Can Mutual Fund Families Affect the Performance of Their Funds?
Title | Can Mutual Fund Families Affect the Performance of Their Funds? PDF eBook |
Author | Ilan Guedj |
Publisher | |
Pages | 44 |
Release | 2004 |
Genre | |
ISBN |
We examine whether accounting for mutual fund families can help explain the performance of their mutual funds, and if so, how they succeed to affect the performance of the funds they manage. We hypothesize that larger families not only have the incentive to selectively push some of their funds, but also the means to do so. When restricting our sample to funds that belong to larger families, a portfolio of funds that longs the portfolio of the previous year's best performing funds and shorts the previous year's worst performing funds has a positive monthly alpha of 58 basis points. We also show that there exists persistence of performance of these funds inside their respective families. This persistence is directly related to the number of funds in the family which we interpret as a measure of the latitude the family has in allocating resources unevenly between its funds. Lastly, we show that indeed the better performing funds in a family have a higher probability of getting more managers, which are one of the main resources available. This seems to imply that families do not always allocate resources proportionally according to the funds' needs but in a way that allows the family to promote certain funds.
Mutual Fund Performance and Performance Persistence
Title | Mutual Fund Performance and Performance Persistence PDF eBook |
Author | Peter Lückoff |
Publisher | Springer Science & Business Media |
Pages | 604 |
Release | 2011-01-13 |
Genre | Business & Economics |
ISBN | 3834927805 |
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.
Trading Efficiency of Fund Families
Title | Trading Efficiency of Fund Families PDF eBook |
Author | Gjergji Cici |
Publisher | |
Pages | 47 |
Release | 2016 |
Genre | |
ISBN |
This study examines how the efficiency of trading desks operated by mutual fund families affects the performance and trading of affiliated funds. We estimate the trading efficiency of a fund family's trading desk as the difference between the gross return of the family's index fund, which incorporates trading costs, and the return of the underlying index, which does not incorporate trading costs, around index adjustment dates. By operating more efficient trading desks that help reduce trading costs, fund families improve the performance of their funds significantly and also enable their funds to trade more and hold less liquid portfolios.
Swing Pricing and Fragility in Open-end Mutual Funds
Title | Swing Pricing and Fragility in Open-end Mutual Funds PDF eBook |
Author | Dunhong Jin |
Publisher | International Monetary Fund |
Pages | 46 |
Release | 2019-11-01 |
Genre | Business & Economics |
ISBN | 1513519492 |
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.
Investment Criteria for Mutual Fund Selection
Title | Investment Criteria for Mutual Fund Selection PDF eBook |
Author | Jan Harkopf |
Publisher | Anchor Academic Publishing |
Pages | 93 |
Release | 2016-10 |
Genre | Business & Economics |
ISBN | 3960670761 |
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.
Why so Many Mutual Funds? Mutual Fund Families, Market Segmentation and Financial Performance
Title | Why so Many Mutual Funds? Mutual Fund Families, Market Segmentation and Financial Performance PDF eBook |
Author | Massimo Massa |
Publisher | |
Pages | 36 |
Release | 2000 |
Genre | |
ISBN |
Why are there so many mutual funds around? What leads the industry to segment itself into an ever-increasing number of categories? What can be said about such a market configuration in terms of welfare? To address these questions we model the process that endogenously leads to market segmentation and to fund proliferation in the mutual fund industry.We argue that these phenomena can be seen as marketing strategies used by the managing companies to exploit investors' heterogeneity. We explain category and fund proliferation providing an industry-specific micro foundation on the basis of basis of the quot;spilloverquot; that the perfomance of a fund provides to all the other funds belonging to the same family.We argue that market forces may induce a sub-optimal number of mutual funds and categories and identify the factors that determine such inefficiency.Mutual fund performance is endogenously derived as a function of investors' and managing companies' tastes and technology. This lets us shed new light on the determinants of mutual fund performance and reconsider the traditional methods of testing fund efficiency.
The Mutual Fund Business
Title | The Mutual Fund Business PDF eBook |
Author | Robert C. Pozen |
Publisher | South-Western College |
Pages | 0 |
Release | 2002 |
Genre | Mutual funds |
ISBN | 9780618166107 |
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.