The Performance of Actively and Passively Managed Swiss Equity Funds

Artikel

Using a Switzerland-specific Carhart (1997) model, we study the risk-adjusted performance of actively and passively managed mutual funds investing in Swiss stocks from 1989 to 2007. We also compare the performance of actively managed funds to passively managed funds instead of comparing them to a theoretical index. For a sample of 160 funds with 13’672 monthly observations we find that active as well as passive funds significantly underperform indices on an aggregated basis. However, active large-cap funds significantly underperform and active Small-&Mid-Cap-funds significantly outperform the index. Further, we find that the average manager of an active Swiss equity fund systematically overweights small-cap, value, and low-momentum stocks. When directly comparing active to passive funds, active funds significantly underperform by -1.1% p.a. on average. While active institutional funds can almost keep up with the performance of passive funds, active retail funds cannot and drive the substantial underperformance observed for active funds. Finally, active funds perform better before the millennium than thereafter. This robust result supports the hypothesis of ongoing efficiency increases in the Swiss stock market.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Swiss Journal of Economics and Statistics ; ISSN: 2235-6282 ; Volume: 145 ; Year: 2009 ; Issue: 1 ; Pages: 1-36 ; Heidelberg: Springer

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading
• Thema: Mutual Funds ; Index Funds ; Carhart ; Performance ; Switzerland

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Ammann, Manuel ; Steiner, Michael
• Ereignis: Veröffentlichung
• (wer): Springer
• (wo): Heidelberg
• (wann): 2009

Weitere Informationen

• DOI: doi:10.1007/BF03399273
• Handle: http://hdl.handle.net/10419/185907
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