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Keenan, Alexander J.
Year of Publication: 
Series/Report no.: 
Working Papers, Department of Economics, Rutgers, The State University of New Jersey 2001,04
Using duration analysis and CAPM, this paper seeks to estimate the length of time performance measures affect the probability of a mutual fund liquidating. Data was collected on small cap growth funds from 1980-Nov. 2000 using the Sharpe Ratio to estimate the probability that a mutual fund closes due to poor performance. Using a parametric approach the results show that a fund with a lower Sharpe ratio as well as overall strong performance by the market increases the probability of a fund's failure. The results also show the existence of positive duration implying older funds face a higher probability of failure. The results are then compared to other models to test the appropriateness of the model.
Mutual funds
Document Type: 
Working Paper

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