Performance evaluation of mutual fund investments: The impact of non-normality and time-varying volatility

Ioannis D Vrontos, Loukia Meligkotsidou and Spyridon D Vrontos
Additional contact information
Ioannis D Vrontos: Athens University of Economics and Business

Journal of Asset Management, 2011, vol. 12, issue 4, No 6, 292-307

Abstract: Abstract Extending previous work on mutual fund pricing, this article introduces the idea of modeling the conditional distribution of mutual fund returns using a fat tailed density and a time-varying conditional variance. This approach takes into account the stylized facts of mutual fund return series, that is heteroscedasticity and deviations from normality. We evaluate mutual fund performance using multifactor asset pricing models, with the relevant risk factors being identified through standard model selection techniques. We explore potential impacts of our approach by analyzing individual mutual funds and show that it can be economically important.

Keywords: fat tails; GARCH; model selection techniques; mutual funds; risk factors; portfolio construction (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://link.springer.com/10.1057/jam.2011.23 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:pal:assmgt:v:12:y:2011:i:4:d:10.1057_jam.2011.23

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/jam.2011.23

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().