dessertation

Fund performance evaluation

Suggested Research Objective/Question The main objective of this project is to evaluate the performance of professional asset management firms such as mutual funds and/or hedge funds. The project can apply either traditional econometric approaches (fundlevel OLS regressions) or novel techniques (e.g., bootstrap analysis or Bayesian econometrics) in order to separate luck from skill in fund return data, estimate the cross-sectional distribution of skill in the industry and/or the proportions of skilled/unskilled funds. Secondarily, this project could also examine the relationship between fund skill and specific fund characteristics such as fund flows, fees, investment style and/or manager characteristics.

Suggested Data

. Hedge fund returns and fund characteristics from Thomson Reuters (Lipper), available at WRDS.