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Author : Yi Zhao
Publisher :
ISBN 13 :
Total Pages : 104 pages
Book Rating : 4.:/5 (65 download)
Download or read book Does Mutual Fund Investment Style Consistency Affect the Performance of Mutual Funds? written by Yi Zhao and published by . This book was released on 2009 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Keith C. Brown
Publisher :
ISBN 13 :
Total Pages : 61 pages
Book Rating : 4.:/5 (129 download)
Download or read book Staying the Course written by Keith C. Brown and published by . This book was released on 2010 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: While a mutual fund's investment style influences the returns it generates, little is known about how a manager's execution of the style decision affects portfolio performance. Using both returns- and holdings-based techniques to measure the consistency with which managers approach their investment mandates, we demonstrate that, on average, more style-consistent funds significantly outperform less style-consistent funds on a risk-adjusted basis. This result differs from portfolio turnover and expense ratio effects and is robust with respect to the period used to measure future returns. We also show that fund style consistency and the persistence of risk-adjusted performance over time are distinct influences and demonstrate the potential profitability of trading strategies based on their combined impact. We conclude that deciding to maintain a consistent investment style is an important aspect of the portfolio management process.
Author : Keith C. Brown
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (129 download)
Download or read book Staying the Course written by Keith C. Brown and published by . This book was released on 2006 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: While a mutual fund's investment style influences the returns it generates, little is known about how a manager's execution of the style decision might affect performance. Using multivariate techniques for measuring the consistency of a portfolio's investment mandate, we demonstrate that more style-consistent funds tend to produce higher total and relative returns than less consistent funds, after controlling for past performance and portfolio turnover. These findings are robust across fund investment style classifications, the return measurement period, and the model used to calculate expected returns. We document a positive relationship between measures of fund style consistency and the persistence of its future performance, net of momentum and past performance effects. We conclude that the decision to maintain a consistent investment style is an important aspect of the portfolio management process.
Author : Russell B. Gregory-Allen
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (13 download)
Download or read book Style Consistency, Fund Flow and Performance written by Russell B. Gregory-Allen and published by . This book was released on 2015 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research investigates the relationship between mutual funds investment style consistency, the future funds performance, and funds net flow. Using a large sample of actively-managed U.S. equity mutual funds from Morningstar database, for the period from January 2002 to December 2011, 5555 mutual funds are classified into nine style categories. Our results support the findings from existing literatures that style consistency is of vital importance to fund performance. Taking a different approach we find that more style consistent funds tend to have better long term future performance. However, results suggest that style consistency is not related to future funds net flows, indicating that investors do not pay more attention to style consistency when making their future investment decisions.
Author : Dunhong Jin
Publisher : International Monetary Fund
ISBN 13 : 1513519492
Total Pages : 46 pages
Book Rating : 4.5/5 (135 download)
Download or read book Swing Pricing and Fragility in Open-end Mutual Funds written by Dunhong Jin and published by International Monetary Fund. This book was released on 2019-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
Author : D. N. Rao
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (129 download)
Download or read book Analyzing Style Biases and Performance of Funds written by D. N. Rao and published by . This book was released on 2009 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fund managers adopt a variety of investment styles to offer wide ranging mutual fund plans which give rise to different performance levels. Globally, the size of assets managed, the number and variety of mutual funds has seen exponential growth in the last five years and the mutual industry has become very competitive. The task of today's fund manager has become complex and hence it is no more bundling a few stocks and trying to beat the market. To succeed in the highly competitive market place, a fund manager needs to make a conscious choice with regard to investment style that is consistent with fund objectives.In view of this, the article sets out to illustrate a methodology to identify, develop style measures and analyze the broad investment styles of contemporary fund managers. Based upon the past empirical evidence, the article discusses implications of the nine investment styles upon fund performance leading to generalization of risk-return profile of funds associated with the investment styles.
Author : Seth Anderson
Publisher : Springer Science & Business Media
ISBN 13 : 0387253084
Total Pages : 169 pages
Book Rating : 4.3/5 (872 download)
Download or read book Mutual Funds written by Seth Anderson and published by Springer Science & Business Media. This book was released on 2006-03-30 with total page 169 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mutual funds are the dominant form of investment companies in the United States today, with approximately $7 trillion in assets under management. Over the past half century an important body of academic research has addressed various issues about the nature of these companies. These works focus on a wide range of topics, including fund performance, investment style, and expense issues, among others. MUTUAL FUNDS: Fifty Years of Research Findings is designed for the academic researcher interested in the various issues surrounding mutual funds and for the practitioner interested in funds for investment purposes. The authors briefly trace the historical evolution of funds, present important aspects of the Investment Company Act of 1940, and then summarize a substantial portion of the academic literature which has been written over the past five decades. "This book presents an outstanding wealth of information on mutual funds in a remarkably readable format. It is probably the most comprehensive work currently available on funds. The book sheds light on the numerous issues surrounding mutual fund performance and pricing and is an important resource for any serious investor." Kathleen A. Wayner, Bowling Portfolio Management, President and CEO
Author : Louis Lowenstein
Publisher : John Wiley & Sons
ISBN 13 : 0470280204
Total Pages : 242 pages
Book Rating : 4.4/5 (72 download)
Download or read book The Investor's Dilemma written by Louis Lowenstein and published by John Wiley & Sons. This book was released on 2008-03-31 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on cutting-edge research by leading corporate critic Louis Lowenstein, The Investor’s Dilemma: How Mutual Funds Are Betraying Your Trust and What to Do About It reveals how highly overpaid fund sponsors really operate and walks you through the conflicts of interest found throughout the industry. Page by page, you’ll discover the real problems within the world of mutual funds and learn how to overcome them through a value-oriented approach to this market.
