This paper assesses the performance of 355 actively managed Japanese Equity Mutual Funds between April 2011 and April 2016. The equal weight portfolio and Jensen’s alpha measures of active management provide strong evidence that Japanese Mutual Funds fail to outperform the benchmark...

Traditional measures of assessment of mutual fund performance (alpha) are based mostly on Capital Assets Pricing Model which presupposes fixed sensitivity of risk exposure of a fund to its market proxy (beta). However, changing economic conditions will alter this relationship. In conditional...

This study aims to measure the performance of actively-managed Saudi Arabia mutual funds during the COVID-19 outbreak and examines the potential impact of COVID-19 growth on the measured performance. The authors apply the Fama and French five-factor model to measure the risk-adjusted performance...