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Mutual Fund Characteristics Managerial Attributes And Fund Performance
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Book Synopsis Mutual Fund Characteristics, Managerial Attributes and Fund Performance by : William J. Bertin
Download or read book Mutual Fund Characteristics, Managerial Attributes and Fund Performance written by William J. Bertin and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study provides a comprehensive examination of recent mutual fund performance by analyzing a large set of both mutual funds and fund attributes in an effort to link performance to fund-specific characteristics. The sample of funds used in this regression analysis is free of survivorship bias, and the study addresses benchmark issues as well. The results indicate that the hypothesized relationship between performance and the explanatory variables are generally upheld. After taking into consideration general market conditions and fund investment objective, the characteristic variables that relate to fund popularity, growth, cost and management also explain performance. Finally, after controlling for survivorship and benchmark error, the results refute the performance persistence phenomenon.
Book Synopsis Canadian Mutual Funds Characteristics, Managerial Attributes and Fund Performance by : Chen Yan (M.Fin.)
Download or read book Canadian Mutual Funds Characteristics, Managerial Attributes and Fund Performance written by Chen Yan (M.Fin.) and published by . This book was released on 2010 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Overview of Fund Performance and Attributes by : Dariusz Filip
Download or read book An Overview of Fund Performance and Attributes written by Dariusz Filip and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this study is to determine whether mutual fund attributes are related to investment performance. Organizational characteristics, such as size, age, family size and expense ratio, were collated with investment performance measured with the use of four different methods for a sample of 82 domestic equity funds operating in Poland in the period 2000-2015. The obtained results show that the asset size factor can translate into the generated return on investment. However, it must be indicated that this research is preliminary. It will enable the identification of the fund features which could be interpreted as determinants of performance in future studies employing more advanced research approaches.
Book Synopsis Investment Criteria for Mutual Fund Selection by : Jan Harkopf
Download or read book Investment Criteria for Mutual Fund Selection written by Jan Harkopf and published by diplom.de. This book was released on 2016-10-07 with total page 87 pages. Available in PDF, EPUB and Kindle. Book excerpt: The importance of mutual funds for individual investors has increased in recent decades. This becomes apparent when looking at the increased share of households owning mutual funds. These mutual fund investors usually want to receive a return which is above or at least close to the mutual fund’s benchmark. Consequently, investors want to invest in those funds which will show these patterns in the future. Some of these mutual funds receive much attention, since they generate extraordinary high performance. But the question that remains is whether it is possible to predict such performance before funds exhibit such outstanding performance. In the past, mutual fund investors focused extensively on performance or performance linked patterns, like the Morningstar star rating, and thus chased past performance. This seems surprising since performance persists only over a short time and is more persistent to weak mutual funds (1 and 2 star rated) than well performing mutual funds. Thus, chasing past performances seems to be a rather inferior strategy. Therefore, investors should try to identify alternative tools showing a high correlation to future mutual fund performance. In this book, mutual funds are analysed, especially open-end mutual funds and actively managed mutual funds. The main focus is on what purpose and usefulness active investments have and whether performance is persistent and what the determinants of mutual fund flows are. Moreover, some alternative measures will be introduced by explaining which attributes or methods should be used and avoided when selecting mutual funds.
Download or read book Mutual Funds written by John Haslem and published by John Wiley & Sons. 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 variousperformance and risk attributes of mutual funds, while also servingas a comprehensive resource for students, academics, and generalinvestors alike. Avoiding the less useful descriptive approach tofund selection, this book employs a balanced approach includingboth technique and application. The chapters combine clearsummaries of existing research with practical guidelines for mutualfund analysis. Enables readers to analyze mutual funds by evaluating a fund'svarious performance and risk attributes. Includes templates, which provide an efficient, sound approachto fund analysis, interpretation of results, buy/sell decisions,and the timing of decisions. Combines clear summaries of existing research with practicalguidelines for mutual fund analysis.
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
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.
Book Synopsis Mutual Fund Performance and Managers' Characteristics by : Majid Abbasi
Download or read book Mutual Fund Performance and Managers' Characteristics written by Majid Abbasi and published by LAP Lambert Academic Publishing. This book was released on 2012 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mutual Fund is one of the most important mechanisms for indirect investment in financial markets, which provides better conditions in terms of risk and return, especially for amateur investors. This research examined the effects of mutual fund managers' characteristics on the performance of Iranian mutual funds. The research was carried out on all Iranian mutual funds during 2007 to 2011. Generalized Lease Square (GLS) was employed to examine these effects. The results show that fund manager's Age, MBA, Gender, and Tenure significantly influence fund performance.
