Statistical behavioral analysis of Greek mutual funds
In the current study, we collected data from a total of 30 funds, 10 of each different category of the existing categories, including money market funds, bond funds, and equity funds. By using the Sharpe and Treynor indexes, we try to evaluate the performance of each fund and by using the Treynor and Mazuy Model, we evaluate the selectivity and time marketing skills of mutual fund managers. While most of the current literature uses this model to examine the ability of each fund manager separately, by making use of panel regression we evaluate the general ability of the managers for each mutual fund category. Finally, by making use of linear regression, we examine the correlation between the returns of the three kind of funds we chose as well as the degree to which the market index, which was selected, affects the returns of the funds. We extensively analyze the market of mutual funds as well as their evolution in time not only for the global market but for the Greek market as well. We carefully examine the different types of mutual funds, their advantages and disadvantages and the way in which the mutual fund market works in Greece. Furthermore, we conduct a literature review to point out the conclusions of current literature regarding the question which we investigate and we analyze in detail the portfolio theory and assets evaluation theory in order to understand the process which is used to assess the performance of mutual funds’ portfolios. Finally, after extensively analyzing the techniques that are used in the current thesis we present the results of our study.