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Korean Journal of Financial Studies 2013;42(3):529-553.
Published online June 30, 2013.
Mutual Fund Performance Evaluation Based on the Betas of Fund`s Individual Items
Mun Kyung Cheong, Hyun Soo Kim, Hyun Mo Sung
펀드 내 개별종목의 베타를 이용한 공모펀드의 성과평가 분석
정문경, 김현수, 성현모
Abstract
Widely used mutual fund performance evaluation measures by Jensen (1968), Fama and French (1993), and Carhart (1997) (Top-Down approach) have a problem of not considering time variability of betas during the estimation period and thus, not measuring fund managers` performance correctly. To correct this problem, Elton, Gruber, and Blake (EGB, 2011, 2012) develop a performance evaluation measure based on the betas of fund`s individual items and their portfolio weights in mutual funds (Bottom-Up approach). In this study, we evaluate performances (selection capability, prediction capability, and market timing capability) of publicly traded domestic mutual funds by using EGB performance measure. First, we measure alphas based on Bottom-Up and Top-Down approaches by using 3 factor model and 4 factor model and find that Bottom-Up alphas are generally higher than Top-Down alphas by about 0~2%. We also find that main differences between them happen in the upper level performances. EGB (2011) report that if past fund performance is measured by Bottom-Up approach, it can select superior funds in the future no matter how the future performance is measured, whether by Top-Down approach or Bottom-Up approach. However, we do not find a similar result in this study. Finally, we measure the EGB (2012) market timing measures for our mutual fund data and find that publicly traded mutual fund managers do not do market timing to firm size factor, value/growth factor, and momentum factor.
Key Words: 공모펀드,마켓타이밍,성과평가지표,Bottom-Up 방식,Bottom-Up Approach,Market Timing,Performance Evaluation Measure,Publicly Traded Mutual Funds,Top-Down 방식,Top-Down Approach
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