Eurasian Economic Review

, Volume 1, Issue 1, pp 51–65 | Cite as

Fishing In Troubled Waters: The Lull Before The Storm

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Abstract

This paper has two main goals: (1) to develop a proper methodology to measure the level of efficiency in an asset investment fund market by measuring performance, strategies activity and its persistence for a certain group of funds during the period of study, (2) to analyse individual performance persistence to determine the existence of skilled managers. The study employs the CAPM model for a theoretical background and the Sharpe’s ratio for a suitable performance measure in a limited information environment which leads to a group performance measurement proposal. The empirical study uses quarterly data between from 1999 and 2007. As a result, this study develops a model that measures efficiency in a given mutual funds market based on the level of strategy’s activity. Persistence in individual performance is also observed for a certain group of funds.

Keywords

Market efficiency Active strategies Investment funds performance 

JEL Classification

G01 

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References

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Copyright information

© Eurasia Business and Economics Society 2011

Authors and Affiliations

  1. 1.Universitat Autonoma De BarcelonaSpain

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