How effective is aggressive portfolio management?: mutual fund performance in Canada, 1985 - 1996 (ABSTRACT)
Athanassakos, G., & Carayannopoulos, P.
published: 2002 | Research publication | Refereed Journals - Finance
Athanassakos, G., & Carayannopoulos, P. (2002). "How effective is aggressive portfolio management?: mutual fund performance in Canada, 1985 - 1996". Canadian Investment Review, 15 (3), 39.
ABSTRACT: A look at mutual fund performance between 1985 and 1996 suggests that professional portfolio managers cannot consistently beat the market. The objective of this paper is threefold. First, the paper attempts to evaluate the performance of Canadian mutual funds between 1985 and 1996. An extended version of the Treynor-Mazuy model is used to assess the market-timing and stock-selection abilities of mutual fund managers for the aforementioned period. Second, the paper purports to study the consistency of performance of Canadian mutual funds and attempts to answer the question of whether historic mutual fund performance can be used as a predictor of future performance. Finally, the third objective of the paper is to compare the performance of dead and surviving mutual funds and answer the question of whether survivorship bias is an important bias to control for in performance measurement studies of mutual funds.
Download the article at: http://proquest.umi.com/pqdweb?did=358460171&sid=2&Fmt=3&clientId=27850&RQT=309&VName=PQD
revised Jan 12/05
View all Peter Carayannopoulos documents