Performance of Canadian hybrid mutual funds

Mohamed A. Ayadi, Anis Chaibi and Lawrence Kryzanowski

The North American Journal of Economics and Finance, 2016, vol. 38, issue C, 124-147

Abstract: The risk-adjusted selectivity performance (alphas) of a comprehensive and survivorship-free sample of Canadian hybrid funds after (before) management-related costs is negative (neutral) and deteriorates when we control for fixed-income exposures and not for conditioning information. Fund performance is positively related with the asset allocation to Canadian Equity and with whether the fund family’s orientation is tilted more to equity or bond funds. Examination of funds in the tails of the performance distribution using the block-bootstrap method suggests that “good luck” explains the before and after costs outperformance of extreme right-tail funds and no fund possesses truly superior management skills.

Keywords: Performance measurement; Conditioning information; Hybrid funds; Bond indices; Block bootstrap (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940816300936
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:38:y:2016:i:c:p:124-147

DOI: 10.1016/j.najef.2016.09.003

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().