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File name: SSRN-id2101797. ; Size: 795K
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Do Absolute Return Mutual Funds Earn Absolute Returns?
Bradford D. Jordan
University of Kentucky - Gatton College of Business and Economics
Christopher P. Clifford
University of Kentucky
Timothy B. Riley
University of Kentucky
July 6, 2012
Journal of Investing, Forthcoming
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.
Number of Pages in PDF File: 33
Keywords: Absolute Returns, Market Neutral, Alpha, Mutual Funds, Low Volatility
Accepted Paper Series
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Date posted: February 18, 2012
; Last revised: December 11, 2012
Suggested CitationJordan, Bradford D., Clifford, Christopher P. and Riley, Timothy B., Do Absolute Return Mutual Funds Earn Absolute Returns? (July 6, 2012). Journal of Investing, Forthcoming. Available at SSRN: http://ssrn.com/abstract=2007132 or http://dx.doi.org/10.2139/ssrn.2007132
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