Abstract

http://ssrn.com/abstract=2007132
 
 

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Do Absolute Return Mutual Funds Have Absolute Returns?


Bradford D. Jordan


University of Kentucky - Gatton College of Business and Economics

Christopher P. Clifford


University of Kentucky

Timothy B. Riley


U.S. Securities and Exchange Commission - Division of Economic and Risk Analysis

July 6, 2012

Journal of Investing, 22 (4), 2013, 23-40

Abstract:     
We study the universe of absolute return mutual funds and find no evidence they deliver positive alpha. Additionally, these funds can have significant factor exposures. Compared to ordinary equity funds, absolute return funds have much higher fees and turnover. They perform worse than their hedge fund counterparts. Overall, our results indicate that investors seeking absolute returns using mutual funds are likely to be disappointed.

Keywords: Absolute Returns, Market Neutral, Alpha, Mutual Funds, Low Volatility

Accepted Paper Series





Not Available For Download

Date posted: February 18, 2012 ; Last revised: November 29, 2013

Suggested Citation

Jordan, Bradford D. and Clifford, Christopher P. and Riley, Timothy B., Do Absolute Return Mutual Funds Have Absolute Returns? (July 6, 2012). Journal of Investing, 22 (4), 2013, 23-40. Available at SSRN: http://ssrn.com/abstract=2007132 or http://dx.doi.org/10.2139/ssrn.2007132

Contact Information

Bradford D. Jordan
University of Kentucky - Gatton College of Business and Economics ( email )
Lexington, KY 40506
United States
859-257-4887 (Phone)
859-257-9688 (Fax)
Christopher P. Clifford
University of Kentucky ( email )
College of Business & Economics
Lexington, KY 40506-0034
United States
859-257-3850 (Phone)
Timothy Brandon Riley (Contact Author)
U.S. Securities and Exchange Commission - Division of Economic and Risk Analysis ( email )
U.S. Securities and Exchange Commission
100 F Street, NE
Washington, DC 20549
United States
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