The Determinants of the Performance of Precious Metal Mutual Funds

Ioannis E. Tsolas
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Ioannis E. Tsolas: School of Applied Mathematics and Physics, National Technical University of Athens, 15780 Athens, Greece

JRFM, 2020, vol. 13, issue 11, 1-10

Abstract: The aim of this paper is to assess the efficiency of a set of 62 precious metal mutual funds (PMMFs) and to explain performance differences between funds using weighted additive data envelopment analysis (DEA) and Tobit regression, respectively. The contribution of this paper is twofold: to provide for the first-time metrics of the relative performance of PMMFs using a particular weighted additive model, namely the range-adjusted measure (RAM), and to explain the performance of the funds by the use of a Tobit model. Results do not suggest positive linkages between RAM-based and standard fund performance metrics (Sharpe ratio and Jensen’s alpha). Moreover, for the sample inefficient funds the mean–variance performance hypothesis does not hold. In addition, fund performance based on RAM can be explained by the persistence of the fund and the beta coefficient.

Keywords: precious metal mutual funds; efficiency; data envelopment analysis; tobit regression (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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