Performance and persistence of Belgian mutual funds from 2010 to 2016
The evaluation of mutual fund performance and performance persistence is a central problem in finance research. Since the 1960s, many researchers have investigated mutual funds making use of different methodologies, mostly focusing on the US market. This thesis focuses on the Belgian mutual fund market, as mutual funds have an important place in the Belgian household investment market compared to the European average. A sample of 46 Belgian open-ended equity funds with a European investment focus is studied over the period of 2010 until 2016. Fund performance is evaluated using Jensen’s, Fama... Mehr ...
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Dokumenttyp: | masterThesis |
Erscheinungsdatum: | 2018 |
Schlagwörter: | mutual funds / performance evaluation / performance persistence |
Sprache: | Englisch |
Permalink: | https://search.fid-benelux.de/Record/base-28490525 |
Datenquelle: | BASE; Originalkatalog |
Powered By: | BASE |
Link(s) : | http://hdl.handle.net/2078.1/thesis:14325 |
The evaluation of mutual fund performance and performance persistence is a central problem in finance research. Since the 1960s, many researchers have investigated mutual funds making use of different methodologies, mostly focusing on the US market. This thesis focuses on the Belgian mutual fund market, as mutual funds have an important place in the Belgian household investment market compared to the European average. A sample of 46 Belgian open-ended equity funds with a European investment focus is studied over the period of 2010 until 2016. Fund performance is evaluated using Jensen’s, Fama and French’s and Carhart’s model, and performance persistence is evaluated using both non-parametric and parametric models. The overall results suggest that Belgian equity mutual funds perform well enough to cover their expenses. This is illustrated by the significantly positive alphas post-expenses at an aggregate level. However, subtracting expenses, the performance is statistically indistinguishably from zero. Furthermore, long-term performance persistence results are mixed in this thesis, as there are periods showing no persistence and periods with positive persistence. In addition, no persuasive evidence in favor of short-term persistence is found. The results for performance evaluation are in line with previous European and US studies and confirm Grossman and Stiglitz’ view on the Efficient Market Hypothesis. Regarding persistence, the results are largely in line with European studies, as these generally do not identify short-term persistence, and in some cases find long-term persistence. ; Master [120] en Ingénieur de gestion, Université catholique de Louvain, 2018