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On The Industry Concentration Of Actively Managed Equity Mutual Funds
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Book Synopsis On the Industry Concentration of Actively Managed Equity Mutual Funds by : Marcin T. Kacperczyk
Download or read book On the Industry Concentration of Actively Managed Equity Mutual Funds written by Marcin T. Kacperczyk and published by . This book was released on 2009 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mutual fund managers may decide to deviate from a well-diversified portfolio and concentrate their holdings in industries where they have informational advantages. In this paper, we study the relation between the industry concentration and the performance of actively managed U.S. mutual funds from 1984 to 1999. Our results indicate that, on average, more concentrated funds perform better after controlling for risk and style differences using various performance measures. This finding suggests that investment ability is more evident among managers who hold portfolios concentrated in a few industries.
Book Synopsis On the Industry Concentration of Actively Managed Equity Mutual Funds by : Marcin Kacperczyk
Download or read book On the Industry Concentration of Actively Managed Equity Mutual Funds written by Marcin Kacperczyk and published by . This book was released on 2004 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mutual fund managers may decide to deviate from a well-diversified portfolio and concentrate their holdings in industries where they have informational advantages. In this paper, we study the relation between the industry concentration and the performance of actively managed U.S. mutual funds from 1984 to 1999. Our results indicate that, on average, more concentrated funds perform better after controlling for risk and style differences using various performance measures. This finding suggests that investment ability is more evident among managers who hold portfolios concentrated in a few industries.
Book Synopsis Industry Concentration and Mutual Fund Performance by : Marcin T. Kacperczyk
Download or read book Industry Concentration and Mutual Fund Performance written by Marcin T. Kacperczyk and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the relation between the industry concentration and the performance of actively managed U.S. mutual funds from 1984 to 2003. Our results indicate that the most concentrated funds perform better after controlling for risk and style differences using factor-based performance measures. This finding suggests that investment ability is more evident among managers who hold portfolios concentrated in a few industries.
Book Synopsis The Mutual Fund Industry by : R. Glenn Hubbard
Download or read book The Mutual Fund Industry written by R. Glenn Hubbard and published by Columbia University Press. This book was released on 2010 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mutual funds form the bedrock of retirement savings in the United States, and, considering their rapid growth over recent decades, are sure to become even more financially critical in the coming decades. Because the size of fees paid by investors to mutual fund advisers can strongly affect the return on investment, these fees have become contentious in Congress and the courts, with many arguing that investment advisers grow rich at the expense of investors. This groundbreaking book not only conceptualizes a new economic model for the industry but uses this model to test price competition between investment advisers. Its highly experienced authors track the growth of the industry over the past twenty-five years and present the arguments and evidence both for and against theories of adviser malfeasance, as well as the assertion that market forces fail to protect investors' returns from excessive fees. The volume briefly reviews the regulatory history of mutual fund fees and leading case decisions addressing excessive fees. It also reveals the extent to which the governance structure of mutual funds impacts fund performance. There is no greater text for those who seek to understand today's mutual fund industry, including investors, money managers, fund directors, securities lawyers, economists, and those concerned with regulatory policy toward mutual funds
Book Synopsis Do Mutual Funds Time the Market? Evidence from Portfolio Holdings by : George J. Jiang
Download or read book Do Mutual Funds Time the Market? Evidence from Portfolio Holdings written by George J. Jiang and published by . This book was released on 2020 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous research finds insignificant market-timing ability for mutual funds using tests based on fund returns. The return-based tests, however, are subject to the lsquo;lsquo;artificial timing'' bias. In this paper, we propose and implement new measures of market timing based on mutual fund holdings. Our holdings-based measures do not suffer from the artificial timing bias. We find that, on average, actively managed U.S. domestic equity funds have positive timing ability. Market timing funds use non-public information to predict market returns, tend to have high industry concentration, large fund size, a tilt toward small-cap stocks, and are active in industry rotation.lt;brgt.
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 Performance and Characteristics of Actively Managed Institutional Equity Mutual Funds by : H. Kent Baker
Download or read book Performance and Characteristics of Actively Managed Institutional Equity Mutual Funds written by H. Kent Baker and published by . This book was released on 2016 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we provide extensive evidence on the performance characteristics of 1,118 U.S. domestic, actively managed institutional equity mutual funds. We measure performance using such measures as three-year Sharpe ratios, Jensen's alphas, and Miller's active alphas as well as annualized Russell Index-adjusted returns over multiple periods (1, 3, 5, 10, 15 years). We relate performance to fund attributes including expense ratio class, net assets, 12b-1 fees dummy, turnover ratio, beta, cash, and dividend yield.We analyze the disparity of expense ratios of actively managed institutional equity mutual funds and find that expense ratios differ widely among Morningstar categories. Consistent with previous mutual fund studies, we find strong evidence that the average actively managed institutional equity mutual fund cannot beat a representative benchmark after expenses.
