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Book Mutual Fund Performance and Performance Persistence

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 An Examination of the Factors Influencing Mutual Fund Performance

Download or read book An Examination of the Factors Influencing Mutual Fund Performance written by Meadhbh Sherman and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study looks at some factors influencing mutual fund performance. Fund management location, family status and asset allocation and timing ability are examined. Using monthly returns on 4545 funds from Morningstar from January 1970 to June 2010, the study examines whether location influences the return a fund generates. It is found that U.S. managed funds outperform European managed funds, regardless of market invested in. This can be seen in terms of higher mean alpha, and statistically significant outperformance. A comparison is also carried out between the performance of family funds and non-family funds. Using the recursive portfolio technique and Rhodes utility based measure of persistence, the persistence of funds that are in a family are compared to those that do not belong to a family. A second hypothesis is also examined here, analyzing whether fund managers make their risk decision to influence performance for the second part of the year based on their performance in the first part of the year. It can be concluded that family status, family size or market does not affect persistence in performance. The study found that family rank has an impact on the risk adjustment behaviour of fund managers. The fact that the coefficient is negative suggests that managers are not behaving strategically. When markets are examined individually, fund managers within families compete in the U.S. and behave strategically in Europe. Finally, using asset allocation data on balanced funds, the study examines the skill of balanced fund managers to time particular asset classes. It is found that there is little timing ability present, across all markets and models.

Book Investment Criteria for Mutual Fund Selection

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.

Book Do Firm Characteristics Influence Mutual Fund Performance  An Empirical Study for European Mutual Funds

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.

Book Scale Effects in Mutual Fund Performance

Download or read book Scale Effects in Mutual Fund Performance written by Roger M. Edelen and published by . This book was released on 2009 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Berk and Green (2004) argue that investment inflow at high-performing mutual funds eliminates return persistence because fund managers face diminishing returns to scale. Our study examines the role of trading costs as a source of diseconomies of scale for mutual funds. We estimate annual trading costs for a large sample of equity funds and find that they are comparable in magnitude to the expense ratio; that they have higher cross-sectional variation that is related to fund trade size; and that they have an increasingly detrimental impact on performance as the fund's relative trade size increases. Moreover, relative trade size subsumes fund size in regressions of fund returns, which suggests that trading costs are the primary source of diseconomies of scale for funds.

Book Portfolio Performance Evaluation

Download or read book Portfolio Performance Evaluation written by George O. Aragon and published by Now Publishers Inc. This book was released on 2008 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.

Book Indian Mutual Funds Handbook  5th Edition

Download or read book Indian Mutual Funds Handbook 5th Edition written by Sundar Sankaran and published by Vision Books. This book was released on 2018-05-25 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Method and Substance in Macrocomparative Analysis

Download or read book Method and Substance in Macrocomparative Analysis written by Lane Kenworthy and published by Palgrave MacMillan. This book was released on 2008-09-02 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macrocomparative researchers use a variety of methodological approaches. This book features analyses of a single substantive topic, comparative employment performance in affluent countries, using three of the most common macrocomparative techniques: pooled cross-section time-series regression, qualitative comparative analysis, and small-N analysis.

Book The Effects of Mutual Fund Managers  Characteristics on Their Portfolio Performance  Risk and Fees

Download or read book The Effects of Mutual Fund Managers Characteristics on Their Portfolio Performance Risk and Fees written by Joseph H. Golec and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this study is to test whether a mutual fund managers' characteristics helps to explain fund performance, risk, and fees. The statistical tests consider performance, risk, and fees simultaneously to avoid biased results produced by earlier studies that ignore simultaneity. Results show that a fund's performance, risk, and fees are significantly impacted by its manager's characteristics. All else equal, investors can expect better risk-adjusted performance from younger managers with MBA degrees who have longer tenure at their funds. Also, funds with low fees and more diversified portfolios perform better. The most significant predictor of performance is the length of time a manager has managed his or her fund (tenure). Funds that keep administrative expenses low also perform relatively well but large management fees do not necessarily imply poorer performance. Apparently, a large management fee signals superior investment skill which leads to better performance.

Book Influences on Mutual Fund Performance

Download or read book Influences on Mutual Fund Performance written by Belen Riberio-Navarrete and published by . This book was released on 2018 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Derivatives

    Book Details:
  • Author : Keith Cuthbertson
  • Publisher : John Wiley & Sons
  • Release : 2019-12-16
  • ISBN : 1119595592
  • Pages : 116 pages

Download or read book Derivatives written by Keith Cuthbertson and published by John Wiley & Sons. This book was released on 2019-12-16 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: Three experts provide an authoritative guide to the theory and practice of derivatives Derivatives: Theory and Practice and its companion website explore the practical uses of derivatives and offer a guide to the key results on pricing, hedging and speculation using derivative securities. The book links the theoretical and practical aspects of derivatives in one volume whilst keeping mathematics and statistics to a minimum. Throughout the book, the authors put the focus on explanations and applications. Designed as an engaging resource, the book contains commentaries that make serious points in a lighthearted manner. The authors examine the real world of derivatives finance and include discussions on a wide range of topics such as the use of derivatives by hedge funds and the application of strip and stack hedges by corporates, while providing an analysis of how risky the stock market can be for long-term investors, and more. To enhance learning, each chapter contains learning objectives, worked examples, details of relevant finance blogs technical appendices and exercises.

