Measurement of Alpha coefficient of Bulgarian high-yield mutual funds

Georgi Kaloferov

Анотация


The analysis aims to examine whether the Bulgarian high-yield mutual funds, respectively their managers, are able to perform better than the most liquid market index (considered by the author as a benchmark) in Bulgaria - SOFIX. Secondary objective of the analysis is to show whether the active investment strategies are preferable to passive ones. The measure, which was used to determine the performance of management companies is Alpha coefficient. 39 investment companies that are members of the Bulgarian Association of Asset Management Companies are the object of the analysis.

Ключови думи


alpha; mutual funds; high-yield; SOFIX; active strategies

Източници


Barber, B. and Odean, T. (2000) Trading is Hazardous To Your Wealth: The common Stock Investment Performance of Individual Investors. The journal of Finance, 55 (2), p. 773-806

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Ferruz, L. and Vargas, M. (2007) A Bet on Passive Investment Strategies. The International Journal of Applied Economics and Finance, 1 (2), p. 67-68

Jensen, M. (1967) The Performance of Mutual Funds in the Period 1945-1964. Journal of Finance, 23, p. 389-416

Malkiel, B. (1973) A Random Walk Down Wall Street: The Time-tested Strategy for Successful Investing. New York, Norton

Malkiel, B. (1995) Returns from investing in equity mutual funds from 1971 to 1991. Journal of Finance,50 (2), 549-572

Malkiel, B. (2003) Passive Investment Strategies and Efficient Markets. European Financial Management, 9 (1), p. 1-10




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