Abstract

http://ssrn.com/abstract=2141460
 


 



Capitalizing on the Greatest Anomaly in Finance with Mutual Funds


David Nanigian


The American College

December 27, 2013


Abstract:     
Contrary to the predictions of CAPM, empirical research has shown that investing in low-beta stocks can improve the mean-variance efficiency of an investor’s portfolio. Through forming portfolios of mutual funds based on beta, I examine whether or not mutual fund investors can capitalize on this anomaly. I find that one investing in a portfolio of funds in the top quintile of beta can improve her excess returns by an average of 3.13% a year without increasing risk by holding a levered position in a portfolio of funds in the bottom quintile instead.

Number of Pages in PDF File: 46

Keywords: Mutual fund performance, low risk stocks, CAPM, market anomalies

JEL Classification: G11, G12, G23

working papers series





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Date posted: September 5, 2012 ; Last revised: December 28, 2013

Suggested Citation

Nanigian, David, Capitalizing on the Greatest Anomaly in Finance with Mutual Funds (December 27, 2013). Available at SSRN: http://ssrn.com/abstract=2141460 or http://dx.doi.org/10.2139/ssrn.2141460

Contact Information

David Nanigian (Contact Author)
The American College ( email )
270 South Bryn Mawr Avenue
Bryn Mawr, PA 19010
United States
610-526-1324 (Phone)
610-516-1359 (Fax)
HOME PAGE: http://www.theamericancollege.edu/why-us/faculty/david-nanigian-ph.d
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