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Performance Performance Persistence And Fund Flows
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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 Performance, Performance Persistence and Fund Flows by : Yuansu Ge
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:
Book Synopsis Performance, Perfomance Persistence and Fund Flows by : Yuansu Ge
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:
Book Synopsis Mutual Fund Flows, Performance Persistence, and Manager Skill by : Yan Albert Wang
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.
Book Synopsis Mutual Fund Flows, Performance Persistence and Manager Skill by : Yan Wang
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:
Book Synopsis Return Persistence and Fund Flows in the Worst Performing Mutual Funds by : Jonathan Berk
Download or read book Return Persistence and Fund Flows in the Worst Performing Mutual Funds written by Jonathan Berk and published by . This book was released on 2010 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We document that the observed persistence amongst the worst performing actively managed mutual funds is attributable to funds that have performed poorly both in the current and prior year. We demonstrate that this persistence results from an unwillingness of investors in these funds to respond to bad performance by withdrawing their capital. In contrast, funds that only performed poorly in the current year have a significantly larger (out)flow of funds/return sensitivity and consequently show no evidence of persistence in their returns.
Book Synopsis Return Persistence and Fund Flows in the Worst Performing Mutual Funds by : Jonathan B. Berk
Download or read book Return Persistence and Fund Flows in the Worst Performing Mutual Funds written by Jonathan B. Berk and published by . This book was released on 2007 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: We document that the observed persistence amongst the worst performing actively managed mutual funds is attributable to funds that have performed poorly both in the current and prior year. We demonstrate that this persistence results from an unwillingness of investors in these funds to respond to bad performance by withdrawing their capital. In contrast, funds that only performed poorly in the current year have a significantly larger (out)flow of funds/return sensitivity and consequently show no evidence of persistence in their returns.
Book Synopsis What Explains Performance Persistence of Corporate Bond Mutual Funds? by :
Download or read book What Explains Performance Persistence of Corporate Bond Mutual Funds? written by and published by . This book was released on 2005 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the performance of corporate bond mutual funds during the period from 1990 to 2003. We find strong evidence of persistence in risk-adjusted performance. The reason behind the persistent performance varies across fund types. For high-quality bond funds, the persistence is driven by time-varying factor loadings, where fund managers trade dynamically on the economic information, such as the term structure and macroeconomic factors. However, the persistence of high-yield bond funds cannot be explained by the fee structure, momentum, callability, non-synchronous trading or time-varying factor loadings. Further examination on the fund flows suggests that the existence of performance persistence is due to the fact that fund flows are not sensitive to the risk-adjusted fund performance, which is consistent with the theory suggested by Berk and Green (2004). Our results have further implications for corporate bond fund selection by investors.
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.
Book Synopsis Dynamics of Cross-Border Flow-Performance Relationships by : Simon Weiler
Download or read book Dynamics of Cross-Border Flow-Performance Relationships written by Simon Weiler and published by Springer. This book was released on 2014-11-19 with total page 107 pages. Available in PDF, EPUB and Kindle. Book excerpt: In order to measure the dynamics of flow-performance relationships for a multi-domicile sample, Simon Weiler applies existing flow-performance research methods to a broad set of European equity (UCITS) funds and proves that major findings (performance-chasing behaviour and a convex flow-performance relationship) also hold true in a cross-border market environment.
Book Synopsis Is Money Really "smart'? by : Russ Wermers
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:
Book Synopsis Performance, Performance Persistence and Fund Flows by : James Peter Clark
Download or read book Performance, Performance Persistence and Fund Flows written by James Peter Clark and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Venture Capital Funds by : Ludovic Phalippou
Download or read book Venture Capital Funds written by Ludovic Phalippou and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper finds that venture capital funds that are expected to be backed by more skilled investors show no performance persistence but a significant flow-performance relationship. In contrast, funds that are expected to be backed by less skilled investors show performance predictability and have a non-significant flow-performance relationship. These results suggest that only skilled investors use all available information to adjust their capital allocation and, as a result, eliminate performance predictability as argued theoretically by Berk and Green (2004). Results also show that Kaplan and Schoar (2005) overstate the persistence in fund performance by not using an ex ante measure of the performance of earlier funds. Whether or not an ex ante measure is used, however, the persistence is largely due to unsophisticated investors. When investors are sophisticated, the performance of earlier funds, sequence and fund size do not help predict the performance of the focal fund.
Book Synopsis How Investors Interpret Past Fund Returns by : Anthony W. Lynch
Download or read book How Investors Interpret Past Fund Returns written by Anthony W. Lynch and published by . This book was released on 2011 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several recent papers find a convex relation between past returns and fund flows of open-end mutual funds. We show this pattern to be consistent with fund incentives, in that funds will discard exactly those strategies which underperform. Past returns contain less information about the future performance of funds which change strategies, so fund flows are less sensitive to past returns when past returns are lower. Evidence from the performance persistence literature supports this view, though the behavior of investors in the very worst funds remains anomalous. We test two implications of our story using a new data set of daily mutual fund returns from Micropal and manager-change dates from the CRSP mutual fund data set. The first implication is that strategy changes occur only after bad fund performance. The other is that poor performers who change strategy enjoy a larger performance improvement than poor performers who do not. Using change in risk loadings from a four factor model and a manager-change variable as proxies for change in strategy, we find empirical support for both these implications.
Book Synopsis Is the Flow-Performance Relationship Really Convex? - The Impact of Data Treatment and Model Specification by : Alexander Schiller
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.
Book Synopsis Mutual Fund Flows and Performance Streaks - How Mutual Fund Selection is Driven by Behavioural Biases by : Kai Aschick
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.
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.
