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Performance And Characteristics Of Actively Managed Institutional Equity Mutual Funds
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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 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 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 Institutional Money Management by : David M. Smith
Download or read book Institutional Money Management written by David M. Smith and published by John Wiley & Sons. This book was released on 2011-10-27 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: An informative look at institutional investment management methods and practice The policies, practices, and decisions of institutional investment managers worldwide affect the economic health of not only the institutions themselves, but of countless individual clients as well. Overall, this area of finance has great impact on the capital markets. Filled with in-depth insights and practical advice, Institutional Money Management is an important basis of knowledge regarding both the theory and practice of this ever-evolving area of finance. Part of the Robert W. Kolb Series in Finance, this book on institutional investment management showcases contributed chapters from professional and academic experts in banking, insurance companies, mutual funds, pension funds, and endowments. Along the way, issues covered included everything from the role of institutional investors within the financial system and the structures that have emerged and evolved to industry standards of ethical practice and investment performance presentation. Provides a detailed examination of the objectives, constraints, methods, and stakeholders for the dominant types of institutional investors Focuses on the portfolio management strategies and techniques used by institutional investors Contains contributed chapters from numerous thought-leaders in the field of finance The practice of institutional investment management presents a diverse set of challenges. But with this book as your guide, you'll gain a better understanding of how you can overcome these challenges and manage your portfolio more effectively.
Book Synopsis Asset Management and Institutional Investors by : Ignazio Basile
Download or read book Asset Management and Institutional Investors written by Ignazio Basile and published by Springer. This book was released on 2016-07-27 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyses investment management policies for institutional investors. It is composed of four parts. The first one analyses the various types of institutional investors, institutions which, with different objectives, professionally manage portfolios of financial and real assets on behalf of a wide variety of individuals. This part goes on with an in-depth analysis of the economic, technical and regulatory characteristics of the different types of investment funds and of other types of asset management products, which have a high rate of substitutability with investment funds and represent their natural competitors. The second part of the book identifies and investigates the stages of the investment portfolio management. Given the importance of strategic asset allocation in explaining the ex post performance of any type of investment portfolio, this part provides an in-depth analysis of asset allocation methods, illustrating the different theoretical and operational solutions available to institutional investors. The third part describes performance assessment, its breakdown and risk control, with an in-depth examination of performance evaluation techniques, returns-based style analysis approaches, and performance attribution models. Finally, the fourth part deals with the subject of diversification into alternative asset classes, identifying the common characteristics and their possible role within the framework of investment management policies. This part analyses hedge funds, private equity, real estate, commodities, and currency overlay techniques.
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 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.
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 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.
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 Asset Management and Institutional Investors by : Ignazio Basile
Download or read book Asset Management and Institutional Investors written by Ignazio Basile and published by Springer. This book was released on 2024-10-11 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition of the book analyses the latest developments in investment management policy for institutional investors. It is divided into four parts, which have been updated to include the newest approaches and strategies in asset allocation, portfolio management and performance evaluation. The first part analyses the different types of institutional investors, i.e. institutions that professionally manage portfolios of financial and real assets on behalf of a wide range of individuals. This part goes on with an in-depth analysis of the economic, technical and regulatory characteristics of the various categories of investment funds and of other types of asset management products, which have a high rate of substitutability with investment funds and represent their natural competitors. The second part of the book identifies and investigates the stages of the investment portfolio management. Given the importance of strategic asset allocation in explaining the ex post performance of any type of investment portfolio, this part provides an in-depth analysis of asset allocation methods, illustrating the different theoretical and operational solutions available to institutional investors. The third part describes performance assessment, its breakdown and risk control, with an in-depth examination of performance evaluation techniques, returns-based style analysis approaches and performance attribution models. Finally, the fourth part deals with the subject of diversification into alternative asset classes, identifying the common characteristics and their possible role within the framework of investment management policy. This part analyses hedge funds, private equity, private debt, real estate, infrastructures, commodities and currency overlay techniques.
Book Synopsis The Indian Mutual Fund Industry by : G. Sekhar
Download or read book The Indian Mutual Fund Industry written by G. Sekhar and published by Springer. This book was released on 2014-08-29 with total page 201 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dr. Sekhar offers comprehensive knowledge on the mutual fund industry in India and provides ready-made practical information for investors. He presents an overview of investment patterns for both public and private sector mutual funds, and analyses the performance of selected schemes using various measures of risk.
