Strategy distinctiveness and fund performance: Evidence from U.S. fixed income funds
No Thumbnail Available
URL
Journal Title
Journal ISSN
Volume Title
School of Business |
Bachelor's thesis
Electronic archive copy is available locally at the Harald Herlin Learning Centre. The staff of Aalto University has access to the electronic bachelor's theses by logging into Aaltodoc with their personal Aalto user ID. Read more about the availability of the bachelor's theses.
Authors
Date
2019
Department
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
20
Series
Abstract
This thesis examines the relation between the distinctiveness and the performance of mutual funds. To analyze fund returns, I use the Strategy Distinctiveness Index following Sun et al. (2012). Defining the strategical distinctiveness of a fund as 1 – correlation between the fund and its peer group, I compute the SDI values for a fixed income fund dataset and then compile quintile portfolios based on the measure. In line with the original study, I find evidence that the SDI measure is somewhat capable of capturing managerial skill, by using an additional robustness check based on absolute correlation. In addition, results on performance add on to previous literature showing that the SDI has some positive relation with future fund performance, as the High-SDI portfolio outperforms the Low-SDI portfolio by 0.16% on monthly terms.Description
Thesis advisor
Joenväärä, JuhaKeywords
fixed income funds, managerial skill, strategy distinctiveness, mutual funds