Measuring the Mutual Fund Industry Risk Management and Performance Sustainability - Quantile Regression Model
AbstractWe apply the Quantile Regression Model to observe the rankcorrelation between bond fund performance and asset,volatility, management fee, Sharpe index and show that fundperformance between volatility as a negative significantrelationship, implied extreme values have been generated riskcoefficient and fund performance change relations. Theextreme value of the display the risk coefficient fundperformance has changed the relationship, show that enhancethe risk coefficient, resulting in lower fund performance, tellsus that the mutual fund industry pursuit of short-term fundperformance through operating the transition risks lever, butcannot afford a long-term test of the market. Finally, werecommend that the mutual fund industry needs to strengthenrisk management professional and pursuit of performanceSustainability.
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Bibliographic InfoArticle provided by Asian Economic and Social Society in its journal Journal of Asian Business Strategy.
Volume (Year): 3 (2013)
Issue (Month): 4 (April)
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Equity fund; PSTR model; volatility; fund performance;
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