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  • 标题:Faith Based Investing (FBI) Fund Performance: Luck or Skill?
  • 本地全文:下载
  • 作者:Praveen Das ; S. P. Uma Rao
  • 期刊名称:International Journal of Financial Research
  • 印刷版ISSN:1923-4023
  • 电子版ISSN:1923-4031
  • 出版年度:2016
  • 卷号:7
  • 期号:4
  • 页码:p29
  • DOI:10.5430/ijfr.v7n4p29
  • 语种:English
  • 出版社:Sciedu Press
  • 摘要:This study uses monthly net return data on 27 actively managed faith based mutual funds and the latest Fama-French bootstrap methodology to distinguish between luck and skill of fund managers. The main benchmark of this study is the Carhart (1997) four-factor model. The evidence suggests that majority of fund managers do not have enough skill to produce expected benchmark-adjusted net returns that cover costs. By ranking funds on performance after costs, we find that the performance of the majority of funds can be attributed to "bad skill". The evidence is strongest in the top 95th percentile and above, and from the bottom 10th percentile and below.
  • 其他摘要:This study uses monthly net return data on 27 actively managed faith based mutual funds and the latest Fama-French bootstrap methodology to distinguish between luck and skill of fund managers. The main benchmark of this study is the Carhart (1997) four-factor model. The evidence suggests that majority of fund managers do not have enough skill to produce expected benchmark-adjusted net returns that cover costs. By ranking funds on performance after costs, we find that the performance of the majority of funds can be attributed to "bad skill". The evidence is strongest in the top 95th percentile and above, and from the bottom 10th percentile and below.
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