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Mutual Fund Flows And Past Performance
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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 Dynamics of the Impact of Past Performance on Mutual Fund Flows by : Alexei Petrovich Goriaev
Download or read book The Dynamics of the Impact of Past Performance on Mutual Fund Flows written by Alexei Petrovich Goriaev and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 The Dynamics of the Impact of Past Performance on Mutual Fund Flows by : Alexei Petrovich Goriaev
Download or read book The Dynamics of the Impact of Past Performance on Mutual Fund Flows written by Alexei Petrovich Goriaev and published by . This book was released on 2001 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Anchor Academic Publishing. This book was released on 2016-10 with total page 93 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.
Book Synopsis Participation Costs and the Sensitivity of Fund Flows to Past Performance by : Jennifer C. Huang
Download or read book Participation Costs and the Sensitivity of Fund Flows to Past Performance written by Jennifer C. Huang and published by . This book was released on 2006 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a simple rational model to highlight the effect of investors' participation costs on the response of mutual fund flows to past fund performance. By incorporating participation costs into a model in which investors learn about managers' ability from past returns, we show that mutual funds with lower participation costs have a higher flow sensitivity to medium performance and a lower flow sensitivity to high performance than their higher-cost peers. Using various fund characteristics as proxies for the reduction in participation costs, we provide empirical evidence supporting the model's implications for the asymmetric flow-performance relationship.
Book Synopsis Three Essays on Mutual Funds by : Xuemei Guo
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.
Book Synopsis Mutual Fund Flows and Past Performance by : Kritchai Chatkraiseri
Download or read book Mutual Fund Flows and Past Performance written by Kritchai Chatkraiseri and published by . This book was released on 2016 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Investor Learning and Mutual Fund Flows by : Jennifer C. Huang
Download or read book Investor Learning and Mutual Fund Flows written by Jennifer C. Huang and published by . This book was released on 2012 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the implications of investor learning for the sensitivity of mutual fund flows to past performance. We illustrate theoretically that when some sophisticated investors learn from past fund performance to form their posterior expectations of managerial ability, the flow-performance sensitivity should be weaker for funds with more volatile past performance and longer track records. Moreover, the dampening effects of performance volatility and fund age on the flow-performance sensitivity should be stronger for funds attracting more sophisticated investors. We provide supporting evidence for this investor learning hypothesis using mutual fund flows and compare the relative level of sophistication among investors in load versus no-load funds, institutional versus retails funds, and star versus non-star funds.
Book Synopsis Performance of Mutual Funds by : G. Gregoriou
Download or read book Performance of Mutual Funds written by G. Gregoriou and published by Springer. This book was released on 2015-12-04 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book responds to a growing demand for mutual funds. This timely collection of original papers focuses on changes of international investment in Europe, the US and New Zealand. Using a fresh approach, innovative techniques and various models this book assesses performance and provides an understanding of mutual funds on an international level.
Book Synopsis Performance Chasing, Fund Flows and Fund Size in Real Estate Mutual Funds by : Julia Chou
Download or read book Performance Chasing, Fund Flows and Fund Size in Real Estate Mutual Funds written by Julia Chou and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Real estate mutual funds have grown dramatically in number, size, scope and assets under management over the last 15 years, but little assessment is evident. The present study addresses this limitation. Better prior period performance is associated with greater shares of fund inflows for a period. Returns, however, are negatively associated with increased fund flows and fund size. Investors chase past performance limiting fund managers' ability to optimize investments. Under normal market conditions, but departing from typical mutual fund performance, real estate mutual fund returns generally exceed relevant benchmarks on a before expenses basis and match benchmark returns after expenses. The ability to meet and exceed benchmark returns, however, does not hold during the financial crisis period. Overall, more established funds are shown to have higher returns while fund turnover is not a determinants of returns.
Book Synopsis Mutual Fund Flows and Performance in Rational Markets by : Jonathan B. Berk
Download or read book Mutual Fund Flows and Performance in Rational Markets written by Jonathan B. Berk and published by . This book was released on 2002 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Fund Flows and Performance - a Study of Canadian Equity Funds by : Rajeeva Sinha
Download or read book Fund Flows and Performance - a Study of Canadian Equity Funds written by Rajeeva Sinha and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the behavior of mutual fund investors with a specific focus on fund flows - performance relationship. Using a comprehensive survivorship bias free sample of Canadian open-end equity mutual funds and panel data analysis we find evidence of a rational response of fund flows to upside and downside performance changes. Unlike the findings on US funds and investors, we find that investors neither chase winners nor hang on to losing funds. While investors do allocate funds based on past performance the allocations do not disproportionately in favor star funds. Poor performers experience significant fund withdrawals. Combined with the evidence on a positive association of returns variability with fund flows this fund flow performance relationship shows that the fund incentive structure is not biased towards greater risk taking by fund managers. The size of the fund family and previous fund allocations are also significant in influencing decisions on future fund allocations. We also show lack of short and longterm performance persistence. Inspite of the evidence on a rational response the returns realized by investors are lower than the returns reported by mutual funds suggesting poor ability to time the market.