Book The Effects of Organizational Forms of Mutual Fund Management Company on Mutual Fund Performance

Download or read book The Effects of Organizational Forms of Mutual Fund Management Company on Mutual Fund Performance written by Xiaoxiao Han and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The organizational form of a company indicates whether it is publicly-traded or privately-held. The effects of the organizational forms on a company's operations and performances have been well documented. However, because the organizational form of companies in the finance industry is so different from those in other industries, the effect on performance is quite different. There has been little research done to determine how the organizational form of mutual fund management companies affect the performance of their mutual funds. This thesis examines the impact of mutual fund management companies on the performance of their managed funds using data that cover the period 2007 to 2016 on 782 different firms. The results showed that the performance of mutual funds managed by publicly-traded mutual fund management companies was significantly compared to those managed by privately-held companies. Based on the sample data, the hypothesis of this thesis is that publicly-traded and privately-held fund management companies have different incentives and interests that impact mutual fund performance. The thesis also addresses the issues of discontinuous returns and endogenous organizational form variables. The test results examined in this thesis support the notion that mutual funds managed by publicly-traded companies underperform compared to industry benchmarks. In addition, funds managed by publicly-traded management companies perform poorer in general compared to funds managed by privately-held companies.

Book Management structure for the mutual fund industry  Performance indicators and investment behavior of a team s decision making process

Download or read book Management structure for the mutual fund industry Performance indicators and investment behavior of a team s decision making process written by Yunus Cagdas and published by GRIN Verlag. This book was released on 2022-01-31 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic Paper from the year 2021 in the subject Business economics - Investment and Finance, grade: 2,0, University of Hohenheim (Institut für Financial Management), language: English, abstract: The aim of this study is to identify differences in investment behavior - and in particular the special case of a team's decision-making process - as well as possible performance indicators. The research results to be presented should be used as guidance in selecting an appropriate management structure for the mutual fund industry. Before addressing the differing investment behaviors of the two management structures, the special dynamics that can operate within a team in decision making have to be examined. For this said purpose, the relevant literature provides some conflicting theories on decision making. When looking at the proportion of team-managed and single-managed mutual funds, it is observed that team funds have increased at the cost of single-managed funds. Thus, from 1992 to 2015, within all mutual funds, team-managed funds increased from 12% to 57%, while single-managed funds decreased from 88% to 43%. A similar development can be seen in the change of the management structure of a fund in Figure 1: A total of 553 mutual funds, which were previously managed individually, switched to a team fund, whereas only 317 funds changed from a team-managed fund to an single-managed fund. A crossover in the proportion of teams after the global financial crisis in 2008, in times when risk reduction by diversification began to gain in importance, is clearly observable. Thus, it should be in the interest of mutual funds to possess sufficient management diversity to reach an adequate niveau of diversification. As argued by Tom Stevenson, the investment director of Fidelity International, besides gender diversity, diversity in cognition, education and mindset represent a great strength. Research on the mutual fund industry indicates some differences in the investment behavior between team-managed and single-managed mutual funds. Especially concerning teams, different theories of decision making can be found, resulting in different investment styles and performance levels.

Book Influence of Investors  Monitoring on Equity Mutual Funds  Performance

Download or read book Influence of Investors Monitoring on Equity Mutual Funds Performance written by Renato Lazo and published by . This book was released on 2018 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the effect of investor monitoring on the performance of equity investment funds. For that purpose, we analyze the relationship between fund performance, measured using four-factor Alpha, and a set of control variables and monitoring proxy variables. We used monthly data for 1.317 funds, from January 2005 to April 2015. We organized the sample data into two subsamples, retail and institutional funds, to compare the performance of those funds whose clienteles presents, in principle, different monitoring capacities. Institutional funds presented superior performance compared to retail funds measured by net annual return as well as by four-factor Alpha. The variables investment, measured as the minimum initial investment requirement, and type of manager were statistically significant in the retail funds sample. The results show that greater capacity to monitor fund manager behavior could diminish the occurrence of activities against investor's interests, which is one of the main contributions of this research.

Book The Influences of Greed and Fear on Fund Performance

Download or read book The Influences of Greed and Fear on Fund Performance written by Chun An Li and published by . This book was released on 2013 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses if the psychological changes of investors would influence mutual funds from the perspective of behavioral finance. In other words, we assess the psychological state of investors from the deepest psychological factors of greed and fear, and discuss whether the psychological changes in these investors would influence a mutual fund. This study presented evidence that the psychological changes of investors were related to fund performance. It better illustrated how fund performance was affected by the psychology of investors, especially from irrational behavior driven by fear and greed.

Book The Mutual Fund Business

Download or read book The Mutual Fund Business written by Robert C. Pozen and published by South-Western College. This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pozen, a leading industry expert, offers a structured presentation of mutual funds for upper-level undergraduates and MBA students. The Mutual Fund Business, 2/e, covers the key principles of mutual fund investment theory through straightforward writing supported by selected articles and case studies. This text provides a comprehensive, firsthand look at the investment strategies supporting a $4 trillion industry undergoing significant growth in the U.S.

Book Derivatives and Hedge Funds

Download or read book Derivatives and Hedge Funds written by Stephen Satchell and published by Springer. This book was released on 2016-05-18 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.