Mutual Fund Performance

714 Words Jun 13th, 2016 3 Pages
Case a) US Mutual Fund Performance

Maastricht University | | | | School of Business & Economics | | | | Place & date: | Maastricht, 5th December 2013 | | | | Name, initials: | Müller-Wilmes, VEMCroughs, ZWFWang, WCGerdsen, BHARack, MD | | For assessor only | | ID number: | I6076025I6075042I6117368I6075829I6064576 | | 1. Content | | Study: | International Business Economics | | 2. Language structure | | Course code: | EBC | | 3. Language accuracy | | Group number: | 1 | | 4. Language: Format & citing/referencing | | Writing tutor name: | Mike Langen | | Overall: | | Writing assignment: | | | Advisory grade | | | | | Assessor’s initials | |
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ct on Market Efficiency, Investment advice considering the impact of costs (Jessica/Miro)

Hot hand effect
Survivorship bias

Appendix

Single Factor model

E(rpassive) – rf = α+β RMarket+ ε R = E - rf

Passive | Excess Return | Standard Deviation | Alpha | Market | R2adj | SSGA S&P 500 index | 1,0 | | 0,07 | 1,00 | 0,95 | FIDELITY Spartan index fund | | | 0,04 | 1,01 | 0,94 | DREYFUS S&P 500 index fund | | | -0,02 | 1,01 | 0,95 | VANGUARD 500 index funds | | | 0,00 | 1,01 | 0,95 | BGI index funds | | | 0,09 | 1,01 | 0,95 | All funds | 1,17 | 3,10 | 0,00 | 1,01 | 0,95 |

E(ractive) – rf = α+β RMarket+ ε R = E - rf

Active | Excess Return | Standard Deviation | Alpha | Market | R2adj | Aggressive growth | 1,07 | 4,87 | -0,31 | 1.18 | 0,74 | Growth | 1,01 | 3,65 | -0.17 | 1,02 | 0,96 | Income | 0,95 | 2,61 | 0,06 | 0,76 | 0,94 | Growthincome | 0,97 | 3,06 | -0,08 | 0,90 | 0,99 | Small cap | 1,14 | 4,32 | -0,05 | 1,02 | 0,68 | All funds | 1,03 | 3,65 | -0,11 | 0,98 | 0,92 |

(1) Alpha tested for 0 and Market tested for 1 insignificant (2) At 10% significant, at 5% significant, at 1% significant

Multifactor model

E(rpassive)-rf = α+βMarket RMarket+βSMB E(rSMB)+βHMLE(rHML)+ βMOME(rMOM)+ε R = E - rf

Passive | Excess Return | Standard Deviation | Alpha | Market | SMB | HML | MOM | R2adj | All funds | 1,17 | 3,10 | 0,06 | 1,01 | -0,26 | -0,01 | -0,03 | 0,99 |

E(ractive)-rf
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