Download or read book Mutual Funds written by Donald Edwards and published by Novinka Books. This book was released on 2016-12-19 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors of this book provide and discuss new research on performance measurements, types, and impacts on stock returns of mutual funds. Chapter One reviews the theoretical and empirical literature relating to mutual fund performance, screening, and fund flows. Chapter Two examines performance of Thai equity mutual funds over 5-year time periods of investment. Chapter Three provides mutual fund prediction models using artificial neural networks and genetic programming.
Book Synopsis Relationship Between Mutual Fund Flow and Fund Performance by : Jun Liu (S.M.)
Download or read book Relationship Between Mutual Fund Flow and Fund Performance written by Jun Liu (S.M.) and published by . This book was released on 2011 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Use publically available data set on Chinese stock oriented mutual funds, examine whether the fund flow within one period depends on the past performance of this individual fund, and if there's a relationship, then what the detailed linkage between the past performance and the current period fund flow is. Different models involving regression will be used to exam the significance of each factor that may contribute to the relationship. The results found by using Chinese market data will be compared to developed markets, for example, the U.S. market, see if similar patterns appear in both markets.
Book Synopsis Fund Flows and Past Performance in Australian Managed Funds by : Thadavillil Jithendranathan
Download or read book Fund Flows and Past Performance in Australian Managed Funds written by Thadavillil Jithendranathan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Purpose - The purpose of this paper is to examine the various segments of the managed funds market to establish if there is any significant difference in the way the assets are allocated into various asset categories and if investors base their investment decisions based on the past performance of the fund.Design/methodology/approach - An average investor who does not possess superior investment knowledge may base their investment decision on the past performance of funds resulting in flow based on past performance. This study uses a panel regression model to test the relationship between net flows and past excess returns.Findings - Significant differences are found in asset allocation between the retail and wholesale segments. Retail investors prefer less risky investments compared to wholesale investors and have lower preference for overseas investments. The results indicate that investors base their investment decisions on the past performance of funds, with the retail segment showing a higher level of influence of past performance, as compared to the wholesale segment. The results further show less evidence of a reaction to risk among the managed investment categories.Practical implications - Fund managers use fund performance for marketing purposes and results of the study may be of importance to the managers and investors in understanding this objective. The findings are also of significance for policy makers in terms of understanding investor behaviour.Originality/value - This is the first study of the Australian managed funds industry (including wholesale and retail funds) that tests the link between past performance and fund flows. The study includes data until June 2008, which includes a period when a number of policy changes occurred in Australian superannuation industry.
Book Synopsis Real Estate Fund Flows and the Flow-Performance Relationship by : David H. Downs
Download or read book Real Estate Fund Flows and the Flow-Performance Relationship written by David H. Downs and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Convexity in the flow-performance relationship of traditional asset class mutual funds is widely documented, however, it cannot be assumed to hold for alternative asset classes. This paper addresses this shortcoming in the literature by examining the flow-performance relationship for real estate funds, specifically open-end, direct-property funds. This investment vehicle is designed to provide the risk-return benefits of private market real estate and is available to retail investors in many countries across the globe. An understanding of fund flow dynamics associated with this investment vehicle is of particular interest due to the liquidity risk associated with holding an inherently illiquid asset in an open-end structure. Our analysis draws on the theoretical foundations provided in the literature on mutual fund flows, performance chasing, liquidity risk, participation costs and dynamics across market cycles. We focus on German real estate funds from 1990 to 2010 as this is the largest market globally and there is a high level of confidence in the data. The results show that real estate fund investors chase past performance at the aggregate level and the relationship between flows and relative performance is asymmetric (i.e., convex) at the individual fund level. Fund-level liquidity risk tends to weaken convexity, while sensitivity increases with higher participation costs. We find the flow-performance relationship varies across time, though our interpretation is asset and investment vehicle specific. The implications are applicable to investors and fund managers of open-end, direct-property funds and, more broadly, other alternative asset funds where the underlying asset may not be liquid.
