Evidence on the Performance of Infrastructure Mutual Fund

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