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- Title
Mutual fund performance attribution: 1994-2005.
- Authors
Brooks, LeRoy D.; Porter, Gary E.
- Abstract
We examine the performance of nearly 2000 actively managed equity funds using attribution analysis, a process commonly used by mutual funds to isolate management contributions from the sector allocation and stock selection components of fund returns. For the period 1994 through 2005 we show that, on average, potential gains from sector allocation were offset by poor stock selection. However, equity managers excelled at sector allocation and stock selection during the bear market of 2000-2002. Over the 12-year sample period, returns from actively managed funds dominated returns from passive portfolios with less risk, primarily because of their performance during the bear market.
- Publication
Financial Services Review, 2012, Vol 21, Issue 3, p259
- ISSN
1057-0810
- Publication type
Academic Journal