Mutual Fund Performance
Case a) US Mutual Fund Performance
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ct on Market Efficiency, Investment advice considering the impact of costs (Jessica
/Miro)
Hot hand effect
Survivorship bias
Appendix
Single Factor model
E(rpassive) rf = О±+О І RMarket+ Оµ R = E rf
Passive| Excess Return| Standard Deviation| Alpha| Market | R2adj| SSGA S amp;P
500 index| 1,0| | 0,07| 1,00| 0,95| FIDELITY Spartan index fund| | | 0,04| 1,01| 0,94|
DREYFUS S amp;P 500 index fund| | | 0,02| 1,01| 0,95| VANGUARD 500 index
funds| | | 0,00| 1,01| 0,95| BGI index funds | | | 0,09| 1,01| 0,95| All funds | 1,17| 3,10|
0,00| 1,01| 0,95|
E(ractive) rf = О±+О І RMarket+ Оµ R = E rf
Active| Excess Return| Standard Deviation| Alpha| Market | R2adj| Aggressive
growth | 1,07| 4,87| 0,31| 1.18| 0,74| Growth| 1,01| 3,65| 0.17| 1,02| 0,96| Income|
0,95| 2,61| 0,06| 0,76| 0,94| Growthincome| 0,97| 3,06| 0,08| 0,90| 0,99| Small cap|
1,14| 4,32| 0,05| 1,02| 0,68| All funds | 1,03| 3,65| 0,11| 0,98| 0,92|
(1) Alpha tested for 0 and Market tested for 1 insignificant (2) At 10% significant, at
5% significant, at 1% significant
Multifactor model
E(rpassive) rf = О±+О ІMarket RMarket+О ІSMB E(rSMB)+О ІHMLE(rHML)+
ОІMOME(rMOM)+Оµ R = E rf