RT Journal Article
SR Electronic
T1 The Cross-Section of Liquid Absolute Return Funds
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 21
OP 32
DO 10.3905/jii.2015.6.3.021
VO 6
IS 3
A1 Joachim Klement
YR 2015
UL https://pm-research.com/content/6/3/21.abstract
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