Essays On Mutual Fund Performance Evaluation With Clientele Effects
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Essays On Mutual Fund Performance Evaluation With Clientele Effects
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Author : Manel Kammoun
language : en
Publisher:
Release Date : 2015
Essays On Mutual Fund Performance Evaluation With Clientele Effects written by Manel Kammoun and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
This thesis studies the performance evaluation of mutual funds from the point of view of their most favorable clienteles. It contains three essays in which we develop and adapt a performance measurement approach that accounts for investor disagreement and clientele effects to answer three research questions. In the first essay, we investigate investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. The measure is an upper performance bound in an incomplete market under the law-of-one-price condition and a no-good-deal condition that rules out investment opportunities with unreasonably high Sharpe ratios. We find that considering investor disagreement and focusing on the best potential clienteles lead to a generally positive performance for mutual funds. The total disagreement measured by the difference between upper and lower performance bounds is economically and statistically significant. In the second essay, we diagnose the validity of standard performance measures by comparing their alphas with the alpha from a performance measure that evaluates mutual funds from the point of view of their most favorable investors. The results show that unconditional linear factor models, their conditional versions and the law-of-one price measure give severe but admissible evaluations of fund performance. Consumption-based models suffer from an inadmissibility problem. The manipulation proof performance measure generates alphas that are sensitive to the choice of risk aversion parameter. In the third essay, we propose a clientele-specific performance evaluation based on the style preferences of mutual fund investors. Considering performance disagreement and better exploiting style classification data, we investigate eight measures to represent clienteles with favorable preferences for size and value equity styles. We find that funds assigned to size and value styles have neutral to positive average alphas when evaluated with their appropriate clientele-specific measure. The performance of the other funds is sensitive to the clienteles. Our findings support a significant role for style clienteles in performance evaluation.
Essays On Mutual Fund Performance And Predictability
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Author : Yu Xia
language : en
Publisher:
Release Date : 2022
Essays On Mutual Fund Performance And Predictability written by Yu Xia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
"This thesis consists of two essays on evaluating mutual fund performance and its predictability. In the first essay, I study the ex ante predictability of 12 well-known predictors for fund performance from investors' perspective. The 12 predictors cover three major categories: fund characteristics, fund performance, and holding-based activeness measures, which are constructed using real-time information. For performance evaluation, I exploit two types of fund picking strategies with either rule-based approach or machine learning methods and find that utilizing machine learning can deliver superior real-time economic gains for investors with fund short-term performance being the primary driver underlying predictability. Specifically, using variable selection methods such as LASSO and elastic net at individual predictor level can generate annual 1.3%-1.7% real-time alphas after adjusting for standard risk factors. The essay further examines whether real-world investors react to those well-known predictors when evaluating mutual fund performance. Using a novel approach to decomposing fund returns, I find that conditional on investors' usage of CAPM, investors react to the components of CAPM alpha implied by predictors in different ways, and investor reaction to predictive information embedded in predictors is stronger within aggressive growth funds. These results provide empirical support for Gârleanu and Pedersen (2018) and suggest ex ante predictability exists not due to lack of investor reaction but as the compensation for employing costly algorithms to identify skilled managers.The second essay examines how decision-making hierarchy in team-managed U.S. equity mutual funds affects their performance and risk-taking behavior. Employing a unique hand-collected dataset, we find that vertically-managed funds with lead managers earn 75 bps per year lower Fama-French five-factor alpha than their horizontally-managed counterparts. Moreover, vertically-managed funds hold less concentrated portfolios and are exposed to lower residual risk, thus showing signs of inferior security selection ability. Using mutual fund industry as a laboratory, the second essay provides evidence supporting a horizontal decision-making structure in organizations functioning in an uncertain expectation environment. These results echo similar mechanisms as in recent cross-country studies on the benefits of democratic form of government for country's economic growth"--
Essays On Mutual Fund Performance Evaluation
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Author : Thomas C. H. Sandvall
language : en
Publisher:
Release Date : 1999
Essays On Mutual Fund Performance Evaluation written by Thomas C. H. Sandvall and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Mutual funds categories.
Mutual Fund Performance Evaluation And Best Clienteles
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Author : Stéphane Chrétien
language : en
Publisher:
Release Date : 2017
Mutual Fund Performance Evaluation And Best Clienteles written by Stéphane Chrétien and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This paper investigates investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. In an incomplete market under law-of-one-price and no-good-deal conditions, we obtain an upper bound on admissible performance measures that identifies the most favorable alpha. Empirically, we find that a reasonable investor disagreement leads to generally positive performance for the best clienteles. Performance disagreement by investors can be significant enough to change the average evaluation of mutual funds from negative to positive, depending on the clienteles.
