Mutual Fund Performance - 714 Words

Case a) US Mutual Fund Performance Maastricht University | | | | School of Business amp; Economics | | | | Place amp; date: | Maastricht, 5th December 2013 | | | | Name, initials: | Mà ¼ller-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 amp; citing/referencing | | Writing tutor name: | Mike Langen | | Overall: | | Writing assignment: | | | Advisory grade | | | | | Assessor’s initials | | Your UM email address:†¦show more content†¦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 = ÃŽ ±+ÃŽ ² RMarket+ ÃŽ µ R = E - rf Passive | Excess Return | Standard Deviation | Alpha | Market | R2adj | SSGA Samp;P 500 index | 1,0 | | 0,07 | 1,00 | 0,95 | FIDELITY Spartan index fund | | | 0,04 | 1,01 | 0,94 | DREYFUS Samp;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 = ÃŽ ±+ÃŽ ² RMarket+ ÃŽ µ 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 = ÃŽ ±+ÃŽ ²Market RMarket+ÃŽ ²SMB E(rSMB)+ÃŽ ²HMLE(rHML)+ ÃŽ ²MOME(rMOM)+ÃŽ µ 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)-rfShow MoreRelatedPerformance Of Islamic Mutual Funds1773 Words   |  8 PagesThis particular section provides an overall comparison of performance of Islamic Mutual Funds, which is important to consider empirically especially taking into consideration the fact that the Islamic indexes provide different estimations for the performance of these mutual funds, particularly during bullish and bearish periods. What is more important, the results of the current section appear to be the same compared to the related studies devoting themselves to considering the aforementioned questionRead MorePerformance Evaluation of Finnish Mutual Funds6338 Words   |  26 PagesPerformance Evaluation of Finnish Mutual Funds 2014 TABLE OF CONTENT 1! ABSTRACT ............................................................................................... 1! 2! INTRODUCTION ..................................................................................... 2! 2.1.! Purpose ................................................................................................................. 2! 3! 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Specifically net cash flows into equity funds grew from $13 billion in 1990 to $310 billion in the year 2000.1 During that same period the number of equity funds rose from 1,100 to 4,395, while the numberRead MoreA Study on the Performance Analysis of Mutual Fund of Six Different Companies11006 Words   |  45 PagesA STUDY ON THE PERFORMANCE ANALYSIS OF SIX MUTUAL FUNDS OF SIX DIFFERENT COMPANIES Submitted in partial fulfillment of the requirements for the Award of Bachelor of Commerce of Christ College(Autonomous) Chapter 1 Introduction 1.1 Introduction to Finance Finance is a field that studies and addresses the ways in which individuals, businesses, and organizations raise, allocate, and use monetary resources over time, taking into account the risks entailedRead MoreSummer Internship Report on Mutual Fund : Performance Evolution Marketing20554 Words   |  83 PagesSUMMER TRAINING REPORT On Mutual Fund: Performance evolution Marketing Submitted in partial fulfillment of the requirements of the two year Post Graduate Programme (PGP). 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