Empirical Studies On Actively Managemed Mutual Funds

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Mutual Funds

Author : Seth Anderson
Publisher : Springer Science & Business Media
ISBN 13 : 0387253084
Total Pages : 169 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Mutual Funds by : Seth Anderson

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

Can Actively Managed Mutual Funds Outperform the Market

Author : Jiahe Lin
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Can Actively Managed Mutual Funds Outperform the Market by : Jiahe Lin

Download or read book Can Actively Managed Mutual Funds Outperform the Market written by Jiahe Lin and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The debate regarding active versus passive investment has never abated over the past few decades. There is a great controversy about whether actively managed mutual funds can beat the market both in the short run and in the long run. The key difference between two different types of investment lies in aspects such as turnover ratio, expense fees, tax benefits and so on. This paper builds on previous studies and develops a more comprehensive perspective on funds performance. The first part of the thesis analyzes how the average returns from 1998 to 2017 perform against the S&P 500 return with both gross returns and net returns taken into consideration. It also analyzes the correlation between expense ratio and the overall returns. The second part mainly deals with the hot hand phenomenon and tests the persistence of mutual funds returns over longer periods such as 5 or 10 years. The ratio of funds that continue to beat the market in the next subsequent 1, 3, 5, 10 years is then calculated. Finally, the paper combines all the testing results and judge that the average performance of actively managed mutual funds perform no better than the passive investment which tracks the market index. The winning funds can hardly become the winner over the longer time periods. Investors should pick the funds that beat the market over time instead of just looking at the results of a particular year. Overall, passive funds that track market index such as S&P has provided more satisfactory results from many angles based on the statistics conducted from 1998 to 2017.

Empirical Analysis of Mutual Funds investing in German Equity (1995-2015)

Author : Carsten Fritz
Publisher : GRIN Verlag
ISBN 13 : 3668325227
Total Pages : 70 pages
Book Rating : 4.6/5 (683 download)

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Book Synopsis Empirical Analysis of Mutual Funds investing in German Equity (1995-2015) by : Carsten Fritz

Download or read book Empirical Analysis of Mutual Funds investing in German Equity (1995-2015) written by Carsten Fritz and published by GRIN Verlag. This book was released on 2016-10-21 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2016 in the subject Economics - Finance, grade: 1,3, University of Regensburg (Centre of Finance), language: English, abstract: Financial markets are as complex as ever due to an accelerating development in the last decades. Especially evaluations of mutual fund performance have been a subject of interest since the introduction of financial services. In this thesis, a study on the performance of mutual funds investing in German equity from July 1995 to June 2015 is conducted. The aim is to find out if fund managers have sufficient skill to generate risk adjusted return in order to cover the cost imposed on the investors. Another purpose is to provide investors with relevant results. Inter alia, Jensen one-factor, Fama and French three-factor and the Carhart four-factor model are used as different benchmark models for performance. Paired bootstrap simulations suggest that, net of cost, a small fraction of fund managers do have sufficient skill to cover cost. For the bottom ranked funds, there is statistical evidence that their poor performance is caused by bad management, rather than by bad luck. The results for gross returns show that there is an unneglectable fraction of fund managers with good performance not due to luck. Compared to net returns, there is stronger evidence of skill, negative as well as positive. Form an investor’s point of view it seems rather beneficial to invest in passively managed vehicles. High costs eat into the return, and they are the main reason why the majority of actively managed funds end up with sub-par performance.

