Assessing the Performance and Risk-Adjusted Returns of Financial Mutual Funds

Authors

Davinder Malhotra, Thomas Jefferson UniversityFollow
Timothy Mooney, Thomas Jefferson UniversityFollow
Raymond Poteau, Thomas Jefferson UniversityFollow
Philip Russel, Thomas Jefferson UniversityFollow

Document Type

Article

Publication Date

11-9-2023

Comments

This article is the author's final published version in International Journal of Financial Studies, Volume 11, Issue 4, 2023, Article number 136.

The published version is available at https://doi.org/10.3390/ijfs11040136.

Copyright © 2023 by the authors.

Abstract

In this study, we provide a comprehensive examination of the performance of financial (specialty sector financial) mutual funds over a 23-year period, a much longer time frame than what has been analyzed in previous literature. To fully understand the performance of these mutual funds, we consider multiple factors, including risk-adjusted performance, both unconditional and conditional multifactor analysis, and market timing and selectivity. Financial mutual funds have higher risk-adjusted performance than the overall market and financial sector benchmarks. However, fund alphas are not different from zero, and managers do not exhibit market timing or security selection abilities. Our analysis not only includes the overall performance of these mutual funds, but we also delve into sub-samples before and after the 2008 financial crisis and during the recent Coronavirus pandemic.

Recommended Citation

Malhotra, Davinder; Mooney, Timothy; Poteau, Raymond; and Russel, Philip, "Assessing the Performance and Risk-Adjusted Returns of Financial Mutual Funds" (2023). School of Business Faculty Papers. Paper 4.
https://jdc.jefferson.edu/sbfp/4

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 License.

Language

English