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Do Absolute-Return Mutual Funds Have Absolute Returns?

Christopher Clifford, Bradford Jordan and Timothy Brandon Riley
The Journal of Investing Winter 2013, 22 (4) 23-40; DOI: https://doi.org/10.3905/joi.2013.22.4.023
Christopher Clifford
is an assistant professor of finance at the Gatton College of Business and Economics at the University of Kentucky in Lexington, KY.
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  • For correspondence: chris.clifford@uky.edu
Bradford Jordan
is the Richard W. and Janis H. Furst Endowed Chair in Finance at the University of Kentucky in Lexington, KY.
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  • For correspondence: bjordan@uky.edu
Timothy Brandon Riley
is a graduate student at the Gatton College of Business and Economics at the University of Kentucky in Lexington, KY.
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  • For correspondence: tim.riley@uky.edu
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Abstract

The authors study the universe of absolute-return mutual funds and find no evidence that they deliver positive alpha. Additionally, these funds can have significant factor exposures. Compared with ordinary equity funds, absolute-return funds have much higher fees and turnover. They perform worse than their hedge fund counterparts. Overall, the results indicate that investors seeking absolute returns using mutual funds are likely to be disappointed.

TOPICS: Mutual fund performance, analysis of individual factors/risk premia, performance measurement

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The Journal of Investing: 22 (4)
The Journal of Investing
Vol. 22, Issue 4
Winter 2013
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Do Absolute-Return Mutual Funds Have Absolute Returns?
Christopher Clifford, Bradford Jordan, Timothy Brandon Riley
The Journal of Investing Nov 2013, 22 (4) 23-40; DOI: 10.3905/joi.2013.22.4.023

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Do Absolute-Return Mutual Funds Have Absolute Returns?
Christopher Clifford, Bradford Jordan, Timothy Brandon Riley
The Journal of Investing Nov 2013, 22 (4) 23-40; DOI: 10.3905/joi.2013.22.4.023
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  • Article
    • Abstract
    • BACKGROUND
    • IDENTIFYING ABSOLUTE-RETURN FUNDS
    • CHARACTERISTICS OF ABSOLUTE-RETURN FUNDS
    • DO ABSOLUTE-RETURN FUNDS CREATE ALPHA?
    • CAN LARGE FEES EXPLAIN THE LACK OF ALPHA?
    • HOW DO ABSOLUTE-RETURN MUTUAL FUNDS COMPARE TO MARKET-NEUTRAL HEDGE FUNDS?
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
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