Empirical Studies on Actively Managemed Mutual Funds

Author : Teodor Chavdarov Dyakov
Publisher :
ISBN 13 : 9789058923523
Total Pages : 117 pages
Book Rating : 4.9/5 (235 download)

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Book Synopsis Empirical Studies on Actively Managemed Mutual Funds by : Teodor Chavdarov Dyakov

Download or read book Empirical Studies on Actively Managemed Mutual Funds written by Teodor Chavdarov Dyakov and published by . This book was released on 2014 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt:

European Mutual Funds

Author : Noyes Data Corporation
Publisher :
ISBN 13 :
Total Pages : 472 pages
Book Rating : 4.3/5 (512 download)

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Book Synopsis European Mutual Funds by : Noyes Data Corporation

Download or read book European Mutual Funds written by Noyes Data Corporation and published by . This book was released on 1973 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Investments and Portfolio Performance

Author : Edwin J. Elton
Publisher : World Scientific
ISBN 13 : 9814335401
Total Pages : 417 pages
Book Rating : 4.8/5 (143 download)

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Book Synopsis Investments and Portfolio Performance by : Edwin J. Elton

Download or read book Investments and Portfolio Performance written by Edwin J. Elton and published by World Scientific. This book was released on 2011 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains the recent contributions of Edwin J. Elton and Martin J. Gruber to the field of investments. All of the articles in this book have been published in the leading finance and economic journals. Sixteen of the twenty articles have been published in the last ten years. This book supplements the earlier contributions of the editors published by MIT Press in 1999.

Management structure for the mutual fund industry. Performance indicators and investment behavior of a team's decision-making process

Download Management structure for the mutual fund industry. Performance indicators and investment behavior of a team's decision-making process PDF Online Free

Author : Yunus Cagdas
Publisher : GRIN Verlag
ISBN 13 : 3346582310
Total Pages : 28 pages
Book Rating : 4.3/5 (465 download)

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Book Synopsis Management structure for the mutual fund industry. Performance indicators and investment behavior of a team's decision-making process by : Yunus Cagdas

Download or read book Management structure for the mutual fund industry. Performance indicators and investment behavior of a team's decision-making process written by Yunus Cagdas and published by GRIN Verlag. This book was released on 2022-01-31 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic Paper from the year 2021 in the subject Business economics - Investment and Finance, grade: 2,0, University of Hohenheim (Institut für Financial Management), language: English, abstract: The aim of this study is to identify differences in investment behavior - and in particular the special case of a team's decision-making process - as well as possible performance indicators. The research results to be presented should be used as guidance in selecting an appropriate management structure for the mutual fund industry. Before addressing the differing investment behaviors of the two management structures, the special dynamics that can operate within a team in decision making have to be examined. For this said purpose, the relevant literature provides some conflicting theories on decision making. When looking at the proportion of team-managed and single-managed mutual funds, it is observed that team funds have increased at the cost of single-managed funds. Thus, from 1992 to 2015, within all mutual funds, team-managed funds increased from 12% to 57%, while single-managed funds decreased from 88% to 43%. A similar development can be seen in the change of the management structure of a fund in Figure 1: A total of 553 mutual funds, which were previously managed individually, switched to a team fund, whereas only 317 funds changed from a team-managed fund to an single-managed fund. A crossover in the proportion of teams after the global financial crisis in 2008, in times when risk reduction by diversification began to gain in importance, is clearly observable. Thus, it should be in the interest of mutual funds to possess sufficient management diversity to reach an adequate niveau of diversification. As argued by Tom Stevenson, the investment director of Fidelity International, besides gender diversity, diversity in cognition, education and mindset represent a great strength. Research on the mutual fund industry indicates some differences in the investment behavior between team-managed and single-managed mutual funds. Especially concerning teams, different theories of decision making can be found, resulting in different investment styles and performance levels.

