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Performance of Canadian hybrid mutual funds
Affiliation:1. Department of Finance, Operations & Information Systems, Goodman School of Business, Brock University, St. Catharines, ON, Canada;2. Department of Finance, University of Sousse, Sousse, Tunisia;3. Department of Finance, John Molson School of Business, Concordia University, Montreal, QC, Canada;1. Goodman School of Business, Department of Finance, Operation and Information Systems, Brock University, Canada;2. College of Economics and Political Science, Department of Economics and Finance, Sultan Qaboos University, Oman;1. Department of Applied Economics, Fo Guang University, Yilan, Taiwan;2. Department of Economics, Feng Chia University, Taichung, Taiwan;3. Department of Leisure Management, Tungnan University, Taipei, Taiwan;1. School of Management, Beijing Normal University Zhuhai, No. 18, Jinfeng Road, Tangjiawan, Zhuhai City 519087, Guangdong Province, China;2. Department of Money and Banking, National Chengchi University, No. 64, Sec.2, ZhiNan Rd., Wenshan District, Taipei City 11605, Taiwan
Abstract:The risk-adjusted selectivity performance (alphas) of a comprehensive and survivorship-free sample of Canadian hybrid funds after (before) management-related costs is negative (neutral) and deteriorates when we control for fixed-income exposures and not for conditioning information. Fund performance is positively related with the asset allocation to Canadian Equity and with whether the fund family’s orientation is tilted more to equity or bond funds. Examination of funds in the tails of the performance distribution using the block-bootstrap method suggests that “good luck” explains the before and after costs outperformance of extreme right-tail funds and no fund possesses truly superior management skills.
Keywords:Performance measurement  Conditioning information  Hybrid funds  Bond indices  Block bootstrap
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