Keywords: oil prices, natural gas prices, energy funds, energy fund performance, mutual fund returns, information content, energy index returns, alternative investment, energy stock investments
The informational content of oil and natural gas prices in energy fund performance
This paper explores whether the informational content of oil and gas prices has an impact on energy mutual fund returns. We first re–visit the relationship between oil and gas prices and energy index returns; our findings confirm that better energy index performance is associated with oil and gas price increases. Using the Fama and MacBeth (1973) two–stage regressions, we find that the information contained in oil and gas prices also plays a significant role in explaining energy mutual fund returns, making these an alternative investment to direct energy stock investments.