Mutual fund performance: Evidence from Italian equity funds

Abstract

The aim of this study is to investigate the performance of open-end equity mutual funds in Italy during 2006-2015. Selective ability, market timing ability and performance persistence will be analysed. The False Discovery Rate (FDR) approach will be employed to test what is the percentage of false discoveries among significant alphas and market timing coefficients. The selectivity models are the CAPM, the Fama-French three-factor model and the Carhart four-factor model. The market timing models are the Treynor-Mazuy and Henriksson-Merton models. The performance persistence models are the Goetzmann and Ibbotson non-parametric test and the Grinblatt and Titman parametric test.