Book Synopsis The Performance of Actively and Passively Managed Swiss Equity Funds by : Manuel Ammann
Download or read book The Performance of Actively and Passively Managed Swiss Equity Funds written by Manuel Ammann and published by . This book was released on 2013 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a Switzerland-specific Carhart model, we study the risk-adjusted performance of actively and passively managed mutual funds investing in Swiss stocks from 1989 to 2007. We also compare the performance of actively managed funds to passively managed funds instead of comparing them to a theoretical index. For a sample of 160 funds with 13,672 monthly observations we find that active as well as passive funds significantly underperform indices on an aggregated basis. However, active large-cap funds significantly underperform and active Small-amp;Mid-Cap-funds significantly outperform the index. Further, we find that the average manager of an active Swiss equity fund systematically overweights small-cap, value, and low-momentum stocks. When directly comparing active to passive funds, active funds significantly underperform by -1.1% p.a. on average. While active institutional funds can almost keep up with the performance of passive funds, active retail funds cannot and drive the substantial underperformance observed for active funds. Finally, active funds perform better before the millennium than thereafter. This robust result supports the hypothesis of ongoing efficiency increases in the Swiss stock market.
Book Synopsis Performance Evaluation of Chinese Actively Managed Stock Mutual Funds by : Yeguang Chi
Download or read book Performance Evaluation of Chinese Actively Managed Stock Mutual Funds written by Yeguang Chi and published by . This book was released on 2013 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aggregate portfolio of Chinese actively managed stock mutual funds exhibits a large and significantly positive alpha. Results from bootstrap simulations indicate that most Chinese active stock mutual fund managers have skill. A substantial amount of their outperformance can be attributed to the fund managers' stock picking abilities. Using a Chinese insider trading dataset, I show that the large shareholding companies (including stock mutual funds) possess information that generates significant abnormal returns. Furthermore, I find evidence that stock fund managers trade in accordance with insiders. Finally, I find Chinese institutional investors outperform the market. As institutional ownership of the stock market grows, performance erodes among stock mutual funds.
Book Synopsis The Management of Mutual Funds by : G.V. Satya Sekhar
Download or read book The Management of Mutual Funds written by G.V. Satya Sekhar and published by Springer. This book was released on 2016-11-12 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides insight into the multi-dimensional process of coordinating and supervising mutual funds. This book focuses on the management of mutual funds within financial markets, with an emphasis on how corporate governance and benchmarking influence asset and portfolio management. Chapters explore four important aspects of this process in particular detail: corporate governance, benchmarking, asset management and portfolio management. The author shows that the mutual fund industry provides wider access to payment systems and to a savings safety-net that operates similarly to deposit insurance. Furthermore, he demonstrates that the Indian government’s focus is on establishing the right of every person to have access to affordable basic financial services offered by banks and non-banks.
Book Synopsis Modern Portfolio Management by : Martin L. Leibowitz
Download or read book Modern Portfolio Management written by Martin L. Leibowitz and published by John Wiley & Sons. This book was released on 2009-01-09 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt: Active 130/30 Extensions is the newest wave of disciplined investment strategies that involves asymmetric decision-making on long/short portfolio decisions, concentrated investment risk-taking in contrast to diversification, systematic portfolio risk management, and flexibility in portfolio design. This strategy is the building block for a number of 130/30 and 120/20 investment strategies offered to institutional and sophisticated high net worth individual investors who want to manage their portfolios actively and aggressively to outperform the market.
Book Synopsis Encyclopedia of Finance by : Cheng-Few Lee
Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Nature. This book was released on 2022-09-12 with total page 2746 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Encyclopedia of Finance comprehensively covers the broad spectrum of terms and topics relating finance from asset pricing models to option pricing models to risk management and beyond. This third edition is comprised of over 1,300 individual definitions, chapters, appendices and is the most comprehensive and up-to-date resource in the field, integrating the most current terminology, research, theory, and practical applications. It includes 200 new terms and essays; 25 new chapters and four new appendices. Showcasing contributions from an international array of experts, the revised edition of this major reference work is unparalleled in the breadth and depth of its coverage.
