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Author : Yuansu Ge
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (12 download)
Download or read book Performance, Perfomance Persistence and Fund Flows written by Yuansu Ge and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Lückoff
Publisher : Springer Science & Business Media
ISBN 13 : 3834927805
Total Pages : 604 pages
Book Rating : 4.8/5 (349 download)
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.
Author : Yuansu Ge
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)
Download or read book Performance, Performance Persistence and Fund Flows written by Yuansu Ge and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yan Albert Wang
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (129 download)
Download or read book Mutual Fund Flows, Performance Persistence, and Manager Skill written by Yan Albert Wang and published by . This book was released on 2014 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper adapts the model of Berk and Green (2004) to explain with reasonable success the data on mutual fund returns and flows. Using a Bayesian measure of fund-manager skill that controls for fund flows, I find that posterior estimates of skill vary substantially in the cross section and that perceived differences in ability persist through time. Consistent with the model, investor fund flows respond in a convex manner to posterior updates of manager skill scaled by functions of the expense ratio, and this result is robust after including a convex function of past performance. While cross-sectional variation in posterior skill estimates has predictive power for out-of-sample subsequent fund performance, such predictability is present only in the short run. Beyond one year, high-skilled managers do not consistently out-perform low-skilled managers as skill-chasing fund flows equalize the realized abnormal fund returns across managers. Overall, my empirical evidence is consistent with some managers possessing high ability, investors rationally chasing returns generated by those managers, and lack of long-run persistence in fund returns due to equilibrating fund flows and diseconomies of scale in assets under management. Outside of the model, I show that the cross-sectional distribution of managerial ability is related to fund style and fund-manager compensation in a way that is consistent with matching the managerial productivity to the nature of the underlying portfolio.
Author : Yan Wang
Publisher :
ISBN 13 :
Total Pages : 164 pages
Book Rating : 4.:/5 (79 download)
Download or read book Mutual Fund Flows, Performance Persistence and Manager Skill written by Yan Wang and published by . This book was released on 2007 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Russ Wermers
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (527 download)
Download or read book Is Money Really "smart'? written by Russ Wermers and published by . This book was released on 2003 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alexander Schiller
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Is the Flow-Performance Relationship Really Convex? - The Impact of Data Treatment and Model Specification written by Alexander Schiller and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper challenges the convexity of the flow-performance relationship, according to which investors strongly chase top-performing funds, while fund flows exhibit little to no sensitivity to past performance within the segment of poorly performing funds. Our results suggest that the flow-performance relationship is not convex, but rather linear. In contrast to prior studies, we use reported (i.e., exact) instead of approximated fund flow data, we trim (instead of winsorize) outliers, and we account for persistence in fund flows. We find that each factor contributes to serious biases. For example, investor reactions to poor performance only appear insignificant when outliers are winsorized instead of trimmed. And it is even more evident that fund investors flee poorly performing funds when the model incorporates lagged flows to account for fund flow persistence. Furthermore, our results provide evidence that the degree to which investors chase top-performing funds appears to be slightly upward biased if approximated fund flows are used. Our findings have important implications for the potential moral hazard of fund managers.
Author : Kai Aschick
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (1 download)
Download or read book Mutual Fund Flows and Performance Streaks - How Mutual Fund Selection is Driven by Behavioural Biases written by Kai Aschick and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to existing literature by analysing the role of performance streaks in the US mutual fund industry. Existing research suggests that performance streaks, i.e. multiple consecutive months of positive or negative performance, are an important determinant of mutual fund flows. My dataset comprises monthly returns and net-flows from US equity mutual funds from 1996 through 2015. My first analysis shows that streaks are not an indication of performance persistence and should not be used in investment decisions. Next, I develop two forecasting models using streaks based on several different performance metrics, such as excess returns and CAPM-alphas. The first one is a probit model that forecasts future investor sentiment, measured by the sign of future net-flows. This model is very robust to different time period specifications. The second one is a multiple linear regression model that forecasts actual future net- flows. The performance of this model strongly depends on the time period specified, as it performs poorly following the financial crisis. In both models the best-performing specification uses streaks based on CAPM-alphas. However, a Shapley decomposition reveals that streaks are, despite being statistically significant, the least-important predictors of future net-flows. Instead, lagged net-flows are the most-important determinants of future net-flows. The results of this thesis suggest that active streaks tip the scales when investors decide between two or more funds with a comparable track record. Hence, the results presented are ambiguous regarding investor rationality.
