PT - JOURNAL ARTICLE AU - Joachim Klement TI - The Cross-Section of Liquid Absolute Return Funds AID - 10.3905/jii.2015.6.3.021 DP - 2015 Nov 30 TA - The Journal of Index Investing PG - 21--32 VI - 6 IP - 3 4099 - https://pm-research.com/content/6/3/21.short 4100 - https://pm-research.com/content/6/3/21.full AB - The author uses a dataset of 1,140 global liquid absolute return-oriented mutual funds to analyze the performance of this new class of mutual funds. He sorts these funds into 15 subcategories depending on their investment style and finds that once performance is corrected for systematic market factors, the average alpha is negative for all subcategories. He also tests systematic size-, age-, and fee-related effects on fund alpha, finding only very limited impact for these factors.TOPICS: Mutual fund performance, analysis of individual factors/risk premia, performance measurement