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On Luck versus Skill in Fund Performance: Does Style Matter?

Mason, A, Agyei-Ampomah, S, Clare, A and Thomas, S On Luck versus Skill in Fund Performance: Does Style Matter? In: Annual Meeting of the Southern Finance Association 2013, 2013-11-20 - 2013-11-23, Puerto Rico.

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Abstract

We use a range of performance measures and a style-based approach to examine whether the degree of luck and skill in fund performance varies across investment styles. Using a sample of U.S. equity funds, for the period 1990-2011, we find that different segments of the market, ranging from large-cap growth to small-cap value, exhibit different levels of skill and luck when measured against different benchmarks. Our results also show that the use of standard multi-factor models underestimates managerial ability and overstates the proportion of funds whose abnormal performance can be attributed to chance rather than to skill, when compared against the use of style-consistent practitioner benchmarks. We also find that a single factor model that uses Russell Benchmark indices consistent with the style orientation of funds and market practice provides a parsimonious way of accounting for the risks in style and size tilts.

Item Type: Conference or Workshop Item (Conference Paper)
Divisions : Faculty of Arts and Social Sciences
Authors :
AuthorsEmailORCID
Mason, AUNSPECIFIEDUNSPECIFIED
Agyei-Ampomah, SUNSPECIFIEDUNSPECIFIED
Clare, AUNSPECIFIEDUNSPECIFIED
Thomas, SUNSPECIFIEDUNSPECIFIED
Additional Information : http://www.southernfinance.org/
Depositing User : Symplectic Elements
Date Deposited : 10 Feb 2015 11:20
Last Modified : 27 May 2016 16:08
URI: http://epubs.surrey.ac.uk/id/eprint/805119

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