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Author : Thomas D. Ellis
Publisher :
ISBN 13 :
Total Pages : 280 pages
Book Rating : 4.:/5 (4 download)
Download or read book A Study of Characteristics Related to the Performance of Mutual Funds written by Thomas D. Ellis and published by . This book was released on 1973 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James David Philpot
Publisher :
ISBN 13 :
Total Pages : 334 pages
Book Rating : 4.:/5 (323 download)
Download or read book Performance-related Characteristics of Mutual Funds written by James David Philpot and published by . This book was released on 1994 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dunhong Jin
Publisher : International Monetary Fund
ISBN 13 : 1513519492
Total Pages : 46 pages
Book Rating : 4.5/5 (135 download)
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.
Author : Dariusz Filip
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book An Overview of Fund Performance and Attributes written by Dariusz Filip and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this study is to determine whether mutual fund attributes are related to investment performance. Organizational characteristics, such as size, age, family size and expense ratio, were collated with investment performance measured with the use of four different methods for a sample of 82 domestic equity funds operating in Poland in the period 2000-2015. The obtained results show that the asset size factor can translate into the generated return on investment. However, it must be indicated that this research is preliminary. It will enable the identification of the fund features which could be interpreted as determinants of performance in future studies employing more advanced research approaches.
Author : Richard T. Bliss
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (129 download)
Download or read book Performance Characteristics of Individual vs. Team Managed Mutual Funds written by Richard T. Bliss and published by . This book was released on 2006 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the fields of psychology and evolution, there is a large body of theory and evidence on how individual behavior differs from group behavior, particularly for performance and risk-taking activities. Even so, relatively little attention has been devoted to this topic for research on managed portfolios, though over 50% of mutual funds are managed by a team. This study is an empirical examination of whether funds managed by individuals perform differently than funds managed by teams. Using a sample of about three thousand equity mutual funds over a twelve-year horizon, we find that though funds managed by teams has grown by seven times the rate of funds managed by individuals, there is no significant difference in performance on a risk-adjusted basis. However, funds managed by teams are significantly less risky. In addition to differences in turnover in many fund categories, the total cost of owning a team-managed mutual fund is nearly fifty basis points lower per year than a mutual fund managed by an individual, on average.
Author : William J. Bertin
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Mutual Fund Characteristics, Managerial Attributes and Fund Performance written by William J. Bertin and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study provides a comprehensive examination of recent mutual fund performance by analyzing a large set of both mutual funds and fund attributes in an effort to link performance to fund-specific characteristics. The sample of funds used in this regression analysis is free of survivorship bias, and the study addresses benchmark issues as well. The results indicate that the hypothesized relationship between performance and the explanatory variables are generally upheld. After taking into consideration general market conditions and fund investment objective, the characteristic variables that relate to fund popularity, growth, cost and management also explain performance. Finally, after controlling for survivorship and benchmark error, the results refute the performance persistence phenomenon.
Author : Aymen Karoui
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (129 download)
Download or read book Performance and Characteristics of Mutual Fund Starts written by Aymen Karoui and published by . This book was released on 2014 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the performance and portfolio characteristics of 828 newly launched U.S. equity mutual funds over the time period 1991-2005. These fund starts initially earn, on average, higher excess returns and higher abnormal returns. Their risk-adjusted performance is also superior to existing funds. Furthermore, we provide evidence for short-term persistence among top performing fund starts, however, a substantial fraction of funds drop from the top to the bottom decile over two subsequent periods. We find that returns of fund starts indeed exhibit higher total and unsystematic risk. Portfolios of new funds are typically also less diversified in terms of number of stocks and industry concentration and are invested in smaller and less liquid stocks.
Author : Majid Abbasi
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783659299858
Total Pages : 52 pages
Book Rating : 4.2/5 (998 download)
Download or read book Mutual Fund Performance and Managers' Characteristics written by Majid Abbasi and published by LAP Lambert Academic Publishing. This book was released on 2012 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mutual Fund is one of the most important mechanisms for indirect investment in financial markets, which provides better conditions in terms of risk and return, especially for amateur investors. This research examined the effects of mutual fund managers' characteristics on the performance of Iranian mutual funds. The research was carried out on all Iranian mutual funds during 2007 to 2011. Generalized Lease Square (GLS) was employed to examine these effects. The results show that fund manager's Age, MBA, Gender, and Tenure significantly influence fund performance.
Author : Frank de Jong
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (13 download)
Download or read book Do Firm Characteristics Influence Mutual Fund Performance? An Empirical Study for European Mutual Funds written by Frank de Jong and published by . This book was released on 2017 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the influence of fund management firm characteristics on mutual fund performance. Using a sample of European-domiciled open-end equity funds for the period 1998-2008, this study finds that the funds of private companies have performed better than the funds of public companies. The degree of focus, the volume of assets under management, and the number of funds offered by a fund management firm also have a positive impact on fund performance. In addition to these four firm characteristics, we find that non-European and U.K. fund managers had better-performing funds.
Author : Mark Grinblatt
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (452 download)
Download or read book Performance and Mutual Fund Characteristics written by Mark Grinblatt and published by . This book was released on 1991 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jason P. Berkowitz
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (13 download)
Download or read book Characteristics of Mutual Funds with Extreme Performance written by Jason P. Berkowitz and published by . This book was released on 2016 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our paper focuses on mutual fund characteristics associated with periods of extreme performance. We find funds with either positive (hot-hand) or negative (icy-hand) persistence tend to have portfolio similarities consistent with riskier positions: compared to no-streak funds they hold less stocks and invest more in top 10 holdings. Also both hot-hand and icy-hand funds have significantly higher turnover than benchmark funds. At the same time, icy-hand (hot-hand) funds tend to have larger (smaller) management teams, and are less (more) likely to be managed by one manager. Finally, we do not observe many funds changing their management teams either before or after the streak of extreme performance. That is neither find we evidence that the beginning of extreme performance is associated with changes in management, nor that it causes changes in management.
Author : Gordon J. Alexander
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (318 download)
Download or read book Mutual Fund Shareholders written by Gordon J. Alexander and published by . This book was released on 1997 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : H. Kent Baker
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
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 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we provide ...
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 : John Francis Lehane
Publisher :
ISBN 13 :
Total Pages : 384 pages
Book Rating : 4.:/5 (121 download)
Download or read book Comparative Analyses of the Underlying Characteristics for Risk-performance Measures of No-load Mutual Funds in the 1950-1969 Period written by John Francis Lehane and published by . This book was released on 1971 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tung Kenny Chow
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (112 download)
Download or read book An Empirical Study of Mutual Fund Manager's Characteristics written by Tung Kenny Chow and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: To promote market efficiency, analysts must first study the causes of inefficiency. Because some mutual fund managers exhibit consistently superior performance, this paper uses the characteristics of funds and its managers to explain the cause of superior performance. Although differences in manager characteristics can cause different systematic behavioural patterns, the data is not readily available to the public, and more investigation is required. By examining manager characteristics in relation to their funds, the results of this paper suggest that investors should purchase those funds with low expense and that are managed by managers from high-SAT schools.
Author : John A. Haslem
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (129 download)
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.