Book Synopsis The Relation Between Price and Performance in the Mutual Fund Industry by : Javier Gil-Bazo
Download or read book The Relation Between Price and Performance in the Mutual Fund Industry written by Javier Gil-Bazo and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Gruber (1996) drew attention to the puzzle that investors buy actively managed equity mutual funds, even though on average, such funds underperform index funds. We uncover another puzzling fact about the market for equity mutual funds: Funds with worse before-fee performance charge higher fees. This negative relation between fees and performance is robust and can be explained as the outcome of strategic fee-setting by mutual funds in the presence of investors with different degrees of sensitivity to performance. We also find some evidence that better fund governance may bring fees more in line with performance.
Book Synopsis Mutual fund performance and the incentive to invest in active management by : Diane Del Guercio
Download or read book Mutual fund performance and the incentive to invest in active management written by Diane Del Guercio and published by . This book was released on 2011 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well known that within U.S. domestic equity mutual funds, actively managed funds significantly underperform index funds. However, this comparison ignores the fact that mutual funds targeted at different types of investors charge different fees, and use these fees to provide different bundles of services. To control for these differences, we compare the performance of actively managed funds and index funds within each of three broad market segments: retail funds sold directly to investors, retail funds sold through brokers, and institutional funds. We find that underperformance is strongest in the broker-sold segment and weakest in the direct-sold segment. In fact, we find that within the direct-sold segment, the risk-adjusted, after-fee returns of actively managed funds are statistically indistinguishable from those of index funds, consistent with the equilibrium condition in Grossman and Stiglitz (1980). To rationalize differences in performance, we test for differences in the flow-performance relation across the three segments. We find that fund flows respond most strongly to risk-adjusted returns in the direct-sold segment. We find a wide variety of evidence that direct-sold funds respond to investor preferences for risk-adjusted performance by investing more in active management. Our findings suggest that the underperformance of the average actively managed fund reflects its weaker incentives to generate alpha rather than an inability to generate alpha. We argue that our findings also help to explain the continued demand for actively managed funds.
Download or read book The Fund Industry written by Robert Pozen and published by John Wiley & Sons. This book was released on 2015-02-02 with total page 549 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to how your money is managed, with foreword by Nobel laureate Robert Shiller The Fund Industry offers a comprehensive look at mutual funds and the investment management industry, for fund investors, those working in the fund industry, service providers to the industry and students of financial institutions or capital markets. Industry experts Robert Pozen and Theresa Hamacher take readers on a tour of the business of asset management. Readers will learn how to research a fund and assess whether it's right for them; then they'll go behind the scenes to see how funds are invested, sold and regulated. This updated edition expands coverage of the segments of the industry where growth is hottest, including hedge funds, liquid alternatives, ETFs and target date funds—and adds an introduction to derivatives. Mutual funds are a key component of financial planning for 96 million Americans. Nearly a quarter of U.S. household savings are invested in funds, which give individual investors affordable access to professional management. This book provides a detailed look at how firms in the industry: Invest those savings in stocks and bonds Evaluate the risks and returns of funds Distribute funds directly to consumers or through financial advisors or retirement plans Handle the complex operational and regulatory requirements of mutual funds Vote proxies at the annual meetings of public companies Expand their operations across borders Along the way, the authors describe the latest trends and discuss the biggest controversies—all in straightforward and engaging prose. The Fund Industry is the essential guide to navigating the mutual fund industry.
Book Synopsis Mutual Funds as Institutional Investors by : Robert Pozen
Download or read book Mutual Funds as Institutional Investors written by Robert Pozen and published by John Wiley and Sons. This book was released on 2011-05-09 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Every investor, student of finance and participant in the mutual fund industry needs to read this book The Fund Industry details how mutual funds are marketed, regulated, and invested in stocks and bonds. The book also describes the critical factors needed to choose a specific fund for your investment or retirement plan, including what to look for when reading prospectuses, shareholder reports and third party reviews. In addition, the book: Discusses the spread of mutual funds to Asia, Europe, and Latin AmericaCompares mutual funds to other investment vehicles such as hedge funds and ETFsShows.
