Financial Analytics: Science and Experience

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Financial Analytics: Science and Experience

47(137) - 2012 December

Use of multifactor models for estimation mutual fund's performance

Vol. 5, Iss. 47, DECEMBER 2012

Available online: 18 December 2012

Subject Heading: Stock market

JEL Classification:

Aistov A.V. PhD of Physical and Mathematical Sciences, Associate Professor of department "Economic Theory and Econometrics", the National Research University - the Higher School of Economics in Nizhny Novgorod
aaistov@hse.ru

Kuzmichev K.E. Lecturer of department "Financial management", the National Research University - the Higher School of Economics in Nizhny Novgorod
kkuzmitchev@hse.ru

Authors show the extent of influence of market risk factor from CAPM, size and growth factors from 3-factor Fama - French model and momentum factor from 4-factor Fama - French - Carhart model on mutual funds' performance.

Keywords: mutual fund, CAPM, asset allocation efficiency

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ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

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