Assessing Portfolio Performance Measures using Fund Flows Restricted; Files Only

Chen, Zhuangyi (Spring 2019)

Permanent URL: https://etd.library.emory.edu/concern/etds/ns064692q?locale=en
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Abstract

There exists a wide range of portfolio performance measures for investors to assess mutual fund’s managerial skills. My main research question is about investigating the main performance measure in which investors put heaviest weights on in their investment decisions. By conducting a model horse race analysis to test how sensitive the mutual fund flow is toward each competing measure, I assess the most commonly used portfolio performance measures in the literature. Consistent with previous studies, results indicate that CAPM alpha is the best predictor for fund flows, suggesting that investors tend to put most weights on it. In addition, performance measures incorporating fewer factors can also better explain the variation in fund flows.

Table of Contents

Section 1: Introduction………………………………………….1

Section 2: Literature Review……………………………………3

Section 3: Data and Methodology………………………………5

Section 4: Results………………………….................................10

Section 5: Conclusion………………………...............................12

Appendix……………………………………..............................14

Table 1: Summary Statistics…………………………………….14

Table 2: Correlation between Performance Measures…………..15

Table 3: Results of Pairwise Model Horse Race………………..16

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