Active versus Passive Management of International Mutual Funds ...

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24 critical value. Hypothesis 3 H3 0 : For the 1995 to 2008 periods, there is no significant difference between the mean Sharpe ratio for the passively managed DAX Index and the actively managed Equity Europe Investment Category. H3 a : For the 1995 to 2008 periods, there is a significant difference between the mean Sharpe ratio for the passively managed DAX Index and the actively managed Equity Europe Investment Category. Weekly Sharpe ratios were calculated from daily data for the DAX Index and Morningstar Equity Europe Investment Category for the period January 1, 1995-December 31, 2008 with 730 data points. Appendix B presents a side-by-side comparison of the indices’ weekly Sharpe ratios. Table 5 below shows the F-test two-sample for variances result. The 2.847 F-value for the Morningstar Europe Investment Category is more than the 1.130 F-critical one-tail value. The indication is a rejection of the null hypothesis because the variances due to the larger F- value. The 9.72834E-44 p-value is less than the assumed .05 level of significance (alpha); an indication the null hypothesis is rejected. Table 5. F-Test Two Sample for Variances of Sharpe Ratios for Morningstar Equity Europe Investment Category versus DAX Index Equity Europe Investment Variables Category DAX Mean 0.193265287 0.087182963 Variance 0.909860845 0.319585899 Observations 731 730 Df 730 729 F 2.846999345 1.1296 P(F
25 (alpha); a further indication the null hypothesis is rejected. Table 6: F-Test Two Sample for Variances of Sharpe Ratios for Morningstar Equity Asia Pacific Investment Category versus Nikkei 225 Index Equity Asia Pacific Investment Variables Category Nikkei 225 Mean 0.062940803 0.002897799 Variance 1.007490036 0.301374391 Observations 731 712 Df 730 711 F 3.34298489 1.131 P(F
Page 1 and 2: Active versus Passive Management of
Page 3 and 4: suspect that anomalies would disapp
Page 5 and 6: investors [6]. Siegel [79] added to
Page 7 and 8: Portfolio performance measures Trey
Page 9 and 10: hypothetical portfolios as a means
Page 11 and 12: covered funds from 1992 to 1996 and
Page 13 and 14: where anomalies continue to exist.
Page 15 and 16: means someone sold their position.
Page 17 and 18: called the Noisy Market Hypothesis.
Page 19 and 20: 19 indices, Morgan Stanley Capital
Page 21 and 22: б i = the standard deviation of th
Page 23: 23 indices’ weekly Sharpe ratios.
Page 27 and 28: tend to outperform active managers
Page 29 and 30: 02/27/1995 -0.655 ‐0.268 ‐0.156
Page 31 and 32: 10/21/1996 ‐0.989 ‐0.383 ‐0.2
Page 33 and 34: 06/15/1998 ‐0.225 ‐0.170 ‐0.0
Page 35 and 36: 02/07/2000 0.810 0.183 0.010 0.204
Page 37 and 38: 10/01/2001 0.473 0.123 0.287 0.380
Page 39 and 40: 05/26/2003 0.568 0.782 0.329 0.908
Page 41 and 42: 01/17/2005 0.149 ‐0.131 ‐0.208
Page 43 and 44: 09/11/2006 0.468 0.511 ‐0.054 0.9
Page 45 and 46: 45 05/05/2008 ‐0.072 ‐0.508 ‐
Page 47 and 48: 10/16/1995 ‐1.952 0.430 0.006 0.2
Page 49 and 50: 05/12/1997 1.006 0.498 0.169 0.912
Page 51 and 52: 12/07/1998 0.350 ‐0.220 ‐0.001
Page 53 and 54: 07/03/2000 ‐0.041 ‐0.034 0.857
Page 55 and 56: 01/28/2002 ‐0.173 ‐0.505 ‐0.0
Page 57 and 58: 08/25/2003 0.118 0.159 0.338 0.450
Page 59 and 60: 03/21/2005 ‐0.583 ‐0.508 ‐0.6
Page 61 and 62: 10/16/2006 0.583 0.311 0.245 10/23/
Page 63 and 64: 63 05/12/2008 1.075 1.218 0.506 1.0
Page 65 and 66: 25. Cremers, M., & Petajisto, A. (2
Page 67: 63(6), 31-37. 68. Reilly, F. K., &

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