This paper applies an efficient method for Korean investment funds that controls luck in fund performance measurement and classification. Unlike US mutual funds, a large proportion of Korean investment funds are estimated to be skilled funds. Furthermore, the Korean investment fund industry does not show a conspicuous pattern of decline in the proportion of skilled funds over time as shown in the US. We address other issues around fund performance, for example, fund fees, efficient fund selection, and the choice of the asset
pricing model. We also propose to measure fund performance on a relative basis.
Keywords: The FDR approach, Fund performance measurement, Performance persistence, Fund fees.
학회소식
학회소식