A study of European mutual funds' performance persistence and predictability of selected factors

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.author Kukkonen, Viktor
dc.date.accessioned 2011-11-14T11:23:09Z
dc.date.available 2011-11-14T11:23:09Z
dc.date.issued 2009
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/178
dc.description.abstract PURPOSE OF THE STUDY The objective of this thesis is to analyze the performance persistence of European mutual funds and study, which factors could be used as predictors for future performance. The study concentrates in examining five selected mutual fund factors, which are past raw performance, Sharpe ratio and Jensen alpha as risk-adjusted performance, mutual fund age and mutual fund expenses. Additionally, the predictive ability of quantitative fund rating model is examined. The study also reviews findings from other scholarly papers considering alternative attributes, which could be used as predictors for future fund performance. These include turnover, fund size, manager’s characteristics, mutual fund flows and financial advisers. DATA Data on mutual funds and net-asset-values (NAV) are drawn from the Bloomberg’s database. The sample is narrowed to consist of 122 European equity mutual funds and it covers the period of October 1999 to September 2008. RESULTS The study identifies strong inferior performance persistence. A significant underperformance is found in the portfolios consisting of past losers; portfolios of past winners show positive abnormal returns, though insignificant. The study finds that no particular mutual fund factor examined show significantly better predictive ability for future superior performance. However, portfolio of winner funds selected according to last year raw performance has generated slightly higher risk-adjusted returns. In this study, it is also found that quantitative fund rating model was the best in predicting future inferior fund performance. Mutual funds with higher expense ratios have outperformed funds with low expense ratios, though the returns are insignificant. Mutual fund age has not found to affect mutual fund performance. en
dc.format.extent 80
dc.language.iso en en
dc.title A study of European mutual funds' performance persistence and predictability of selected factors en
dc.type G2 Pro gradu, diplomityö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Economics en
dc.contributor.department Department of Accounting and Finance en
dc.contributor.department Laskentatoimen ja rahoituksen laitos fi
dc.subject.keyword european mutual funds
dc.subject.keyword performance persistence
dc.subject.keyword mutual fund factors
dc.identifier.urn URN:NBN:fi:aalto-201111151090
dc.type.dcmitype text en
dc.programme.major Finance en
dc.programme.major Rahoitus fi
dc.type.ontasot Master's thesis en
dc.type.ontasot Pro gradu tutkielma fi
dc.subject.helecon rahoitus
dc.subject.helecon financing
dc.subject.helecon sijoitusrahastot
dc.subject.helecon investment funds
dc.ethesisid 12046
dc.date.dateaccepted 2009-03-05
dc.location P1 I

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