Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Cyclical relative performance of active management based on US equity mutual funds |
| Organization Unit | |
| Authors |
|
| Supervisors |
|
| Language |
|
| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 29 |
| Date | 2018 |
| Zusammenfassung | This thesis investigates the problem of timing investments in actively managed equity mutual funds. I show that there are cycles in fund outperformance relative to their benchmark, which exhibit a long-term reversal pattern. Furthermore, I identify potential predictors for this outperformance, some of which exhibit strong forecasting significance over different future return horizons. The variables are based on stock return dispersion, mean-variance implied expectations as well as fund flows. With very few inconclusive exceptions, this predictability does not hold up in out-of-sample tests. Finally, I perform a similar analysis for the mutual fund outperformance disaggregated by fund investment style, such as value or growth, and find similar results. |
| Export |
BibTeX
|