Assessing the performance of greek mutual funds over the crisis period
SubjectΔιαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Μετοχές -- Τιμές -- Μαθηματικά μοντέλα ; Αγορά χρήματος ; Χρηματοοικονομική ανάλυση ; Ελλάδα -- Οικονομικές συνθήκες -- 21ος αιώνας
This paper attempts to evaluate the performance of Greek mutual funds during the period of July 2002- June 2010. We then split this period into 2 shorter ones: the first (2002-2007) is considered a bull market or close to it while the second (2007¬2010) covers the global financial crisis and marks the beginning of the Euro zone debt crisis. We do this in order to identify managers who achieved significant abnormal returns both in the whole test period and the two sub periods. The models employed are the Sharpe and Information ratio, Jensen's alpha, the Fama-French model and the Fama-French-Carhart model. Only one fund manager is found to generate significant positive abnormal returns in the period tested. No fund manages to realize significant increase in their alpha in the second period when the market return was considerably low. Furthermore, four funds are found to possess timing ability through the whole period. Lastly, we document evidence of some performance persistence among the 28 funds tested.