Risk Adjusted Return Sample Clauses

Risk Adjusted Return. In order to further compare the performance among different classes of mutual funds, we calculate the risk adjusted return based on a four-factor model as proposed in Xxxxxxx (1997). The models use the regression framework below: Rit − Rft = ai + bi(RMt − Rft) + siSMBt + hiHMLt + miMOMt + eit. In this regression, Rit is the return on fund i for month t, Rft is the risk-free rate (the one month U.S. Treasury xxxx rate), RMt is the market return (the return on a VW portfolio of NYSE, Amex, and NASDAQ stocks), SMBt and HMLt are the size and value factors as in Fama and French (1993), MOMt is Xxxxxxx’x (1997) momentum factor, ai is the average return left unexplained by the benchmark model, and eit is the regression residual. Table 7 provides the summary statistics for all of the factors used in the regression and Table 8 shows the regression results. Overall, mutual funds do tilt their investments more toward stocks that match their stated ob- jectives. Aggressive funds have more exposure to all risk factors. It is well-known that aggressive funds tilt toward small capitalization, low book-to-market, and momentum stocks, while the opposite holds true for income funds. For each fund i, the risk-adjusted return is calculated as: αˆit = Rit − βˆT Zt, where Ztis the value of factors at month t. We next conduct an analysis of the distributions of risk adjusted returns of the mutual funds. Table 9 shows the SD test results for risk adjusted returns based on the four-factor model. After controlling the market risk premium, size, value, and momentum factors, the risk adjusted returns of aggressive funds are dominated by all of the other three classes of mutual funds by second order stochastic dominance. In addition, the risk adjusted returns of growth & income funds dominate all of the other three classes of mutual funds by second order stochastic dominance.
Sample 1
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Related to Risk Adjusted Return

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