Book Synopsis Do Firm Characteristics Influence Mutual Fund Performance? An Empirical Study for European Mutual Funds by : Frank de Jong
Download or read book Do Firm Characteristics Influence Mutual Fund Performance? An Empirical Study for European Mutual Funds written by Frank de Jong and published by . This book was released on 2017 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the influence of fund management firm characteristics on mutual fund performance. Using a sample of European-domiciled open-end equity funds for the period 1998-2008, this study finds that the funds of private companies have performed better than the funds of public companies. The degree of focus, the volume of assets under management, and the number of funds offered by a fund management firm also have a positive impact on fund performance. In addition to these four firm characteristics, we find that non-European and U.K. fund managers had better-performing funds.
Book Synopsis Performance and Mutual Fund Characteristics by : Mark Grinblatt
Download or read book Performance and Mutual Fund Characteristics written by Mark Grinblatt and published by . This book was released on 1991 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mutual Funds written by John A. Haslem and published by John Wiley & Sons. This book was released on 2009-11-02 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.
Book Synopsis Performance and Characteristics of Actively Managed Retail Mutual Funds with Diverse Expense Ratios by : John A. Haslem
Download or read book Performance and Characteristics of Actively Managed Retail Mutual Funds with Diverse Expense Ratios written by John A. Haslem and published by . This book was released on 2017 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we provide extensive evidence on the performance and characteristics of 1,779 U.S. domestic, actively managed retail equity mutual funds. We find that expense ratios differ widely among Morningstar categories. Overall, our results indicate that funds with low expense ratios outperform those with higher expense ratios. An implication of these findings is that retail investors generally could gain insight into fund expenses and performance prospects relative to peers if research services such as Morningstar, Lipper, and Value Line included each fund's expense ratio standard deviation class in their basic suite of data items.Consistent with previous studies, we find strong evidence that the average actively managed mutual fund fails to outperform its benchmark after expenses. Furthermore, the probability of a fund achieving a positive risk-adjusted return increases as its expense ratio decreases. Similar findings in the past have lead many experts to conclude that investors would be better off in low-cost passively managed index funds. Our results show that expenses must be at least one and perhaps two standard deviations below the peer-group mean for investors to have close to a 50-50 chance of beating a relevant benchmark.We also examine mutual fund characteristics partitioned by expense ratio class. Compared with funds in high and very high expense ratio classes, our major results show that those in low or very low expense ratio classes have significantly lower front-end and deferred loads, 12b-1 fees, management fees, and turnover. An implication of this evidence is that expense conscious investors should look carefully at these fund characteristics before investing.Our study provides evidence that supports links between mutual fund performance and fund attributes. Based on our regression analysis, we find evidence suggesting that larger equity funds tend to outperform smaller equity funds, which may reflect economies of scale. We find a significant negative relation between performance and loads (especially front-end loads), turnover, and beta (specifically using three-year performance measures). In addition, our results indicate no significant relation between performance and 12b-1 fees. We find evidence of statistically significant but mixed performance results for beta, cash, and dividend yields. In general, investors should be aware of these relations before investing.
Book Synopsis Mutual Fund Performance and Performance Persistence by : Peter Lückoff
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.
Book Synopsis The Effects of Mutual Fund Managers' Characteristics on Their Portfolio Performance, Risk and Fees by : Joseph H. Golec
Download or read book The Effects of Mutual Fund Managers' Characteristics on Their Portfolio Performance, Risk and Fees written by Joseph H. Golec and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this study is to test whether a mutual fund managers' characteristics helps to explain fund performance, risk, and fees. The statistical tests consider performance, risk, and fees simultaneously to avoid biased results produced by earlier studies that ignore simultaneity. Results show that a fund's performance, risk, and fees are significantly impacted by its manager's characteristics. All else equal, investors can expect better risk-adjusted performance from younger managers with MBA degrees who have longer tenure at their funds. Also, funds with low fees and more diversified portfolios perform better. The most significant predictor of performance is the length of time a manager has managed his or her fund (tenure). Funds that keep administrative expenses low also perform relatively well but large management fees do not necessarily imply poorer performance. Apparently, a large management fee signals superior investment skill which leads to better performance.
