ListarDepartament: Finances i Comptabilitat por tema "active management"
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Active Management and Mutual Fund Performance
Universidad de Zaragoza. Facultad de Ciencias Económicas (2018)This paper analyses the relationship between active management and performance in US equity mutual funds over the period 2001-2011 for both gross and net returns. Active management is measured by time-varying parameters, ... -
Better Performance of Mutual Funds with Lower R2's Does Not Suggest that Active Management Pays
now publishers (2023-08-08)We found a negative relation between mutual funds’ past R2 and their abnormal performance, as did Amihud and Goyenko (2013), who proposed measuring active management of mutual funds by 1−R2. The interpretation of this ... -
The role of passive effects in the relationship between active management and short-term performance: Evidence from mutual fund portfolio holdings
Elsevier (2024)This study proposes a new method to measure active management in a given quarter based on the correlation between fund returns and the returns of a passively-managed synthetic portfolio emulating fund portfolio holdings. ...