Title: Robust funds performance evaluation
Authors: Spyridon Vrontos - University of Essex (United Kingdom) [presenting]
Abstract: One of the most controversial questions arising in fund management is whether fund managers create additional value to the funds under their management and if they are able to deliver superior performance when compared with the market. The recent Financial Crisis of 2007-2009 has revived the interest in this area since the majority of the funds experienced significant losses during the crisis period. We consider different classes of robust regression models that are designed to capture the special characteristics of funds returns. In this way we examine the existence or not of fund managerial skill and if the high fees are justified by their performance.