A New Assessment of US Mutual Fund Returns Through a Multiscaling Approach

Francis In and Sangbae Kim
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Francis In: Monash University, Australia
Sangbae Kim: Kyungpook National University, Korea

Chapter 10 in An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach, 2012, pp 177-190 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis chapter applies a multiscaling approach to evaluate the performance of three types of US mutual fund: Institutional, Active, and Index. Since risk and value (performance) are timescale-dependent concepts, any form of measurement, such as the frequently used Sharpe ratio or Jensen’s alpha, must account for any investment horizon effect. The results of this new analysis show that Institutional funds are clearly dominant over all time scales.

Keywords: Wavelets; Finance; Economics; Wavelet Analysis; Multiscaling Method (search for similar items in EconPapers)
Date: 2012
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