Measuring the Mutual Fund Industry Risk Management and Performance Sustainability - Quantile Regression Model
We 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.
Volume (Year): 3 (2013)
Issue (Month): 4 (April)
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References listed on IDEAS
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- Ling Hu, 2006. "Dependence patterns across financial markets: a mixed copula approach," Applied Financial Economics, Taylor & Francis Journals, vol. 16(10), pages 717-729.
- Detzler, Miranda Lam, 1999. "The performance of global bond mutual funds," Journal of Banking & Finance, Elsevier, vol. 23(8), pages 1195-1217, August.
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- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
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- Matthew R. Morey & Edward S. O'Neal, 2006. "Window Dressing In Bond Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 29(3), pages 325-347.
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