Faculty Advisor

Koutmos, Dimitrios

Abstract

The goal of this project is to determine whether retirement funds are being overexposed to Beta risk by regressing returns to major funds from three investment management groups (Fidelity, TIAA-CREF, and Vanguard) against economic systematic risk factors. These assets management firms are a few of the largest firms in the U.S. and manage trillions of dollars in assets. These large firms are assumed to be doing their jobs, but this paper will expose whether or not that is true. Eventually, this will uncover whether active managers are doing their job and whether or not management fees are justified. By doing this, we will discover how responsibly your money is being managed for the future.

Publisher

Worcester Polytechnic Institute

Date Accepted

June 2016

Major

Management Engineering

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Business

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