Informational Linkages on Actively Managed Funds

Kód projektu
Období řešení
1/2022 - 12/2022
Investor / Programový rámec / typ projektu
Masarykova univerzita
Fakulta / Pracoviště MU
Ekonomicko-správní fakulta

In these times of globalization and the current global financial crisis with its complex and nearly incomprehensible entanglements of various structures and its huge effect on seemingly unrelated institutions and organizations, the need to understand large networks, their complex structures, and the processes governing them is becoming more and more important (Lerner, Wagner, & K.A.).

In this study, network theory or topology will be applied on mutual funds’ performance measures with special focus on Conditional expected value (alpha) to derive empirical results. Network topology is essential in finding the herd behaviour, informational linkages, and the characteristics of actively managed funds. It also has the potential to improve predictions on funds’ performance. The basic problem considered is that of interconnecting a given set of terminals with a shortest possible network of direct links (Prim, 1957). This can help new investors who are looking for investment advice as it reveals the similarity between investment pattern of various actively managed funds (Chakkingal, Vidyaraj, & Satheesh, 2015). It contributes to the debate of the fund managers’ ability to generate significant risk-adjusted excess returns

Contribution and relevance of the study to academia and to the investment community is to inform action, truths, loopholes, opportunities in the areas of actively managed funds industry’s short, medium, and long-term policymaking and implementations.

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