Methods of Mutual Funds Efficiency Analysis: Return Gap

Student: Oshchepkov Andrey

Educational Programme: Economics (Bachelor)

Year of Graduation: 2018

Since the question about luck and skills of mutual funds management appeared in the financial literature, a great number of researchers focused on the prediction of the performance and identifying future winners and losers. This paper takes into consideration the lack of information observed by investors despite the disclosure requirements for funds. The unobserved actions of fund managers might persistently create or destroy value. The measure for the impact of unobserved actions is the return gap – the difference between the reported returns and the performance of a hypothetical portfolio based on buy-and-hold strategy of past disclosed holdings. The main result documented in the paper shows that the return gap might be helpful in predicting fund performance.

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