Evaluating Mutual Funds Styles and Performance

3 Pages Posted: 19 Dec 2003

See all articles by Kent L. Womack

Kent L. Womack

University of Toronto - Rotman School of Management (Deceased)

Ying Zhang

affiliation not provided to SSRN

Abstract

Mutual fund performance evaluation in its simplest form in a first-year MBA investments course can be thought of as examining the residual alpha of a fund after controlling for multiple beta risks. This empirical exercise, which may be used with the teaching note, Understanding Risk and Return, the CAPM, and the Fama-French Three-Factor Model, allows students to apply their understanding of multi-factor models to a typical real-world investment problem. The case is accessible for students that have a basic understanding of multiple regression.

Suggested Citation

Womack, Kent L. and Zhang, Ying, Evaluating Mutual Funds Styles and Performance. Tuck Case No. 03-112. Available at SSRN: https://ssrn.com/abstract=481882

Kent L. Womack (Contact Author)

University of Toronto - Rotman School of Management (Deceased)

Ying Zhang

affiliation not provided to SSRN ( email )

No Address Available

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