Skip to main content

The Performance of Canadian Pooled Equity Funds

Date created
2009-08
Authors/Contributors
Abstract
In this paper, we evaluate and rank the performance of 65 Canadian Equity Pooled Funds. We adopt traditional performance measures to evaluate pooled fund managers’ performances from January 1999 to December 2008. We employ the geometric mean as a reward measure, standard deviation and beta coefficient as risk measures, and Capital Asset Pricing Model (CAPM) risk-adjusted measures that include Jensen’s (1968) alpha, the Treynor (1965) ratio, the Sharpe (1966) ratio, and Modigliani and Modigliani’s (1997) M-Squared. Treynor-Mazuy (1966) and Henriksson-Merton (1981) are used to measure market-timing. According to our results, thirty-five percent of 65 Canadian Equity Pooled Funds managers have abnormal returns in terms of Jensen’s (1968) alpha. Only eight pooled fund managers have market-timing ability. None of 65 pooled fund managers has both selectivity and market-timing ability at the same time.
Document
Description
FRM Project-Simon Fraser University
Copyright statement
Copyright is held by the author(s).
Scholarly level
Peer reviewed?
No
Language
English
Download file Size
FRM 2009 Fu, T. Zhu, Y..pdf 822.01 KB

Views & downloads - as of June 2023

Views: 0
Downloads: 0