Book Synopsis The Equity Home Bias Puzzle by : Ian Cooper
Download or read book The Equity Home Bias Puzzle written by Ian Cooper and published by . This book was released on 2013 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: Home bias - the empirical phenomenon that investors assign anomalously high weights to their own domestic assets - has puzzled academics for decades: financial theory predicts that an internationally well diversified portfolio of stocks and short-term bonds can reduce risk significantly without affecting expected return. Although the globalization of international equity markets has increased international investments, equity portfolios remain severely home biased today, and no single explanation seems to solve the puzzle completely. In this paper, we first provide a thorough description of the equity home bias phenomenon by defining, discussing, and applying the competing measures and presenting some estimates of the costs of under-diversification. Second, we evaluate the explanations for the equity home bias proposed in the literature such as information asymmetries, behavioral aspects, barriers to foreign investment, and governance issues, and conclude that each explanation on its own falls short, suggesting that the equity home bias probably reflects a combination of factors. Lastly, we review the implications of international under-diversification for portfolio formation and the cost of capital of companies.
Book Synopsis Performance and Characteristics of Actively Managed Retail Equity Mutual Funds with Diverse Expense Ratios by : John A. Haslem
Download or read book Performance and Characteristics of Actively Managed Retail Equity Mutual Funds with Diverse Expense Ratios written by John A. Haslem and published by . This book was released on 2018 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the relation between the performance and characteristics of 1,779 domestic, actively managed retail equity mutual funds with diverse expense ratios. We show that using expense ratio standard deviation classes is an effective method for characterizing fund expenses for investors. Using various performance measures including Russell-index-adjusted returns, the results indicate that superior performance, on average, occurs among large funds with low expense ratios, low trading activity, and no or low front-end loads. Performance is invariant with respect to whether funds have 12b-1 fees.
Book Synopsis US Equity and Actively Managed Mutual Funds by : Shamirk Jose Diaz Soto
Download or read book US Equity and Actively Managed Mutual Funds written by Shamirk Jose Diaz Soto and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Evaluating and Investing in Equity Mutual Funds by : Lubos̆ Pástor
Download or read book Evaluating and Investing in Equity Mutual Funds written by Lubos̆ Pástor and published by . This book was released on 2000 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our framework for evaluating and investing in mutual funds combines observed returns on funds and passive assets with prior beliefs that distinguish pricing-model inaccuracy from managerial skill. A fund's alpha' is defined using passive benchmarks. We show that returns on non-benchmark passive assets help estimate that alpha more precisely for most funds. The resulting estimates generally vary less than standard estimates across alternative benchmark specifications. Optimal portfolios constructed from a large universe of equity funds can include actively managed funds even when managerial skill is precluded. The fund universe offers no close substitutes for the Fama-French and momentum benchmarks
Book Synopsis A Reliable Performance Measure to Differentiate China's Actively Managed Open-End Equity Mutual Funds by : Ali M. Kutan
Download or read book A Reliable Performance Measure to Differentiate China's Actively Managed Open-End Equity Mutual Funds written by Ali M. Kutan and published by . This book was released on 2018 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We compare different fund performance measures to examine which performance measures can generate risk-adjusted returns between high ranked and low ranked China's actively managed open-end equity mutual funds. Our results show that only the 6-factor (Fama and French (2015) five factors plus a momentum factor) alpha as the performance measure meets the criteria. Separated by the 6-factor alpha, better performed funds tend to have larger asset under management and higher percentage of hybrid funds. Through our sample period from July 2004 to December 2015, the highest ranked quintile funds generate monthly 0.24% risk-adjusted return more than the lowest ranked quintile funds. Furthermore, our results from fund return, holding return, and trading data all demonstrate the better performance comes mostly from the bear markets, suggesting those better performed funds exhibit their market timing and stock picking abilities when investors need them most.
Book Synopsis The Mismatch Between Mutual Fund Scale and Skill by : Yang Song
Download or read book The Mismatch Between Mutual Fund Scale and Skill written by Yang Song and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I demonstrate that skill and scale are mismatched among actively managed equity mutual funds. Many mutual fund investors confuse the effects of fund exposures to common systematic factors with managerial skill when allocating capital among funds. Active mutual funds with positive factor-related past returns thus accumulate assets to the point that they significantly underperform. I also show that the negative aggregate benchmark-adjusted performance of active equity mutual funds is mainly caused by this small subset of oversized funds.
