Measurement of Alpha coefficient of Bulgarian high-yield mutual funds
Abstract
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.References
2. Fama, E. et al (1969) The Adjustment of Stock Prices to New Information. International Economic Review, 10 (1), p. 1-21
3. 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
4. Jensen, M. (1967) The Performance of Mutual Funds in the Period 1945-1964. Journal of Finance, 23, p. 389-416
5. Malkiel, B. (1973) A Random Walk Down Wall Street: The Time-tested Strategy for Successful Investing. New York, Norton
6. Malkiel, B. (1995) Returns from investing in equity mutual funds from 1971 to 1991. Journal of Finance,50 (2), 549-572
7. Malkiel, B. (2003) Passive Investment Strategies and Efficient Markets. European Financial Management, 9 (1), p. 1-10
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
By submitting a paper for publishing the authors hereby comply with the following provisions: 1. The authors retain the copyrights and only give the journal the right for first publication while licensing the work under Creative Commons Attribution License, which grants permissions to others to share the contribution citing this journal as first publication of the text. 2. The authors may enter separate, additional contractual relations for non-exclusive distribution of the published version of the work in this journal (e.g. to upload it in an institutional depository, or to be published in a book), given that they cite the first publication in this journal. 3. The authors are allowed and are encouraged to publish their works online (e.g. to upload it in an institutional depository, personal websites, social networks, etc.) before, during, and after the submission of the paper here, because this may lead to productive exchange, as well as earlier and larger referencing of the published works (see The Effect of Open Access).
