Author: Shuhan LiPublisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 52
Book Description
Performance Persistence of Canadian Income Funds
Author: Shuhan LiPublisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 52
Book Description
The Performance Persistence of Canadian Equity Mutual Funds
Author: Xiaotian QinPublisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 66
Book Description
Performance, Persistence and Behavior in the Canadian Mutual Fund Market
Author: Mark WhitePublisher:
ISBN:
Category : Investment advisors
Languages : en
Pages : 146
Book Description
Top Funds
Author: Marc D'AmbrosioPublisher:
ISBN:
Category : Investments
Languages : en
Pages : 254
Book Description
Performance, Persistence and Survivorship Bias of Canadian Equity Funds 2001-2005
Author: Xinye ZhangPublisher:
ISBN:
Category : Investments, Canadian
Languages : en
Pages : 64
Book Description
This study investigates the performance of Canadian equity funds over a 5-year period. I use a dataset consisting of monthly returns from all equity funds existed at any point from June 2001 to December 2005, which enables me to observe more precisely the performance and the extent of survivorship bias. Consistent with what has been addressed by the literature using US data, the sample shows that Canadian equity funds underperform the market benchmark on average over the study period. In addition to the contingency table approach, an ordered probit model is introduced to assess the predictability of fund past performance based on quartile rankings. I find evidence that good/poor performers are likely to persist only over a short-term horizon and not over a medium-term horizon. If the existence of load fees and sales fees is ignored, chasing top funds year by year seems to be a reliable investment strategy.
Fund Flows and Performance - a Study of Canadian Equity Funds
Author: Rajeeva SinhaPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
We study the behavior of mutual fund investors with a specific focus on fund flows - performance relationship. Using a comprehensive survivorship bias free sample of Canadian open-end equity mutual funds and panel data analysis we find evidence of a rational response of fund flows to upside and downside performance changes. Unlike the findings on US funds and investors, we find that investors neither chase winners nor hang on to losing funds. While investors do allocate funds based on past performance the allocations do not disproportionately in favor star funds. Poor performers experience significant fund withdrawals. Combined with the evidence on a positive association of returns variability with fund flows this fund flow performance relationship shows that the fund incentive structure is not biased towards greater risk taking by fund managers. The size of the fund family and previous fund allocations are also significant in influencing decisions on future fund allocations. We also show lack of short and longterm performance persistence. Inspite of the evidence on a rational response the returns realized by investors are lower than the returns reported by mutual funds suggesting poor ability to time the market.
Dynamic Performance Evaluation of Canadian Fixed-Income Funds Using Markov Regime Switching Models
Author: Yusui LiaoMeasuring Performance Persistence in Canadian Large-cap Mutual Funds Relative to the S&P/TSX Composite
Author: Yingwen JiangPublisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 122
Book Description
Canadian Mutual Fund Flows and Performance
Author: Jonathan Michael LaBergePublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Author: Mohamed A. Ayadi