A statistically robust decomposition of mutual fund performance

Julius Agnesens

Journal of Banking & Finance, 2013, vol. 37, issue 10, 3867-3877

Abstract: Previous decompositions of risk-adjusted mutual fund performance might deliver biased results. In this paper, we provide new reliable insights on the drivers of mutual fund performance by decomposing risk-adjusted performance of U.S. equity mutual funds using the Generalized Calendar Time regression model. According to our results, out of all previously considered fund characteristics, only the negative effect of lagged fund size and the positive effects of lagged performance and lagged family size remain highly significant. Our analysis further suggests that much of the variation in previous empirical results can be attributed to methodological issues.

Keywords: Mutual fund performance; Cross-sectional dependence; GCT-regression model (search for similar items in EconPapers)
JEL-codes: C21 G23 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:10:p:3867-3877

DOI: 10.1016/j.jbankfin.2013.07.020

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