Author : Robert C. Pozen
Publisher : South-Western College
ISBN 13 : 9780618166107
Total Pages : 0 pages
Book Rating : 4.1/5 (661 download)
Download or read book The Mutual Fund Business written by Robert C. Pozen and published by South-Western College. This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pozen, a leading industry expert, offers a structured presentation of mutual funds for upper-level undergraduates and MBA students. The Mutual Fund Business, 2/e, covers the key principles of mutual fund investment theory through straightforward writing supported by selected articles and case studies. This text provides a comprehensive, firsthand look at the investment strategies supporting a $4 trillion industry undergoing significant growth in the U.S.
Author : Lita Epstein MBA
Publisher : Penguin
ISBN 13 : 1440650918
Total Pages : 190 pages
Book Rating : 4.4/5 (46 download)
Download or read book The Pocket Idiot's Guide to Investing in Mutual Funds written by Lita Epstein MBA and published by Penguin. This book was released on 2007-06-05 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: Smart readers will invest in this no-nonsense guide. Investing in today’s markets can be complicated and risky for the average person. With so many avenues—and supposed “financial advisors”—to choose from, it’s nearly impossible to know what to do. Here is everything the aspiring investor needs to get started, including mutual fund fundamentals—their different types, fees, and taxes—as well as how to construct one’s portfolio and choose the best fund manager. —From a seasoned financial writer —Pocket-sized format for quick reference
Author : Michael D. Hirsch
Publisher : Irwin Professional Publishing
ISBN 13 :
Total Pages : 272 pages
Book Rating : 4.3/5 (512 download)
Download or read book Multifund Investing written by Michael D. Hirsch and published by Irwin Professional Publishing. This book was released on 1987 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Xuemei Guo
Publisher :
ISBN 13 :
Total Pages : 312 pages
Book Rating : 4.:/5 (992 download)
Download or read book Three Essays on Mutual Funds written by Xuemei Guo and published by . This book was released on 2017 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates the determinants of mutual fund flows and mutual fund performance. The first chapter examines the response of fund investors to style volatility and the impact of style volatility on the flow-performance relationship. Three main empirical findings are obtained using both a portfolio approach and a multivariate regression approach. First, I find that there is a significant positive relationship between the style volatility and the subsequent fund flows to mutual funds. This finding can be interpreted as either fund managers having style timing ability or fund managers catering to investors preferences or tastes. Second, the positive relationship between past style volatility and fund flows is less pronounced for funds with superior past performance. Lastly, fund style volatility has a dampening effect on the flow-performance relationship: the flow-performance sensitivity weakens by 12% when the past style volatility increases by one standard deviation. It is likely that performance is perceived as a less informative signal of investment ability for fund managers who follow inconsistent styles over time. The second chapter studies how the response of fund investors to past risk varies over business cycles. I employ the NBER boom indicator, the Consumer Sentiment Index, and the National Activity Index to proxy for economic conditions. I find that mutual fund investors react differently to risk across economic environments. Funds with more volatile past returns discourage fund investors. The investors’ demand for actively managed funds is higher under good market conditions. Fund flows are less responsive to risk during expansionary economic periods. This finding may indicate that fund investors are risk averse and become less risk averse in good market states. The third chapter empirically examines whether mutual fund performance is affected by prior family performance. I propose two testable hypotheses: the information and resource sharing hypothesis and the cross-fund subsidization hypothesis. The empirical findings suggest that there is a significant positive relationship between prior family performance and subsequent fund performance. This finding is consistent with the hypothesis that mutual funds in the same family share informational resources. This positive relation also justifies the finding in the mutual fund flow literature that fund flows are higher for funds with higher past family performance. Furthermore, I find that the predictive power of the prior family performance is stronger in larger fund families.
Author : Peter Lückoff
Publisher : Springer Science & Business Media
ISBN 13 : 3834927805
Total Pages : 604 pages
Book Rating : 4.8/5 (349 download)
Download or read book Mutual Fund Performance and Performance Persistence written by Peter Lückoff and published by Springer Science & Business Media. This book was released on 2011-01-13 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt: Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.
