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The Relative Importance of Investment Policy and Active Management in Explaining Canadian Mutual Fund Return Variations and Performance

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The Relative Importance of Investment Policy and Active Management in Explaining Canadian Mutual Fund Return Variations and Performance

Li, Yang (2014) The Relative Importance of Investment Policy and Active Management in Explaining Canadian Mutual Fund Return Variations and Performance. Masters thesis, Concordia University.

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Abstract

Three main factors affect mutual fund returns; namely, market movements, investment policy, and active management. In this thesis, we use fifteen years of data to examine each factor’s role in explaining return variations for Canadian balanced and equity funds, and their performances relative to their respective policy benchmarks. We find that active management plays a more important role in explaining both intra- and inter-fund return variations than investment policy after controlling for market effects, and that there is an incremental effect on the importance of active management if we add the constraint of no short selling to policy return portfolios. We also find that active management does not outperform the policy benchmark after controlling for fund size and risk.

Divisions:Concordia University > John Molson School of Business > Finance
Item Type:Thesis (Masters)
Authors:Li, Yang
Institution:Concordia University
Degree Name:M. Sc.
Program:Administration (Finance option)
Date:December 2014
Thesis Supervisor(s):Kryzanowski, Lawrence
ID Code:980004
Deposited By: YANG LI
Deposited On:13 Jul 2015 16:22
Last Modified:18 Jan 2018 17:50

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