Control of Luck in Measuring Investment Fund Performance

초록

This paper applies an efficient method for Korean investment funds that controls luck in fund performance measurement and classification. Unlike the case of US mutual funds, a large proportion of Korean investment funds are estimated to be skilled funds. Furthermore, the Korean investment fund industry does not show a conspicuous pattern of decline in the proportion of skilled funds over time as shown by its US counterpart. Other issues around fund performance measurement such as fund fees, efficient fund portfolio selection, and the choice of the asset pricing model are also addressed. Finally, we propose to measure fund performance on a relative basis.

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