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dc.contributor.author
Mantartzidis, Konstantinos
en
dc.date.accessioned
2015-04-06T13:24:03Z
dc.date.available
2015-09-27T05:58:33Z
dc.date.issued
2015-04-06
dc.identifier.uri
http://hdl.handle.net/11544/68
dc.rights
Default License
dc.title
Mutual funds: measuring the performance and risk of sectro funds
en
heal.type
masterThesis
heal.secondaryTitle
Evidence from the U.S.
en
heal.keyword
Mutual funds--United States
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heal.keyword
Dissertations, Academic
en
heal.language
en
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
heal.publicationDate
2011-10
heal.bibliographicCitation
Mantartzidis Konstantinos, 2011, Mutual funds: measuring the performance and risk of sectro funds. Evidence from the U.S., Master's Dissertation, International Hellenic University
en
heal.abstract
This study examines the performance of U.S. equity mutual funds focused in well-defined economic sectors and compares them with diversified equity funds. Findings show that sector funds are indeed less diversified than other types of funds but still do not exhibit higher systematic risk. They do, however, have higher total risk. They also charge higher expenses which are not justified by increased net performance. There is not enough proof that they achieve significant positive or negative excess returns on average. Exceptions hold for energy and industrials sector funds, which demonstrate remarkable net and excess returns. Sector fund managers also do not appear to have market timing skills. Results claim that sector funds on average are a risky, yet not worthy investment on their own, but could be included in diversified portfolios.
en
heal.tableOfContents
Introduction...................................................................................................… 6 2 Mutual Funds ................................................................................................... 8 2.1 Benefits of Mutual Funds ........................................................................... 8 2.2 Mutual Fund types classified by investment objectives .............................. 9 2.2.1 Equity Funds ...................................................................................... 9 2.2.2 Index Funds .......................................................................................10 2.2.3 Bond Funds .......................................................................................10 2.2.4 Balanced Funds .................................................................................11 2.2.5 Money Market Funds .........................................................................11 2.3 Charges, fees and expenses .......................................................................11 2.3.1 Sales Charges (Loads) .......................................................................11 2.3.2 Front-End Load .................................................................................11 2.3.3 Back-End Load ..................................................................................12 2.3.4 Operating Expenses (Expense ratio) ...................................................12 2.4 Brief overview of the mutual fund industry in the U.S...............................13 2.4.1 Recent trends .....................................................................................13 2.5 Industry Classification ..............................................................................16 2.5.1 Energy Sector Funds ..........................................................................16 2.5.2 Financial Services Sector Funds .........................................................16 2.5.3 Health/Biotechnology Sector Funds ...................................................16 2.5.4 Industrial Sector Funds ......................................................................17 2.5.5 Multi-Cap Growth Funds ...................................................................17 2.5.6 Real Estate Sector Funds....................................................................17 2.5.7 Science & Technology Sector Funds ..................................................17 2.5.8 Utility Funds ......................................................................................18 3 Literature Review ............................................................................................18 4 Sources of data and information ......................................................................21 4.1 Mutual fund data .......................................................................................21 4.2 Benchmark data ........................................................................................21 4.3 Limitations of the study ............................................................................22 4.3.1 Limitations regarding data sources .....................................................22 4.3.2 Limitations regarding the choice of sample ........................................22 4.3.3 Limitations regarding benchmarks and control sample .......................22 5 5 Methodology ...................................................................................................23 5.1 Returns .....................................................................................................23 5.2 Measures of risk........................................................................................24 5.3 Measures of Diversification ......................................................................24 5.4 Risk-adjusted performance measurement ..................................................24 5.5 Market timing measurement ......................................................................25 6 Data analysis & Discussion .............................................................................26 6.1 Diversification and Risk............................................................................26 6.2 Performance and selectivity measures .......................................................28 6.2.1 Expense ratios and net returns ............................................................28 6.2.2 Sharpe and Treynor measures ............................................................31 6.2.3 Jensen’s alpha coefficient ..................................................................31 6.3 Market timing ...........................................................................................34 7 Conclusion and Recommendations ..................................................................38 List of References ...................................................................................................40 Appendices .............................................................................................................43 Aggregated Table 1. Breakdown of coefficient mean values in the various sectors ...........................................................................................................................43 Aggregated Table 2. Breakdown of coefficient median values in the various sectors .................................................................................................................44 Aggregated Table 3. Breakdown of coefficient minimum values in the various sectors .................................................................................................................45 Aggregated Table 4. Breakdown of coefficient maximum values in the various sectors .................................................................................................................46 Aggregated Table 5. Breakdown of measures and performance ratios in the various sectors ....................................................................................................47 List of tables Table 1 13 Table 2 14 Table 3 27 Table 4 29 Table 5 36 List of Figures Figure 1 14
en
heal.advisorName
Artikis
en
heal.committeeMemberName
Artikis
en
heal.committeeMemberName
Chalamandaris
en
heal.committeeMemberName
Tsekrekos
en
heal.academicPublisher
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
en
heal.academicPublisherID
ihu
heal.numberOfPages
46
heal.fullTextAvailability
true


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