Author : Vassilios Babalos
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (129 download)
Download or read book Testing for Persistence in Mutual Fund Performance and the Ex Post Verification Problem written by Vassilios Babalos and published by . This book was released on 2011 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study examines a series of performance measures as an attempt to resolve the ex post verification problem. These measures are employed to test the performance persistence hypothesis of domestic equity funds in Greece, during the period 1998-2004. Correctly adjusting for risk factors and documented portfolio strategies explains a significant part of the reported persistence. The intercept of the augmented Carhart regression is proposed as the most appropriate performance measure. Using this measure, weak evidence for persistence, only before 2001, is documented. The growth of the fund industry, the direction of flows to past winners and the integration in the international financial system are suggested to be the reasons for the absence of performance persistence.
Download or read book Is There Long-Term Persistence in Mutual Fund Performance? written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, I analyze long-term performance persistence for a sample of 6525 US equity mutual funds between 1970 and 2013. I test for evidence of five-year performance persistence by using a non-parametric method involving the construction of contingency tables. I also apply a parametric cross-sectional regression of fund performance on past fund performance. I conduct the tests with four different performance measures, namely continuous returns, Jensen's alphas, Four Factor alphas and Sharpe Ratios. I find evidence for performance persistence across all performance measures and with both methodologies. Four Factor alphas show the most significant evidence. The observed persistence is to a great extent driven by funds that consistently perform below or equal to the median of their peers during the analyzed time periods. Performance persistence is especially pronounced during periods where the market shows a sustained upward or downward trend. The results are robust for longer time horizons up to ten years. I find reversals in performance to occur especially when the testing period is to a large extent characterized by a sharp negative market movement, such as the aftermath of the technology bubble in the early years of the 21st century. Past performance over longer time periods can therefore be considered for the evaluation of a long-term investment in a mutual fund, but should not be used as a standalone criterion.
Author : F. Detzel
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Explaining Persistence in Mutual Fund Performance written by F. Detzel and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the determinants of persistence in mutual fund performance. Previous research that uses factor-mimicking portfolios and characteristic benchmarks to model fund performance fails to explain all the persistence in fund returns. This study employs a model that directly relates mutual fund returns to the characteristics of the stocks held by funds. Adjusting fund returns for the size of the stocks in which funds invest and financial ratios intended to capture fund manager investment styles explains all the persistence in mutual fund returns from 1976-1985, the period in which persistence is most prevalent.
Author : Richard C. Green
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (129 download)
Download or read book Mutual Fund Flows and Performance in Rational Markets written by Richard C. Green and published by . This book was released on 2004 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a simple rational model of active portfolio management that provides a natural benchmark against which to evaluate observed relationship between returns and fund flows. We show that many effects widely regarded as anomalous are consistent with this simple explanation. In the model, investments with active managers do not outperform passive benchmarks because of the competitive market for capital provision, combined with decreasing returns to scale in active portfolio management. Consequently, past performance cannot be used to predict future returns, or to infer the average skill level of active managers. The lack of persistence in active manager returns does not imply that differential ability across managers is nonexistent or unrewarded, that gathering information about performance is socially wasteful, or that chasing performance is pointless. A strong relationship between past performance and the ow of funds exists in our model, indeed this is the market mechanism that ensures that no predictability in performance exists. Calibrating the model to the fund flows and survivorship rates, we find these features of the data are consistent with the vast majority (80%) of active managers having at least enough skill to make back their fees.
Author : Alexei Petrovich Goriaev
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
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:
Author : Zekeriya Eser
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (145 download)
Download or read book Persistence in Mutual Fund Performance written by Zekeriya Eser and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zekeriya Eser
Publisher :
ISBN 13 : 9781109969399
Total Pages : 209 pages
Book Rating : 4.9/5 (693 download)
Download or read book Persistence in Mutual Fund Performance written by Zekeriya Eser and published by . This book was released on 2007 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keywords. Persistence, Calendar-Related Distortions, Robot Funds, Performance Attribution Models, Momentum Factors
Author : Alexei Petrovich Goriaev
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (671 download)
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:
Author : Jon A. Fulkerson
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (13 download)
Download or read book Do Investors Chase Performance Or Skill? Evidence from Mutual Fund Flows written by Jon A. Fulkerson and published by . This book was released on 2017 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: When evaluating a manager, investors should attempt to separate luck from skill. We find a mutual fund manager's demonstrated skill better predicts future performance than past fund performance. Despite that fact, investors tend to buy the funds with the best past performance, not the funds whose managers have demonstrated the most skill. Further, investors react strongly to fund performance even when it contains no information about manager skill. By failing to separate luck from skill, investors make inferior capital allocations.