Book Synopsis Characteristics of Mutual Funds with Extreme Performance by : Jason P. Berkowitz
Download or read book Characteristics of Mutual Funds with Extreme Performance written by Jason P. Berkowitz and published by . This book was released on 2016 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our paper focuses on mutual fund characteristics associated with periods of extreme performance. We find funds with either positive (hot-hand) or negative (icy-hand) persistence tend to have portfolio similarities consistent with riskier positions: compared to no-streak funds they hold less stocks and invest more in top 10 holdings. Also both hot-hand and icy-hand funds have significantly higher turnover than benchmark funds. At the same time, icy-hand (hot-hand) funds tend to have larger (smaller) management teams, and are less (more) likely to be managed by one manager. Finally, we do not observe many funds changing their management teams either before or after the streak of extreme performance. That is neither find we evidence that the beginning of extreme performance is associated with changes in management, nor that it causes changes in management.
Book Synopsis Two Essays on Mutual Fund Managerial Skills and Performance by : Ao Wang
Download or read book Two Essays on Mutual Fund Managerial Skills and Performance written by Ao Wang and published by . This book was released on 2021 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays that study mutual fund managerial skills and performance.Understanding whether mutual funds have skills is important as it could help investors make investment decision. My fist essay studies whether and how fund size affects managers' risk-taking behavior in the setting of fund mergers. I test the relation between fund size and risk-shifting. The main findings are as follows. First, acquiring fund managers' risk-taking declines as size increases resulting from mergers. The decline in risk-taking remains significant after controlling for fund characteristics, diversification effect, and portfolio's systematic risk exposure that can be correlated with managers' investment choices. Second, liquidity is a driving factor for the negative impact of size on managers' risk-taking. Third, I decompose fund size into two components based on either liquidity or risk-taking and examine which component(s) correlate with fund performance. I document that risk-taking is, beyond liquidity, another underlying mechanism for decreasing returns to scale.In the second essay, I study the timing ability of mutual funds in different sentiment periods. I first use DGTW (1997) style timing measure (CT) to examine if mutual funds perform better in high sentiment periods when stock mispricing is enlarged, providing more trading opportunities for mutual funds. Results show that mutual funds have better style timing ability in high sentiment than in low sentiment. The result is robust when I use alternative sentiment measures and different model specifications. Moreover, the style timing ability in high sentiment periods is more pronounced for less expensive funds with lower turnover and active shares. Then I investigate the source of this timing ability using 9 well-known stock return anomalies. I construct an anomaly timing measure (AT) using each of the 9 individual anomalies as well as the composite anomaly. AT is developed to detect whether fund managers could successfully time a certain anomaly. I find that mutual funds have better anomaly timing ability in composite anomaly and 4 contrarian anomalies which are investment-to-assets, asset growth, composite equity issue and net operating assets. Furthermore, I provide evidence that mutual funds with better timing abilities could outperform overall.
Book Synopsis Two Essays on Managerial Behaviors in the Mutual Fund Industry by : Leng Ling
Download or read book Two Essays on Managerial Behaviors in the Mutual Fund Industry written by Leng Ling and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay 1. Does mutual fund window-dressing promote fund flows?--I investigate the effectiveness of window-dressing as a potential strategy to be used by mutual fund managers to promote fund flows. Using a rank gap measure as a proxy for the likelihood that window-dressing has occurred, I find that fund investors as whole punish those managers who are suspected to have engaged in window-dressing. That is, I find a negative relation between the window-dressing measure and net fund flows in subsequent quarters after controlling for fund performance, size, expense ratio, and other pertinent characteristics. I also find that window-dressing leads to higher trading activities and lower fund performance. Essay 2. A life cycle analysis of performance and growth in U.S. mutual funds--I propose a five-stage growth model to describe the life cycle evolution of mutual funds and show that mutual funds exhibit distinctive performance, size, expense ratios, asset turnover, and other pertinent characteristics through stages of incubation, high-growth, low-growth, maturity, and decline. I also investigate the viability of managerial strategies to affect a fund's life cycle evolution and find that changing a declining fund's investment objective is effective in rejuvenating asset growth and thus repositioning the fund to younger life cycle stages. However, the strategy of adding portfolio managers appears to have no such rejuvenation effect.
