Artikel

The determinants of the performance of precious metal mutual funds

The aim of this paper is to assess the efficiency of a set of 62 precious metal mutual funds (PMMFs) and to explain performance differences between funds using weighted additive data envelopment analysis (DEA) and Tobit regression, respectively. The contribution of this paper is twofold: to provide for the first-time metrics of the relative performance of PMMFs using a particular weighted additive model, namely the range-adjusted measure (RAM), and to explain the performance of the funds by the use of a Tobit model. Results do not suggest positive linkages between RAM-based and standard fund performance metrics (Sharpe ratio and Jensen's alpha). Moreover, for the sample inefficient funds the mean–variance performance hypothesis does not hold. In addition, fund performance based on RAM can be explained by the persistence of the fund and the beta coefficient.

Language
Englisch

Bibliographic citation
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 13 ; Year: 2020 ; Issue: 11 ; Pages: 1-10 ; Basel: MDPI

Classification
Wirtschaft
Subject
data envelopment analysis
efficiency
precious metal mutual funds
tobit regression

Event
Geistige Schöpfung
(who)
Tsolas, Ioannis E.
Event
Veröffentlichung
(who)
MDPI
(where)
Basel
(when)
2020

DOI
doi:10.3390/jrfm13110286
Handle
Last update
10.03.2025, 11:43 AM CET

Data provider

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Object type

  • Artikel

Associated

  • Tsolas, Ioannis E.
  • MDPI

Time of origin

  • 2020

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