Andre de Souza
School of Business, Fordham University
1790 Broadway, Suite 1327
New York, NY 10023
NBER Working Papers and Publications
|June 2012||Does Mutual Fund Performance Vary over the Business Cycle?|
with Anthony W. Lynch: w18137
We develop a new methodology that allows conditional performance to be a function of information available at the start of the performance period but does not make assumptions about the behavior of the conditional betas. We use econometric techniques developed by Lynch and Wachter (2011) that use all available factor return, instrument, and mutual fund data, and so allow us to produce more precise parameter estimates than those obtained from the usual GMM estimation. We use our SDF-based method to assess the conditional performance of fund styles in the CRSP mutual fund data set, and are careful to condition only on information available to investors, and to control for any cyclical performance by the underlying stocks held by the various fund styles. Moskowitz (2000) suggests that mutual ...