Mutual fund performance against the S&P 500 Index in the most recent bull and bear markets (1997--2002).

摘要

The purpose of this study was to extend mutual fund performance research to the latest bear and bull markets for the ten largest mutual funds in asset size as of December 2002. They were compared to the average quarterly returns of the Standard and Poors 500 Index. Using Analysis of variance (ANOVA), performance of this study's mutual funds was/was not found to be consistent with the literature. A test of means among the January 1997 to December 1999 Bull Market period was conducted against the S&P 500 Index. The Bear Market Period tested was January 2000 to December 2002.; The means of the ten largest mutual funds in asset size for the period 1993 to 2002 also were compared to the Sharpe, Treynor Ratios and the Jensen Intercept to the quarterly returns of the S&P 500 Index. The Sharpe Ratio measures the total risk of the portfolio based on the relevant standard deviation of returns of a fund using systematic risk. It evaluates the portfolio manager on the basis of both return performance and diversification. The Treynor Ratio examines portfolio performance in relation to returns using a mutual funds beta coefficient. The Jensen Intercept measures the ability of active fund management to increase returns above those that are purely a reward for bearing market risk. The results were tested to determine to be consistency with the literature. Statistical methods will be used to test the evidence against the null hypothesis. All information was obtained from Morningstar.com.