Mutual Fund Performance : Evidence from Meta-Analysis

Résumé du document

Essai de 7 pages portant sur l'importance de la Meta Analysis sur les fonds de placement.
Essai argumentatif Master 2 comprenant des références et des tables afin d'étayer le propos.

Extraits

[...] Therefore, investors would be better off by allocating capital to passively managed funds. References Blake, C., Elton, E., & Gruber, M. (1993). The performance of bond mutual funds. The Journal of Business, 371-403. Breen, W., Jagannathan, R., & Offer, A. (1986). Correcting for heteroscedasticity in tests for market timing ability. The Journal of Business, 585-598. Coggin, T., & Hunter, J. (1993). A meta-analysis of mutual fund performance. Review of Quantitative Finance and Accounting 189-201. Cremers, K., & Petajisto, A. (2009). [...]

[...] The 95% confidence interval for the coefficient is: b ∓ 1.96 SE Results and Discussion Figure 1 shows the number of positive and negative selectivity and market timing coefficients among the 32 mutual funds. Based on the figure, most of the funds have negative values for selectivity. In contrast, majority of the funds have positive coefficients for market timing. Figure Count of positive and negative selectivity and market timing coefficients Table on the other hand, shows the results of meta-analysis for market timing and selectivity. [...]

[...] Mutual Fund Performance: Evidence from Meta-Analysis Introduction Actively managed funds receive more capital allocation from investors than passive funds. For example, McCabe et al. (2020) estimate that 59% of mutual fund assets in the US are actively-managed (p. 2). It is, however, debatable whether these funds earn substantial excess returns to justify their higher capital allocation. While some studies find that active funds have superior performance to passive funds, others indicate that indexed funds yield higher returns. Cremers and Petajisto (2009), for instance, conclude that active funds that differ most in their weights of portfolio holdings relative to the benchmark index tend to perform better than their peers (p. [...]

[...] How active is your fund manager? A new measure that predicts performance. The Review of Financial Studies, 3329-3365. Evans, R. (2007). The Incubation Bias. Retrieved from https://www.q-group.org/wp-content/uploads/2014/01/MFIncubation_17Mar09.pdf. Fama, E., & French, K. (2010). Luck versus skill in the cross-section of mutual fund returns. The Journal of Finance, 1915-1947. Jensen, M. (1968). The performance of mutual funds in the period 1945-1964. The Journal of Finance, 389-416. Lee, C., & Rahman, S. [...]

[...] The chance number for selectivity is 1.6 or of 32. Thus, the number of funds with selectivity ability (positive or negative) is statistically significant. In contrast, there are no funds with significant market timing ability. The meta-analysis of the results indicates that the weighted average selectivity coefficient is significant, which confirms that some funds have selectivity ability. The chi-square statistic is 126.47 with a p-value of less than 0.05. The 95% confidence interval for selectivity is between -0.17% and 0.19%. [...]