Hi!
I could not find direct answers to my questions, so I figured to ask here.
Background: My goal is to assess the consistency of returns of some mutual funds, and one of the methods I opted to use is the SRCC. So what I do is:
1) I have a period of 10 years, which I divide into two parts, each of 5 years.
2) Regress using CAPM formula, get alpha values for each of the 5 year time periods.
The problem:
While I do get the values, a large portion of them is essentially a value of zero, since the pvalues are well above the 10% level.
The Questions:
1) To my understanding, it is useless to use SRCC, if the values are identical/equal to zero. Is that correct, or is there still some value in using SRCC?
2) Is there a better fitting statistical method to assess the consistency of returns of some funds, given the alpha values?
I would also like to add, that the suggestion to use SRCC came from a very related science paper to my research, which looked at the same market and type of funds.
I have also added the output from R below, perhaps that will help to better explain my problem. The intercept value should be interpreted as the alpha value I am seeking.
I could not find direct answers to my questions, so I figured to ask here.
Background: My goal is to assess the consistency of returns of some mutual funds, and one of the methods I opted to use is the SRCC. So what I do is:
1) I have a period of 10 years, which I divide into two parts, each of 5 years.
2) Regress using CAPM formula, get alpha values for each of the 5 year time periods.
The problem:
While I do get the values, a large portion of them is essentially a value of zero, since the pvalues are well above the 10% level.
The Questions:
1) To my understanding, it is useless to use SRCC, if the values are identical/equal to zero. Is that correct, or is there still some value in using SRCC?
2) Is there a better fitting statistical method to assess the consistency of returns of some funds, given the alpha values?
I would also like to add, that the suggestion to use SRCC came from a very related science paper to my research, which looked at the same market and type of funds.
I have also added the output from R below, perhaps that will help to better explain my problem. The intercept value should be interpreted as the alpha value I am seeking.
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