Generating Alpha: A Study of U.S. Actively Managed Mutual Fund Performance in the 2007-2009 RecessionTools Anthony, Eric (2018) Generating Alpha: A Study of U.S. Actively Managed Mutual Fund Performance in the 2007-2009 Recession. [Dissertation (University of Nottingham only)]
AbstractThis piece of research aims to test if U.S. actively managed equity mutual funds provide value during downturns in the market, specifically during the recession caused by the Global Financial Crisis. As passive funds will only track the market during downturns (i.e. lose value), actively managed mutual funds seem like an area of value for investors. To test this theory, I begin with a review of the relevant literature focused on fund manager performance in various economic cycles. I then empirically test my sample data using the CAPM, Three-Factor, and Four-Factor returns-based performance evaluation models put forth by Sharpe (1964) and Lintner (1965), Fama and French (1993), and Carhart (1997), respectively. By analyzing the 18-month recession of the Global Financial Crisis compared to the 18-month period leading up to the recession and the 18-month period directly following it, as well as the 54-month period as a whole, I aim understand mutual fund performance in times of market downturn.
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