Mutual Fund Performance and Performance Persistence PDF Download

Author: Peter Lückoff
Publisher: Springer Science & Business Media
ISBN: 3834965278
Category : Business & Economics
Languages : en
Pages : 604

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Book Description
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: Peter Lückoff
Publisher: Springer Science & Business Media
ISBN: 3834927805
Category : Business & Economics
Languages : en
Pages : 604

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Book Description
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:
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
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: Adam Zaremba
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
The paper addresses an issue of the performance persistence in a mutual fund market. The study focuses especially on the evidence from Poland. The past performance of mutual funds is widely regarded as a key criterion in investment decision making in Poland nowadays, whereas existing empirical evidence does not confirm its predictive power. The paper consists of three main parts. The first is a review of existing academic evidence of the performance persistence. The second is the analysis of the performance persistence among Polish equity and money market funds in years 1998-2009. Three methods of analysis are employed: quartile analysis, raw-data correlation and rank correlation. The last section of the article consists of conclusions and recommendations. The study confirms existence of the persistence in raw returns and risk-adjusted returns among the Polish money market funds but not among the equity funds. There is also a strong evidence of the volatility persistence in the both group of mutual funds.

Author: James J. Choi
Publisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 8

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Book Description
Abstract: A seminal study of persistence in mutual fund performance is Carhart (1997), who found that U.S. equity mutual funds' past-year returns positively predict their raw excess return and one-factor alpha over the next year. Based on these results, an investor may believe that she can earn higher returns by buying mutual funds with high past-year returns. We are able to replicate Carhart's results in his 1963-1993 sample period, but we find that significant performance persistence does not exist in the 1994-2018 period. Even during the 1963-1993 period, performance persistence weakened in later years. The disappearance of significant performance persistence is due to lower returns to favorable styles, as well as less favorable style tilts and increased style-adjusted underperformance by past winning funds

Author: Jan Harkopf
Publisher: diplom.de
ISBN: 3960675763
Category : Business & Economics
Languages : en
Pages : 87

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Book Description
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.

Author: Seth Anderson
Publisher: Springer Science & Business Media
ISBN: 0387253084
Category : Business & Economics
Languages : en
Pages : 169

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Book Description
Mutual funds are the dominant form of investment companies in the United States today, with approximately $7 trillion in assets under management. Over the past half century an important body of academic research has addressed various issues about the nature of these companies. These works focus on a wide range of topics, including fund performance, investment style, and expense issues, among others. MUTUAL FUNDS: Fifty Years of Research Findings is designed for the academic researcher interested in the various issues surrounding mutual funds and for the practitioner interested in funds for investment purposes. The authors briefly trace the historical evolution of funds, present important aspects of the Investment Company Act of 1940, and then summarize a substantial portion of the academic literature which has been written over the past five decades. "This book presents an outstanding wealth of information on mutual funds in a remarkably readable format. It is probably the most comprehensive work currently available on funds. The book sheds light on the numerous issues surrounding mutual fund performance and pricing and is an important resource for any serious investor." Kathleen A. Wayner, Bowling Portfolio Management, President and CEO

Author: Aneel Keswani
Publisher:
ISBN:
Category :
Languages : en
Pages : 33

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Book Description
Existing work on mutual fund performance persistence has obtained diverse results, depending on the group of funds studied. We examine whether performance persistence within a peer group of competing mutual funds depends on the group's composition. The UK mutual fund industry is ideal for such an examination, because funds compete within strictly defined sectors. We consider several sector-level attributes related to the intensity of competition within a sector and use them to explain sector-level persistence. We find robust evidence that persistence is higher in sectors where concentration of assets under management is higher. Our results indicate that the competitiveness of a mutual fund sector influences persistence in the relative performance of its members.

Author: George O. Aragon
Publisher: Now Publishers Inc
ISBN: 1601980825
Category : Financial risk management
Languages : en
Pages : 123

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Book Description
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.

Author: S. Muruganandan
Publisher: LAP Lambert Academic Publishing
ISBN: 9783848486083
Category :
Languages : en
Pages : 140

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Book Description
Fund of Mutual Funds (FoFs) are only an investment strategy of holding a portfolio of other investment funds rather than investing directly in shares, bonds and other securities. This strategy offers high level of diversification to the investors but highly criticised due to additional layer fees associated in it. However, the growing demand for FoFs motivated the researchers to examine the persistence and determinants of performance of FoFs in Indian context. The performance of selected FoFs is tested with the help of average excess return, Sharpe ratio and Jensen's alpha and found that the sample funds outperformed the market index for the given level of risk. Malkiel's Z-test, Brown and Goetzmann Z- test and Kahn and Rudd Chi Square test are used to examine the performance persistence and found the loser pattern of persistence. The determinants of FoFs performance is examined by employing Panel Data model and concluded that the fund managers are enjoying the benefit of economies of scale where as investors are not.