期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2020
卷号：12
期号：11
页码：21
DOI：10.5539/ijef.v12n11p21
出版社：Canadian Center of Science and Education
摘要：Actively managed funds try to outperform by deviating from passive benchmarks such as the S&P 500, leading to imperfect diversification and higher idiosyncratic volatility. The idiosyncratic volatility imposes an additional cost to the shareholders. In this study, using data of all the closed-end mutual funds listed with Dhaka Stock Exchange (DSE) from 2012 to 2019, I have attempted to quantify this higher idiosyncratic volatility as an additional expense on the portfolio and then estimate true expense ratio and true net alpha of the actively managed funds as a new measure for imperfect portfolio diversification. The study finds that mean volatility cost of the funds is 1.42% which is on an average around 89% of the explicit expense ratio and the findings that volatility costs are not strongly correlated with other performance measures such as Sharpe, Treynor or information ratios provides additional information about the fund performance. Moreover, when volatility cost is adjusted to traditional Jensen alpha measure to find a true net alpha of the funds, rankings of the funds significantly change and two alpha measures are not strongly positively correlated, suggesting new information about the fund performance.
