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Performance of Canadian hybrid mutual funds

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  • Ayadi, Mohamed A.
  • Chaibi, Anis
  • Kryzanowski, Lawrence

Abstract

The risk-adjusted selectivity performance (alphas) of a comprehensive and survivorship-free sample of Canadian hybrid funds after (before) management-related costs is negative (neutral) and deteriorates when we control for fixed-income exposures and not for conditioning information. Fund performance is positively related with the asset allocation to Canadian Equity and with whether the fund family’s orientation is tilted more to equity or bond funds. Examination of funds in the tails of the performance distribution using the block-bootstrap method suggests that “good luck” explains the before and after costs outperformance of extreme right-tail funds and no fund possesses truly superior management skills.

Suggested Citation

  • Ayadi, Mohamed A. & Chaibi, Anis & Kryzanowski, Lawrence, 2016. "Performance of Canadian hybrid mutual funds," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 124-147.
    • Handle: RePEc:eee:ecofin:v:38:y:2016:i:c:p:124-147
    DOI: 10.1016/j.najef.2016.09.003
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    Cited by:

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    2. Katarzyna Perez & £ukasz Szymczyk, 2022. "Actual rate of the management fee in mutual funds of different styles," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 17(4), pages 969-1014, December.
    3. Nawazish Mirza & Jamila Abaidi Hasnaoui & Bushra Naqvi & Syed Kumail Abbas Rizvi, 2020. "The impact of human capital efficiency on Latin American mutual funds during Covid-19 outbreak," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 156(1), pages 1-7, December.
    4. Ayadi, Mohamed A. & Lazrak, Skander & Liao, Yusui & Welch, Robert, 2018. "Performance of fixed-income mutual funds with regime-switching models," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 217-231.

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    More about this item

    Keywords

    Performance measurement; Conditioning information; Hybrid funds; Bond indices; Block bootstrap;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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