Fishing In Troubled Waters: The Lull Before The Storm
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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.
KeywordsMarket efficiency Active strategies Investment funds performance
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