Date : 2024-02-26 DOI:10.3390/ijfs12010020
Davinder Malhotra, Srinivas Nippani
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引用次数: 0

摘要

本研究采用累积财富指数(CWI)来衡量能源股票共同基金相对于基准指数的长期表现,调查了能源股票共同基金在 23 年间经风险调整后的表现。尽管能源行业的周期性特性导致了固有的波动性,但根据月度回报率计算,这些基金的表现始终优于基准指数,在市场波动中展现了抗跌性。然而,在 COVID-19 大流行期间出现了挑战,但在接种疫苗后情况有了明显改善。研究利用多因素模型,强调了能源股票共同基金与更广泛的市场走势和系统性因素之间的相互关联性。尽管这些基金主要关注能源行业,但它们对更大的市场趋势表现出敏感性,使其容易受到市场动态的影响。此外,对投资组合经理专业知识的评估显示,在接种 COVID-19 疫苗后,他们在证券选择方面具有一定的能力。
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Assessing Energy Mutual Funds: Performance, Risks, and Managerial Skills
This study investigates the risk-adjusted performance of energy equity mutual funds across a 23-year period, employing the Cumulative Wealth Index (CWI) to gauge their long-term performance relative to benchmark indices. Despite inherent volatility due to the energy sector’s cyclical nature, these funds consistently outperformed benchmarks based on monthly returns, showcasing resilience amid market fluctuations. However, challenges emerged during the COVID-19 pandemic, with notable improvements post-vaccination. Utilizing a multi-factor model, the research highlights the interconnectivity of energy equity mutual funds with broader market movements and systemic factors. Despite their primary focus on the energy sector, these funds exhibit sensitivity to larger market trends, rendering them susceptible to market dynamics. Additionally, an assessment of portfolio manager expertise reveals some proficiency in security selection post-vaccinations against COVID-19.
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来源期刊
CiteScore
3.70
自引率
8.70%
发文量
100
审稿时长
11 weeks
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