Fishing In Troubled Waters: The Lull Before The Storm

Sílvia Ysàs () and Magda Costa ()

Eurasian Economic Review, 2011, vol. 1, issue 1, 65 pages

Abstract: This paper has two main goals: (1) to develop a proper methodology to measure the level of efficiency in an asset investment fund market by measuring performance, strategies activity and its persistence for a certain group of funds during the period of study, (2) to analyse individual performance persistence to determine the existence of skilled managers. The study employs the CAPM model for a theoretical background and the Sharpe’s ratio for a suitable performance measure in a limited information environment which leads to a group performance measurement proposal. The empirical study uses quarterly data between from 1999 and 2007. As a result, this study develops a model that measures efficiency in a given mutual funds market based on the level of strategy’s activity. Persistence in individual performance is also observed for a certain group of funds. Copyright Eurasia Business and Economics Society 2011

Keywords: Market efficiency; Active strategies; Investment funds performance; G01 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:eurase:v:1:y:2011:i:1:p:51-65

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DOI: 10.14208/BF03353824

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