Mutual Funds and Exchange-Traded Funds

Author : H. Kent Baker
Publisher : Oxford University Press
ISBN 13 : 0190207442
Total Pages : 663 pages
Book Rating : 4.1/5 (92 download)

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Book Synopsis Mutual Funds and Exchange-Traded Funds by : H. Kent Baker

Download or read book Mutual Funds and Exchange-Traded Funds written by H. Kent Baker and published by Oxford University Press. This book was released on 2015-10-21 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mutual Funds and Exchange-Traded Funds: Building Blocks to Wealth offers a synthesis of the theoretical and empirical literature primarily on mutual funds but also discusses related investment vehicles, especially ETFs. In this edited volume, noted scholars and practitioners write chapters in their areas of expertise. It interweaves the contributions of multiple authors into an authoritative overview of important but selective topics. Readers will gain an in-depth understanding of mutual funds and ETFs from experts from around the world. Based on research-based evidence, this is not intended to be a "how to" book; instead, it is a scholarly and in-depth approach to important investment subjects. Although the book places greater attention on these different types of investments in the United States, it also examines them in a global context. In today's financial environment, mutual funds and ETFs are dynamic areas that continue to evolve at a rapid pace. Because the flow of materials on the subject is voluminous, this book, by necessity, must be selective because it cannot cover every aspect of this field. However, readers can gain important insights about each investment vehicle including its structure and uses, performance and measurement. Beyond these core topics and issues, the book also examines the latest trends, cutting-edge developments, and real-world situations. Given its broad scope, this practical and comprehensive book should appeal to investors, investment professionals, academics, and others interested in mutual funds and ETFs. In particular, this book should help investors make key asset allocation decisions while capturing the benefits of a highly diversified, well-constructed, lower-cost portfolio of complementary strategies that enhance financial wealth.

Comparative Performance Analysis of Passive Vs Active Strategy in Asset Management of Mutual Funds Using Panel Data of PR and USA, 1987-2018

Download Comparative Performance Analysis of Passive Vs Active Strategy in Asset Management of Mutual Funds Using Panel Data of PR and USA, 1987-2018 PDF Online Free

Author : Bethzaida Lebrón Rivera
Publisher :
ISBN 13 :
Total Pages : 282 pages
Book Rating : 4.:/5 (123 download)

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Book Synopsis Comparative Performance Analysis of Passive Vs Active Strategy in Asset Management of Mutual Funds Using Panel Data of PR and USA, 1987-2018 by : Bethzaida Lebrón Rivera

Download or read book Comparative Performance Analysis of Passive Vs Active Strategy in Asset Management of Mutual Funds Using Panel Data of PR and USA, 1987-2018 written by Bethzaida Lebrón Rivera and published by . This book was released on 2020 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mutual funds in recent years have become an important investment vehicle for meeting the financial need of investors. Whether a mutual fund portfolio is managed actively or passively, strategies are important to investors; moreover, if mutual fund portfolio managers de not always meet risk-adjusted performance expectations. For years there has been a debate over active and passive asset management, which produces higher excess ruturns. Consequently, this debate has also been very intriguing for researchers. The purpose of this empirical study is to compare and determine if Puerto Rico Mutual Funds, which are passively managed, underperform actively managed US Mutual Funds.

Value Versus Growth - An Empirical Analysis of Equity Fund Managers ́ Capabilities to Generate Alpha

Author : Thomas Müller
Publisher : GRIN Verlag
ISBN 13 : 3656180172
Total Pages : 69 pages
Book Rating : 4.6/5 (561 download)

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Book Synopsis Value Versus Growth - An Empirical Analysis of Equity Fund Managers ́ Capabilities to Generate Alpha by : Thomas Müller

Download or read book Value Versus Growth - An Empirical Analysis of Equity Fund Managers ́ Capabilities to Generate Alpha written by Thomas Müller and published by GRIN Verlag. This book was released on 2012-04-28 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2012 in the subject Business economics - Business Management, Corporate Governance, grade: 1,00, EBS European Business School gGmbH, language: English, abstract: Portfolio managers face the challenge to achieve excess returns comparative to a benchmark for their private or institutional clients. Researchers such as Fama and French (1992, 1996) or Lakonishok, Shleifer, and Vishny (1994) caused a stir with their findings that various investment styles tend to accomplish superior returns over a long-term horizon. Their findings proposed that value stocks tend to outperform growth stocks. This bachelor thesis raises the question whether value or growth fund managers are able to achieve a persistent outperformance relative to their internal and external benchmark. The findings have a crucial influence on investors considering an investment into the equity market by an active or passive portfolio management approach.

