MUTUAL FUND PERFORMANCE ANALYSIS PRE AND POST FINANCIAL CRISIS OF 2008

Peer reviewed: 
No, item is not peer reviewed.
Scholarly level: 
Graduate student (Masters)
Date created: 
2017-12
Keywords: 
Finance
CAPM
ETF
NAV
Abstract: 

Using a sample of 955 mutual funds, free of survivorship bias, we analyse the performance of diversified equity mutual funds in the United States of America that invest solely in stocks listed on the U.S. stock exchanges before and after the financial crisis of 2008. We categorize all mutual funds into their respective strategy including value, growth, and blend in order to see any relationship with respect to their strategic focus.We find that mutual funds were not able to provide a positive alpha, neither before nor after the financial crisis of 2008. These findings are consistent with other researchers such as Mark M. Carhart (1997) and Michael C. Jensen (1969).Moreover, by using Fama and French`s (1993) 3 - factor model plus an additional momentum factor, we can perceive a strong relationship between the factors size and momentum and the overall performance of mutual funds.

Description: 

MSc in Finance Project-Simon Fraser University

Language: 
English
Document type: 
Graduating extended essay / Research project
Rights: 
Copyright remains with the author.
File(s): 
Senior supervisor: 
Christina Atanasova
Evan Gatev
Department: 
Beedie School of Business-Segal Graduate School
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