Investment performance in actively managed UK equity funds: evidence of market timing and stock picking skills

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dc.contributor.advisorQiu, J.
dc.contributor.authorHennequin, Victor
dc.date.issued2019-08-13
dc.description.abstractThe objective of this paper is the measurement of investment performance among actively managed equity funds in the United Kingdom. I am particularly interested in searching for evidence of market timing and stock picking skills. The research uses monthly data and considers 223 surviving and non-surviving UK equity funds between May 1988 and May 2019. The analysis suggests that on a gross basis equity funds have successful stock picking skills while market timing skills are mostly detrimental to funds’ overall performance. The analysis also investigates the phenomenon of performance persistence and show that funds that have historically performed poorly are more likely to keep on relatively underperformed other funds. The relationship is stronger than for good performing funds. Keywords: Mutual Funds, Performance Measurement, Stock Picking, Market Timing, Jensen’s Alpha, Treynor-Mazuy, Henriksson-Mertonen_US
dc.identifier.urihttps://theses.ubn.ru.nl/handle/123456789/8375
dc.language.isonlen_US
dc.thesis.facultyFaculteit der Managementwetenschappenen_US
dc.thesis.specialisationFinancial Economicsen_US
dc.thesis.studyprogrammeMaster Economicsen_US
dc.thesis.typeMasteren_US
dc.titleInvestment performance in actively managed UK equity funds: evidence of market timing and stock picking skillsen_US
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