Mutual fund systematic risk and performance for bull and bear market - An empirical examination in the US market
불 시장과 베어 시장에서 뮤츄얼펀드 체제적 위험과 실적 -미국 시장에 대한 실증분석
- 사회과학대학 경제학부
- Issue Date
- 서울대학교 대학원
- 학위논문 (석사)-- 서울대학교 대학원 : 경제학과 경제학전공, 2015. 8. 안동현.
- This paper analyses mutual fund systematic risk and performance for bull and bear market through one traditional extended single factor CAPM model and another multi-factorial model constructed by adding size risk, value risk, momentum risk factors. Our results show that US mutual fund market does not have successful timing ability of market risk and size risk, but success in timing value risk and momentum risk. Alpha performance is also valued in both bull market and bear market. In general, alpha performs better in bull market than bear market. Other notable findings are that relation between alpha performance and risk differential presents different features on different risk factors. Finally, we observe the relationship between risk and risk differential.