The Performance of Actively and Passively Managed Swiss Equity Funds
Using a Switzerland-specific Carhart (1997) model, we study the risk-adjusted performance of actively and passively managed mutual funds investing in Swiss stocks from 1989 to 2007. We also compare the performance of actively managed funds to passively managed funds instead of comparing them to a theoretical index. For a sample of 160 funds with 13’672 monthly observations we find that active as well as passive funds significantly underperform indices on an aggregated basis. However, active large-cap funds significantly underperform and active Small-&Mid-Cap-funds significantly outperform the index. Further, we find that the average manager of an active Swiss equity fund systematically overweights small-cap, value, and low-momentum stocks. When directly comparing active to passive funds, active funds significantly underperform by -1.1% p.a. on average. While active institutional funds can almost keep up with the performance of passive funds, active retail funds cannot and drive the substantial underperformance observed for active funds. Finally, active funds perform better before the millennium than thereafter. This robust result supports the hypothesis of ongoing efficiency increases in the Swiss stock market.
Volume (Year): 145 (2009)
Issue (Month): I (March)
|Contact details of provider:|| Postal: c/o SNB/BNS, Börsenstrasse 15, PO Box 2800, CH-8022 Zürich|
Phone: +41 (0)44 631 32 34
Fax: +41 (0)44 631 39 01
Web page: http://www.sjes.ch
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Tower, Edward & Reinker, Kenneth S., 2004.
"Index Fundamentalism Revisited,"
04-07, Duke University, Department of Economics.
- Deaves, Richard, 2004. "Data-conditioning biases, performance, persistence and flows: The case of Canadian equity funds," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 673-694, March.
- François-Serge LHABITANT, 2001. "On Swiss Timing and Selectivity: In the Quest of Alpha," FAME Research Paper Series rp27, International Center for Financial Asset Management and Engineering.
- Brown, Stephen J & Goetzmann, William N, 1995.
" Performance Persistence,"
Journal of Finance,
American Finance Association, vol. 50(2), pages 679-98, June.
- Grinblatt, Mark & Titman, Sheridan D, 1989.
"Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings,"
The Journal of Business,
University of Chicago Press, vol. 62(3), pages 393-416, July.
- Mark Grinblatt & Sheridan Titman, . "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," Rodney L. White Center for Financial Research Working Papers 23-88, Wharton School Rodney L. White Center for Financial Research.
- Russ Wermers, 2000. "Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses," Journal of Finance, American Finance Association, vol. 55(4), pages 1655-1703, 08.
- Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, 05.
- Burton G. Malkiel, 2003. "Passive Investment Strategies and Efficient Markets," European Financial Management, European Financial Management Association, vol. 9(1), pages 1-10.
- Roger Otten & Dennis Bams, 2002. "European Mutual Fund Performance," European Financial Management, European Financial Management Association, vol. 8(1), pages 75-101.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Malkiel, Burton G, 1995. " Returns from Investing in Equity Mutual Funds 1971 to 1991," Journal of Finance, American Finance Association, vol. 50(2), pages 549-72, June.
- Heinz Zimmermann & Claudia Zogg-Wetter, 1992. "Performance-Messung schweizerischer Aktienfonds: Markt-Timing und Selektivität," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 128(II), pages 133-160, June.
- Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Burton G. Malkiel, 2005. "Reflections on the Efficient Market Hypothesis: 30 Years Later," The Financial Review, Eastern Finance Association, vol. 40(1), pages 1-9, 02.
- Lehmann, Bruce N & Modest, David M, 1987. " Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," Journal of Finance, American Finance Association, vol. 42(2), pages 233-65, June.
- Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "Survivorship Bias and Mutual Fund Performance," Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1097-1120.
- Mark M. Carhart & Jennifer N. Carpenter & Anthony W. Lynch & David K. Musto, 2002. "Mutual Fund Survivorship," Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1439-1463.
- Manuel Ammann & Michael Steiner, 2008. "Risk Factors for the Swiss Stock Market," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(I), pages 1-35, March.
- Avramov, Doron & Wermers, Russ, 2006. "Investing in mutual funds when returns are predictable," Journal of Financial Economics, Elsevier, vol. 81(2), pages 339-377, August.
When requesting a correction, please mention this item's handle: RePEc:ses:arsjes:2009-i-1. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Steiner)
If references are entirely missing, you can add them using this form.