Evidence on the Performance of Infrastructure Mutual Fund

Posted: 19 Feb 2020

See all articles by Manel Kammoun

Manel Kammoun

Université du Quebec en Outaouais (UQO)

Djerry C. Tandja M.

Université du Québec en Outaouais

Date Written: January 23, 2020

Abstract

This paper investigates, empirically, whether infrastructure-focused mutual funds provide superior performance (higher alphas) than their comparable equity mutual funds not investing in infrastructure. Using monthly returns on U.S. equity mutual funds, the “best clientele performance measure” developed by Chrétien and Kammoun (2017) and the generalized method of moments (GMM) estimation, we find that infrastructure-focused mutual funds have higher alphas (higher best clientele alphas) than their comparable not investing in infrastructure. Our results support the growing belief that infrastructure-focused equity mutual funds are able to provide superior performance resulting from the financial characteristics of infrastructure. Furthermore, our results show also that the investor disagreement about the performance of infrastructure-focused equity mutual funds is not significantly different from that of their comparable not investing in infrastructure.

Keywords: Mutual funds, Best clientele alpha, Performance evaluation, Disagreement, Infrastructure

JEL Classification: G12, G23

Suggested Citation

Kammoun, Manel and Tandja M., Djerry C., Evidence on the Performance of Infrastructure Mutual Fund (January 23, 2020). Available at SSRN: https://ssrn.com/abstract=3524664

Manel Kammoun

Université du Quebec en Outaouais (UQO) ( email )

Case postale 1250
succursale Hull
Gatineau, Québec J8X 3X7
Canada

Djerry C. Tandja M. (Contact Author)

Université du Québec en Outaouais ( email )

Case postale 1250
succursale Hull
Gatineau, Québec J8X 3X7
Canada

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