Assessing Energy Mutual Funds: Performance, Risks, and Managerial Skills

被引:1
作者
Malhotra, Davinder [1 ]
Nippani, Srinivas [2 ]
机构
[1] Thomas Jefferson Univ, Sch Business, Philadelphia, PA 19107 USA
[2] Texas A&M Univ Commerce, Coll Business, Commerce, TX 75429 USA
来源
INTERNATIONAL JOURNAL OF FINANCIAL STUDIES | 2024年 / 12卷 / 01期
关键词
energy; mutual funds; risk-adjusted performance; Sharpe ratio; Carhart four-factor model; COVID-19;
D O I
10.3390/ijfs12010020
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This study investigates the risk-adjusted performance of energy equity mutual funds across a 23-year period, employing the Cumulative Wealth Index (CWI) to gauge their long-term performance relative to benchmark indices. Despite inherent volatility due to the energy sector's cyclical nature, these funds consistently outperformed benchmarks based on monthly returns, showcasing resilience amid market fluctuations. However, challenges emerged during the COVID-19 pandemic, with notable improvements post-vaccination. Utilizing a multi-factor model, the research highlights the interconnectivity of energy equity mutual funds with broader market movements and systemic factors. Despite their primary focus on the energy sector, these funds exhibit sensitivity to larger market trends, rendering them susceptible to market dynamics. Additionally, an assessment of portfolio manager expertise reveals some proficiency in security selection post-vaccinations against COVID-19.
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页数:18
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