Working paper
Sector Fund Performance
University of Iowa Working Paper
SSRN
12/14/2001
DOI: 10.2139/ssrn.293979
Abstract
Sector funds have grown into a nearly quarter-trillion dollar industry. This paper analyzes the performance of 607 actively managed stock sector funds listed on the CRSP Survivor-Bias Free US Mutual Fund Database during 1990-2000. We use a five-factor model and a portfolio regression technique to control for the look-ahead bias in performance measurement. We document three main results. First, sector funds as a group neither outperform nor underperform their benchmarks. Second, there is no evidence of persistence in sector fund performance. Third, sector fund investors as a group do not possess the ability to pick the winning sector funds or the winning sectors of the stock market
Details
- Title: Subtitle
- Sector Fund Performance
- Creators
- Anand M Vijh - University of IowaAshish Tiwari - University of Iowa, Finance
- Resource Type
- Working paper
- Publication Details
- University of Iowa Working Paper
- Publisher
- SSRN
- DOI
- 10.2139/ssrn.293979
- Number of pages
- 40 pages
- Language
- English
- Date posted
- 12/14/2001
- Academic Unit
- Finance
- Record Identifier
- 9984380736902771
Metrics
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