EconPapers    
Economics at your fingertips  
 

Fund Performance Robustness An Evaluation Using European Large-Cap Equity Funds

Kenneth Högholm1, Johan Knif, Seppo Pynnönen ()
Additional contact information
Kenneth Högholm1, Johan Knif, Seppo Pynnönen: Hanken School of Economics, Finland

Frontiers in Finance and Economics, 2011, vol. 8, issue 2, 1-26

Abstract: The paper revisits the issue of robustness of fund performance by evaluating European large-cap equity funds. For this fund category traditional market risk factor adjusted performance measures are expected to be fairly robust. However, for the sample of 65 European large-cap mutual equity funds, performance is shown to be very sensitive to the empirical estimation approach applied. Furthermore, the performance alphas are not robust over the conditional residual return distribution. This indicates that the performance is asymmetric with respect to the conditional outcome. A large part of the individual funds significantly underperform the benchmark in the lower tail of the conditional distribution. From a risk-averse investor’s point of view, the results regarding the performance of an equally weighted fund of funds, is more comforting. On average the performance alphas are positive and highest in the lower part of the conditional distribution. As expected the market risk factor loadings are very robust for the sample of large-cap equity funds.

Keywords: Fund Performance; Robustness; European Equity Funds (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.ffe.esc-lille.com/papers/Vol8-2ms369Knif.pdf (application/pdf)

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:ffe:journl:v:8:y:2011:i:2:p:1-26

Access Statistics for this article

Frontiers in Finance and Economics is currently edited by Ephraim Clark

More articles in Frontiers in Finance and Economics from SKEMA Business School
Series data maintained by Sophie Bodo (). This e-mail address is bad, please contact .

 
Page updated 2017-09-29
Handle: RePEc:ffe:journl:v:8:y:2011:i:2:p:1-26