Swing Pricing and Fragility in Open-end Mutual Funds

Author : Dunhong Jin
Publisher : International Monetary Fund
ISBN 13 : 1513519492
Total Pages : 46 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Swing Pricing and Fragility in Open-end Mutual Funds by : Dunhong Jin

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.

Challenging the Conventional Wisdom on Active Management

Author : Martijn Cremers
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Challenging the Conventional Wisdom on Active Management by : Martijn Cremers

Download or read book Challenging the Conventional Wisdom on Active Management written by Martijn Cremers and published by . This book was released on 2019 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Just over 20 years have passed since the publication of Carhart's landmark 1997 study on mutual funds. Its conclusion--that the data did “not support the existence of skilled or informed mutual fund portfolio managers”--was the capstone of an academic literature beginning with Jensen (1968) that formed the 'conventional wisdom' that active management does not create value for investors. In this paper, we review the literature on active mutual fund management since the publication of Carhart (1997) to assess the extent to which current research still supports the conventional wisdom. Our review of the most recent literature suggests that the conventional wisdom is too negative on the value of active management.

Essays in Empirical Finance

Author : Xiaolu Wang
Publisher :
ISBN 13 :
Total Pages : 260 pages
Book Rating : 4.:/5 (747 download)

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Book Synopsis Essays in Empirical Finance by : Xiaolu Wang

Download or read book Essays in Empirical Finance written by Xiaolu Wang and published by . This book was released on 2010 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains two essays in empirical finance. The first essay studies the mutual fund industry, and the second essay looks into the stock market. Both studies provide insights in the underlying mechanism of some asset return patterns identified from the data currently available.The first essay investigates the sources of a recently identified performance pattern in mutual funds. Specifically, actively managed mutual funds, in general, underperform a passive benchmark; however, some recent studies find they, in fact, outperform the benchmark in bad economic states. I examine whether a state dependent risk shifting behavior of mutual fund managers contributes to this performance difference across states, and find supportive evidence. As shown in prior studies, the risk shifting behavior is motivated by a non-linear flow-performance relationship. Using a piece-wise linear regression, I demonstrate that the non-linearity exists mainly in good states; whereas in bad states, the flow-performance relationship is close to linear. Thus, non-zero risk shifting incentives are only expected in good states. I empirically measure these incentives in good states, and show that managers do react to the "gambling" (i.e., positive) incentives. In addition, higher "gambling" incentives are found to be associated with lower fund performance.The second essay, based on joint work with Hai Lu and Kevin Wang, examines how stock price shocks in the absence of public announcement of firm specific news affect future stock returns. We find that both large short term price drops and hikes are followed by negative abnormal returns over the subsequent twelve months. The pattern of asymmetric drifts, the return continuation for negative shocks versus the return reversal for positive shocks, is puzzling. We explore whether investor disagreement can explain the puzzle and find that the evidence is consistent with predictions of disagreement theory. Moreover, price shocks with public news disclosures are followed by weaker drifts, suggesting that reduction of information asymmetry from public disclosures mitigates disagreement-induced overpricing.

The Historical Record on Active Vs. Passive Mutual Fund Performance

Author : David Nanigian
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis The Historical Record on Active Vs. Passive Mutual Fund Performance by : David Nanigian

Download or read book The Historical Record on Active Vs. Passive Mutual Fund Performance written by David Nanigian and published by . This book was released on 2019 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the risk-adjusted performance of actively managed mutual funds vs. passively managed mutual funds between 1991 and 2018 and finds that the statistical significance of the difference in performance between the two types of funds disappears when the passively managed funds are compared to competitively priced actively managed funds. The practical implication of this study is that, setting tax considerations aside, as long as investors are cost conscious in their fund selection process, investing in passively managed funds does not meaningfully improve investor outcomes.

