Do Absolute-Return Mutual Funds Have Absolute Returns?

is an assistant professor of finance at the Gatton College of Business and Economics at the University of Kentucky in Lexington, KY.

is the Richard W. and Janis H. Furst Endowed Chair in Finance at the University of Kentucky in Lexington, KY.

is a graduate student at the Gatton College of Business and Economics at the University of Kentucky in Lexington, KY.

The authors study the universe of absolute-return mutual funds and find no evidence that they deliver positive alpha. Additionally, these funds can have significant factor exposures. Compared with ordinary equity funds, absolute-return funds have much higher fees and turnover. They perform worse than their hedge fund counterparts. Overall, the results indicate that investors seeking absolute returns using mutual funds are likely to be disappointed.

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Do Absolute-Return Mutual Funds Have Absolute Returns?

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Do Absolute-Return Mutual Funds Have Absolute Returns?

Do Absolute-Return Mutual Funds Have Absolute Returns?

HOW DO ABSOLUTE-RETURN MUTUAL FUNDS COMPARE TO MARKET-NEUTRAL HEDGE FUNDS?

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