An Empirical Study of Mutual Fund Performance and Its Relation with Fund Size

Lu, Daofen (2007) An Empirical Study of Mutual Fund Performance and Its Relation with Fund Size. [Dissertation (University of Nottingham only)] (Unpublished)

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The increasing popularity of mutual fund investment is a remarkable phenomenon of recent decades. Mutual funds have been among the largest investors and played an important role in the financial market worldwide. The evaluation of mutual fund performance has been achieving a great deal of academic interest since the 1960s. This study employed a time-series data to examine the performance of sixty actively-managed equity growth funds of the United States during the period of July, 2002 to June, 2007. It was based on three fundamental theories of finance and investment, including Modern Portfolio Theory, Capital Asset Pricing Model, and Efficient Market Hypothesis. Three classical performance evaluation models, such as, Treynor's ratio, Sharpe's ratio, and Jensen's Alpha were employed to compare the risk-adjusted returns of sample funds with those of the S&P Composite 1500 index. The result of one-sample t-tests suggests that actively-managed equity growth funds in the United States were able to outperform the market index during the observation period.

In addition, this study attempted to investigate the effect of fund size on performance which has been attracting increasing research interest in recent years. Both the analysis of variance and regression analysis were employed to explore the fund size-performance relation. The research finding shows that large active equity funds performed slightly better than small equity funds. However, the mean differences of risk-adjusted returns among different fund size groups were not statistical significant. Fund size can not predict or explain performance, as there is no relationship between them. These findings are consistent with results reported internationally.

Item Type: Dissertation (University of Nottingham only)
Keywords: Mutual Fund performance, fund size
Depositing User: EP, Services
Date Deposited: 07 Mar 2008
Last Modified: 18 Mar 2018 15:32

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