Mutual Funds

Author : John A. Haslem
Publisher : John Wiley & Sons
ISBN 13 : 047053091X
Total Pages : 384 pages
Book Rating : 4.4/5 (75 download)

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Book Synopsis Mutual Funds by : John A. Haslem

Download or read book Mutual Funds written by John A. Haslem and published by John Wiley & Sons. This book was released on 2009-10-08 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: An authoritative, must-read guide to making more informed decisions about mutual funds Providing a balance of theory and application, this authoritative book will enable you to evaluate the various performance and risk attributes of mutual funds. It covers a broad range of topics, including understanding the advantages and disadvantages of mutual funds, evaluating stock/bond allocations within fund portfolios, assessing fund diversification risk, measuring fund returns and risk, and making fund buy/sell decisions. While informative chapters combine clear summaries of existing research with practical guidelines for mutual fund analysis, step-by-step decision checklists guide you through the selection of various mutual funds. Puts the risks and rewards of mutual fund investing in perspective Skillfully examines how to select and evaluate the best mutual funds Outlines mutual fund service advantages and disadvantages Discusses the long- and short-term effectiveness of mutual funds Covering major theoretical and management issues in mutual fund analysis and portfolio management, this book is an authoritative guide.

What Does It Mean to Be in a Team? Evidence from U.S. Mutual Fund Managers

Author : Diamond Wang
Publisher :
ISBN 13 :
Total Pages : 59 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis What Does It Mean to Be in a Team? Evidence from U.S. Mutual Fund Managers by : Diamond Wang

Download or read book What Does It Mean to Be in a Team? Evidence from U.S. Mutual Fund Managers written by Diamond Wang and published by . This book was released on 2016 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, team management has replaced single management to become the dominant management structure in the U.S. mutual fund industry. However, empirical studies on the impacts of team management show mixed results. Using accurate fund manager information from actively-managed equity mutual funds, this paper reexamines the effect of team management on fund outcomes after controlling for fund and managerial characteristics, as well as unobservable managerial heterogeneities that have shown to play an important role in determining fund performance. I find no evidence that fund performance differs between team- and single-managed funds. However, when a manager joins a large team, the manager on average receives less fund flow compared to when this manager manages a fund individually. The sensitivity of fund flow to fund performance for a manager is also lower when in a team compared to being single.

New Insights Into Mutual Funds

Author : Joop Huij
Publisher :
ISBN 13 :
Total Pages : 199 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis New Insights Into Mutual Funds by : Joop Huij

Download or read book New Insights Into Mutual Funds written by Joop Huij and published by . This book was released on 2007 with total page 199 pages. Available in PDF, EPUB and Kindle. Book excerpt: New Insights into Mutual Funds is a bundle of four empirical studies on mutual funds. In the first two papers, we investigate persistence in risk-adjusted fund returns. We show that the returns of both equity and bond mutual funds are persistent. Funds that display strong (weak) performance over a past period continue to do so in future periods. More importantly, we demonstrate that some fund managers are able to outperform a strategy that invests in passive indexes for a short period of time. These results add new insights to long-running debates on the benefits of actively managed funds vis-agrave;-vis passive portfolios. In the third paper, we test the cross-sectional explanatory power of multi-factor models to explain mutual fund returns. We find that performance estimates resulting from these models are biased because the factor proxies do not incorporate transaction costs and trading restrictions. We suggest that factor proxies based on mutual fund returns rather than stock returns provide better benchmarks to evaluate professional money managers. Finally, in the fourth paper we investigate the impact of fund marketing on investor flows to other funds in the family. We find that high-marketing funds generate spillovers, and enhance cash inflows to low-marketing funds in the family. An explanation of this observation is that funds with low marketing expenses are directly subsidized by family members with high marketing expenses. Our results indicate that at least part of the spillovers can be attributed to favoritism. These findings suggest that conflicts of interest between investors and fund families have been exacerbated by competition in the mutual fund industry.