Author : Xiang Kang
Publisher :
ISBN 13 :
Total Pages : 270 pages
Book Rating : 4.:/5 (125 download)
Download or read book Essays on Mutual Funds written by Xiang Kang and published by . This book was released on 2020 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is composed of two empirical studies on mutual funds. Chapter 1 studies the implication of the timing of mutual fund entry for subsequent long-term fund performance. As fund companies choose when to open new funds and what investment styles they practice, these choices may be informative about the fund qualities. I empirically explore the relation between entrant fund performance and past style performance. By examining a sample of 2,801 mutual fund entrant during the period of 1991--2015, I find that entrant funds with investment styles that have recently performed well tend to underperform in the future. The post-entry performance of hot style entrants is worse than both the post-entry performance of cold style entrants and the concurrent performance of incumbents in the same style categories. The empirical findings are unlikely to be driven by stock-level return reversals or competition among mutual funds, but consistent with fund investors practicing style investing and extrapolating their beliefs on style returns, leading to lower entry thresholds for fund managers in hot investment styles. Chapter 2 includes my joint work with David Xiaoyu Xu on how regulations in the Chinese stock market can affect investor behavior in the mutual fund market. We show that trading suspension, a regulatory policy on stock trading activities, gives rise to stale mutual fund NAVs and indirectly affects fund investors' behavior. Using a sample of 3,205 long-term trading suspension events in China during 2004--2018, we find that opportunistic investors combine firm-specific news and fund portfolio reports to make investment decisions. Quarterly fund flows positively respond to suspended portfolio stocks' unrealized impact on fund NAVs. Such responses are stronger for impactful good news, and portfolio disclosure plays a key role in this mechanism. Our findings suggest the need for a better integrated financial regulatory framework in emerging markets
Author : Barry G. Dolgin
Publisher : MPGI LLC
ISBN 13 : 1456489704
Total Pages : 72 pages
Book Rating : 4.4/5 (564 download)
Download or read book A Handbook of Mutual Fund Investing written by Barry G. Dolgin and published by MPGI LLC. This book was released on 2010-12-30 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is written for the serious mutual fund investor seeking a new and very different approach to mutual fund portfolio construction. It introduces F.S.I. ("Fund Screen Investigation"), the author's proprietary process for mutual fund portfolio construction. The process is highly structured, analytic, quantitative, and based on a set of assumptions regarding the workings of markets and investor psychology. The acknowledgment and measurement of risk is central to the process. A theme that resonates throughout the book is that things are not always as they appear in the investment world. Accordingly, the reader is offered a new perspective for viewing the investment world and specific suggestions for what to focus on. "Show me the numbers!" is a refrain that reflects and underscores this theme. Fundamental investment topics such as allocation, correlation, diversification, and index investing are also discussed. F.S.I. provides the blueprints for constructing discrete portfolios that vary by historical levels of risk and return. Readers can variably weight these portfolios with their investment dollars to express their overall level of risk tolerance and objectives, thereby creating a uniquely personal investment strategy, and one which offers a significant degree of flexibility, facilitating modification if circumstances change. This flexibility is of particular importance to retirees and investors approaching retirement as they formulate their individual plans.
Author : John Haslem
Publisher : Wiley-Blackwell
ISBN 13 : 1405142030
Total Pages : 592 pages
Book Rating : 4.4/5 (51 download)
Download or read book Mutual Funds written by John Haslem and published by Wiley-Blackwell. This book was released on 2009-02-09 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt: This authoritative book enables readers to evaluate the various performance and risk attributes of mutual funds, while also serving as a comprehensive resource for students, academics, and general investors alike. Avoiding the less useful descriptive approach to fund selection, this book employs a balanced approach including both technique and application. The chapters combine clear summaries of existing research with practical guidelines for mutual fund analysis. Enables readers to analyze mutual funds by evaluating a fund's various performance and risk attributes. Includes templates, which provide an efficient, sound approach to fund analysis, interpretation of results, buy/sell decisions, and the timing of decisions. Combines clear summaries of existing research with practical guidelines for mutual fund analysis.
Author : Lukasz Pomorski
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (129 download)
Download or read book Style Investing written by Lukasz Pomorski and published by . This book was released on 2004 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: I investigate the impact of returns on broad styles, such as growth funds, on mutual fund flows. I test whether mutual fund investors pursue styles, as predicted by the style investing hypothesis of Barberis and Shleifer (2003). Although in the aggregate, style-level flows to style categories are positively (negatively) related to past returns on the given category (other categories), at the individual fund level this pattern disappears. In fact, after controlling for fund returns, flows are negatively related to style performance. Such patterns persist for three different style classifications I consider here. The findings go against the hypothesis of style investing, and are consistent with within-style return chasing and evaluating fund managers based on both fund-level and style-level returns.
