Date of Award

2014

Document Type

Thesis

Degree Name

Bachelors

Department

Social Sciences

Second Department

Natural Sciences

First Advisor

Khemraj, Tarron

Keywords

Value-Orientated Funds, Mutual Funds, Investing, Market, Economics

Area of Concentration

Mathematics

Abstract

This thesis examines the performance of a preselected group of disciplined value-oriented mutual funds over the period 2003-2012. We compare the returns of these funds with those of the S&P 500 over the same period using regressions of both the CAPM and a two-factor model incorporating a covariant for the observed value premium. Our results find that disciplined value-oriented funds generate superior risk-adjusted returns both before and after fees. We also study the discrepancy between the performance of disciplined value-oriented funds and the performance of the broader universe of mutual funds by considering raw (non-risk adjusted) outperformance versus underperformance as a Bernoulli process with parameters given by performance of the universe of mutual funds relative to the S&P 500. Our results suggest that disciplined value-oriented funds outperform the market much more consistently than the average mutual fund.

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