Employee Perceptions of Organizational Culture and Morale in Enterprises Served by Professional Employer Organizations: A Preliminary Assessment

Performance Comparison of Institutional and Retail Mutual Funds Using Multifactor Models

“…It provides a benchmark against which mutual funds and actively managed portfolios can be evaluated. The risk adjusted performance measures used in an earlier study by the author (Sencicek, 2018), the Treynor Index (1965), the Sharpe Ratio (1966) and Jensen's 'alpha ' (1968), were based on Capital Asset Pricing Model and Markowitz's Portfolio Theory. All three measures, known as the "traditional performance measures", try to reduce the risk-reward dimensions of portfolio performance to a single measure that indicates a risk-adjusted return.…”

“…Similarly, Bird et al (2011) examine the connection between the management's active decisions and the subsequent performance outcomes in institutional funds, but do not address performance differences with retail funds. Applying the traditional performance measures based on the original capital asset pricing model (CAPM), the Sharpe ratio, the Treynor Index and Jensen's "alpha", Sencicek (2018) found that institutional funds outperformed retail funds in large-cap and, to a lesser extent, in small-cap categories, but slightly underperformed in mid-capcategories; the evidence was mixed when funds were compared by bookto-market ratios (value, blend and growth).…”

“…This study aims to contribute to the performance evaluation of this growing segment of mutual funds geared towards a fast growing market of retirement plans and other institutional investors by applying multifactor models. The measures used in the previous study by the author that compared performances of institutional and retail funds (Sencicek, 2018) were all based on the original CAPM. Despite still being the most widely used model by practitioners and in MBA classes, the original CAPM has been widely criticized for its highly restrictive and unrealistic assumptions, and its questionable adequacy as a single factor model to explain portfolio performance.…”