Mutual Fund Performance And Performance Persistence
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Author : Peter Lückoff
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-01-13
Mutual Fund Performance And Performance Persistence written by Peter Lückoff and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-13 with Business & Economics categories.
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.
Essays On Mutual Fund Performance
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Author : Gulnara R. Zaynutdinova
language : en
Publisher:
Release Date : 2015
Essays On Mutual Fund Performance written by Gulnara R. Zaynutdinova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Chapter two investigates timing abilities of alpha-opportunities by mutual fund managers. Active portfolio management is costly and may not deliver higher net returns to investors in the absence of sufficient alpha-opportunities when, e.g., stock returns are predominantly driven by systematic factors and highly correlated. Thus, mutual funds should engage in less active trading when stock valuation is expected to be less divergent. Our results show that mutual funds on average have the ability timing alpha-opportunities, with large-value and large-growth funds exhibiting the strongest timing skill. The results are robust when we control for past fund flows and returns, macroeconomic variables, and other potential timing skills. More importantly, funds with significantly positive timing skill earn 0.05% higher monthly returns, as measured by four-factor alpha, in subsequent month than those with negative timing skill. Our study contributes to the existing literature by proposing a novel measure to assess an important attribute of mutual fund active management ability.
Essays On Mutual Funds Performance
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Author : Lubomira Ivanova
language : en
Publisher:
Release Date : 2005
Essays On Mutual Funds Performance written by Lubomira Ivanova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
In the first chapter of my dissertation I present a survey of the literature on mutual fund performance. The first section of chapter one discusses two approaches to portfolio evaluation. The returns-based approach evaluates the net portfolio returns of the funds. The second, holdings-based approach, directly measures the stock-picking talent of mutual fund managers by focusing on manager's equity holdings. The second section of chapter one presents the literature on flows of funds and its relationship to portfolio evaluation.
Essays On The Performance Evaluation Of Equity Mutual Funds
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Author : Bernhard Breloer
language : en
Publisher:
Release Date : 2014
Essays On The Performance Evaluation Of Equity Mutual Funds written by Bernhard Breloer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Mutual Funds
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Author : Seth Anderson
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-03-30
Mutual Funds written by Seth Anderson and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-03-30 with Business & Economics categories.
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
Two Essays On Mutual Fund Managerial Skills And Performance
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Author : Ao Wang
language : en
Publisher:
Release Date : 2021
Two Essays On Mutual Fund Managerial Skills And Performance written by Ao Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Mutual funds categories.
This dissertation consists of two essays that study mutual fund managerial skills and performance.Understanding whether mutual funds have skills is important as it could help investors make investment decision. My fist essay studies whether and how fund size affects managers' risk-taking behavior in the setting of fund mergers. I test the relation between fund size and risk-shifting. The main findings are as follows. First, acquiring fund managers' risk-taking declines as size increases resulting from mergers. The decline in risk-taking remains significant after controlling for fund characteristics, diversification effect, and portfolio's systematic risk exposure that can be correlated with managers' investment choices. Second, liquidity is a driving factor for the negative impact of size on managers' risk-taking. Third, I decompose fund size into two components based on either liquidity or risk-taking and examine which component(s) correlate with fund performance. I document that risk-taking is, beyond liquidity, another underlying mechanism for decreasing returns to scale.In the second essay, I study the timing ability of mutual funds in different sentiment periods. I first use DGTW (1997) style timing measure (CT) to examine if mutual funds perform better in high sentiment periods when stock mispricing is enlarged, providing more trading opportunities for mutual funds. Results show that mutual funds have better style timing ability in high sentiment than in low sentiment. The result is robust when I use alternative sentiment measures and different model specifications. Moreover, the style timing ability in high sentiment periods is more pronounced for less expensive funds with lower turnover and active shares. Then I investigate the source of this timing ability using 9 well-known stock return anomalies. I construct an anomaly timing measure (AT) using each of the 9 individual anomalies as well as the composite anomaly. AT is developed to detect whether fund managers could successfully time a certain anomaly. I find that mutual funds have better anomaly timing ability in composite anomaly and 4 contrarian anomalies which are investment-to-assets, asset growth, composite equity issue and net operating assets. Furthermore, I provide evidence that mutual funds with better timing abilities could outperform overall.
