Date of Award
Spring 2019
Degree Name
Bachelor of Science (BS)
Advisor(s)
Lin Tong
Abstract
This paper will explore the effect of monetary conditions, whether loose or tight, on mutual funds ability to generate alpha, or incremental returns above the level of systematic risk taken by the fund. This paper will first build a model for risk-adjusting mutual fund returns using a measure called Jensen’s alpha and applying to that the Fama French five factor model. This paper finds that the only measure of monetary conditions relevant to mutual fund alpha generation is the Federal Funds Rate. There could be numerous reasons for that, number on of which is that the model is insufficiently accounting for macroeconomic interest rate risk.
Recommended Citation
O'Hara, James, "Monetary Policy and Mutual Fund Performance" (2019). Gabelli School of Business Honors Thesis Collection. 100.
https://research.library.fordham.edu/gabelli_thesis/100
