The determinants of the performance of precious metal mutual funds

Artikel

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

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

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: data envelopment analysis ; efficiency ; precious metal mutual funds ; tobit regression

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Tsolas, Ioannis E.
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2020

Weitere Informationen

• DOI: doi:10.3390/jrfm13110286
• Handle: http://hdl.handle.net/10419/239341
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