Are There Tournaments In Mutual Funds?

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Evidence regarding the tournament hypothesis are mixed. In this thesis, we conduct the tournament analysis once more and nd that both monthly and daily data sets provide no proof of tournament behaviour. However, there were tournaments in monthly data using a di erent time period from the one selected for this work. Further, we found that the presence of autocorrelation in data had no e ect on tournament results. We also saw that sorting bias, which is as a result of rst-half risk sorting after mid-year performance ranking, produced evidence of tournaments. This is due to mean reversion of the sorted risk levels and the incidence was closely linked to the bear and bull market periods.

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MSc in Finance

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Mutual fund tournaments, Relative return, Standard deviation ratio, Autocorrelation, Moving average, Four-factor model, Linear regression, Residual risk, Systematic risk, Sorting bias

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Master Degree Project
2016:166

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