• Graduate Program
    • Why study Business Data Science?
    • Program outline
    • Courses
    • Course registration
    • Admissions
    • Facilities
      • Student Offices
      • Location
      • Housing
      • Student Council
  • Research
  • News
  • Events
    • Events Calendar
    • Events archive
    • Summer School
      • Deep Learning
      • Econometrics and Data Science Methods for Business and Economics and Finance
      • Foundations of Data Analysis and Machine Learning in Python
      • Introduction to Genome-Wide Data Analysis
      • Tinbergen Institute Summer School Program
  • Summer School
  • Alumni
Home | Events Archive | Return Horizon and Mutual Fund Performance

Return Horizon and Mutual Fund Performance

  • Speakers
    Hendrik Bessembinder (Arizona State University, United States)
  • Field
  • Date and time

    September 16, 2021
    18:00 - 19:15

This seminar is part of the CIFRA UvA Finance Seminars series of Amsterdam Business School, University of Amsterdam. See more info on: https://abs.uva.nl/.

Measures of investment performance depend on the horizon over which returns are assessed. While 47% of U.S. equity mutual fund returns exceed matched-month SPY ETF returns, only 29% of the funds outperform the SPY in terms of compound returns over the full 1991-2018 sample period. More important, alpha, the canonical measure of mean return after allowing for systematic (beta) risk, depends on return horizon, because beta depends on horizon. Compared to a benchmark of 41% estimated in monthly returns, the percentage of mutual funds with positive alpha estimates against the SPY decreases to 21% (increases to 46%) at the decade return horizon for funds with high (low) estimated monthly market betas. Alphas estimated from short-horizon (e.g. monthly) returns may be uninformative or even misleading regarding fund performance for investors with longer horizons.*

*Co-authored with M.J. Cooper (University of Utah) and F. Zhang (University of Utah)

This seminar will be organised via Zoom. If you are interested in joining this seminar, please send an email to the secretariat of the Finance Group.