TY - JOUR T1 - The Cross-Section of Liquid Absolute Return Funds JF - The Journal of Index Investing SP - 21 LP - 32 DO - 10.3905/jii.2015.6.3.021 VL - 6 IS - 3 AU - Joachim Klement Y1 - 2015/11/30 UR - https://pm-research.com/content/6/3/21.abstract N2 - The author uses a dataset of 1,140 global liquid absolute return-oriented mutual funds to analyze the performance of this new class of mutual funds. He sorts these funds into 15 subcategories depending on their investment style and finds that once performance is corrected for systematic market factors, the average alpha is negative for all subcategories. He also tests systematic size-, age-, and fee-related effects on fund alpha, finding only very limited impact for these factors.TOPICS: Mutual fund performance, analysis of individual factors/risk premia, performance measurement ER -