Performance And Characteristics Of Actively Managed Retail Mutual Funds With Diverse Expense Ratios
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Performance And Characteristics Of Actively Managed Retail Mutual Funds With Diverse Expense Ratios
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Author : John A. Haslem
language : en
Publisher:
Release Date : 2017
Performance And Characteristics Of Actively Managed Retail Mutual Funds With Diverse Expense Ratios written by John A. Haslem 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.
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.
Performance And Characteristics Of Actively Managed Retail Equity Mutual Funds With Diverse Expense Ratios
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Author : John A. Haslem
language : en
Publisher:
Release Date : 2018
Performance And Characteristics Of Actively Managed Retail Equity Mutual Funds With Diverse Expense Ratios written by John A. Haslem and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
We investigate the relation between the performance and characteristics of 1,779 domestic, actively managed retail equity mutual funds with diverse expense ratios. We show that using expense ratio standard deviation classes is an effective method for characterizing fund expenses for investors. Using various performance measures including Russell-index-adjusted returns, the results indicate that superior performance, on average, occurs among large funds with low expense ratios, low trading activity, and no or low front-end loads. Performance is invariant with respect to whether funds have 12b-1 fees.
Performance And Characteristics Of Actively Managed Institutional Equity Mutual Funds
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Author : H. Kent Baker
language : en
Publisher:
Release Date : 2016
Performance And Characteristics Of Actively Managed Institutional Equity Mutual Funds written by H. Kent Baker and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
In this study, we provide extensive evidence on the performance characteristics of 1,118 U.S. domestic, actively managed institutional equity mutual funds. We measure performance using such measures as three-year Sharpe ratios, Jensen's alphas, and Miller's active alphas as well as annualized Russell Index-adjusted returns over multiple periods (1, 3, 5, 10, 15 years). We relate performance to fund attributes including expense ratio class, net assets, 12b-1 fees dummy, turnover ratio, beta, cash, and dividend yield.We analyze the disparity of expense ratios of actively managed institutional equity mutual funds and find that expense ratios differ widely among Morningstar categories. Consistent with previous mutual fund studies, we find strong evidence that the average actively managed institutional equity mutual fund cannot beat a representative benchmark after expenses.
Performance And Characteristics Of Retail S P 500 Index Mutual Funds
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Author : John A. Haslem
language : en
Publisher:
Release Date : 2017
Performance And Characteristics Of Retail S P 500 Index Mutual Funds written by John A. Haslem 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.
We investigate the performance and attributes of 136 retail mutual funds tracking the Samp;P 500 Index across diverse expense ratio classes. Our performance measures are the Sharpe ratio, Jensen's alpha, and annualized total returns. Attributes analyzed for their relation to expense ratios include front-end loads, deferred charges, 12b-1 fees, fund size, fund age, cash holdings and turnover. The evidence shows that Samp;P 500 Index funds with low expense ratios outperform those with high expense ratios. Expense ratios generally decrease as 12b-1 fees and deferred charges decrease and as fund size and age increase. Investors should not view Samp;P 500 Index funds as being homogeneous because significant differences exist in expenses and performance among the funds. After controlling for attributes that influence fund expense ratios, we conclude that some index funds have expense ratios that are significantly higher than the norm. Despite the often-presumed commodity-like nature of index funds, Samp;P 500 Index funds are not all created equal. Our evidence shows that investors tend to follow a policy of choosing those funds with low expense ratios.
Swing Pricing And Fragility In Open End Mutual Funds
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Author : Dunhong Jin
language : en
Publisher: International Monetary Fund
Release Date : 2019-11-01
Swing Pricing And Fragility In Open End Mutual Funds written by Dunhong Jin and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-11-01 with Business & Economics categories.
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.
Mutual Fund Performance And The Incentive To Invest In Active Management
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Author : Diane Del Guercio
language : en
Publisher:
Release Date : 2011
Mutual Fund Performance And The Incentive To Invest In Active Management written by Diane Del Guercio and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Economics categories.
It is well known that within U.S. domestic equity mutual funds, actively managed funds significantly underperform index funds. However, this comparison ignores the fact that mutual funds targeted at different types of investors charge different fees, and use these fees to provide different bundles of services. To control for these differences, we compare the performance of actively managed funds and index funds within each of three broad market segments: retail funds sold directly to investors, retail funds sold through brokers, and institutional funds. We find that underperformance is strongest in the broker-sold segment and weakest in the direct-sold segment. In fact, we find that within the direct-sold segment, the risk-adjusted, after-fee returns of actively managed funds are statistically indistinguishable from those of index funds, consistent with the equilibrium condition in Grossman and Stiglitz (1980). To rationalize differences in performance, we test for differences in the flow-performance relation across the three segments. We find that fund flows respond most strongly to risk-adjusted returns in the direct-sold segment. We find a wide variety of evidence that direct-sold funds respond to investor preferences for risk-adjusted performance by investing more in active management. Our findings suggest that the underperformance of the average actively managed fund reflects its weaker incentives to generate alpha rather than an inability to generate alpha. We argue that our findings also help to explain the continued demand for actively managed funds.
Mutual Funds
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Author : John A. Haslem
language : en
Publisher: John Wiley & Sons
Release Date : 2009-10-08
Mutual Funds written by John A. Haslem and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-08 with Business & Economics categories.
An authoritative, must-read guide to making more informed decisions about mutual funds Providing a balance of theory and application, this authoritative book will enable you to evaluate the various performance and risk attributes of mutual funds. It covers a broad range of topics, including understanding the advantages and disadvantages of mutual funds, evaluating stock/bond allocations within fund portfolios, assessing fund diversification risk, measuring fund returns and risk, and making fund buy/sell decisions. While informative chapters combine clear summaries of existing research with practical guidelines for mutual fund analysis, step-by-step decision checklists guide you through the selection of various mutual funds. Puts the risks and rewards of mutual fund investing in perspective Skillfully examines how to select and evaluate the best mutual funds Outlines mutual fund service advantages and disadvantages Discusses the long- and short-term effectiveness of mutual funds Covering major theoretical and management issues in mutual fund analysis and portfolio management, this book is an authoritative guide.
Investor Behavior
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Author : H. Kent Baker
language : en
Publisher: John Wiley & Sons
Release Date : 2014-02-06
Investor Behavior written by H. Kent Baker and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-06 with Business & Economics categories.
WINNER, Business: Personal Finance/Investing, 2015 USA Best Book Awards FINALIST, Business: Reference, 2015 USA Best Book Awards Investor Behavior provides readers with a comprehensive understanding and the latest research in the area of behavioral finance and investor decision making. Blending contributions from noted academics and experienced practitioners, this 30-chapter book will provide investment professionals with insights on how to understand and manage client behavior; a framework for interpreting financial market activity; and an in-depth understanding of this important new field of investment research. The book should also be of interest to academics, investors, and students. The book will cover the major principles of investor psychology, including heuristics, bounded rationality, regret theory, mental accounting, framing, prospect theory, and loss aversion. Specific sections of the book will delve into the role of personality traits, financial therapy, retirement planning, financial coaching, and emotions in investment decisions. Other topics covered include risk perception and tolerance, asset allocation decisions under inertia and inattention bias; evidenced based financial planning, motivation and satisfaction, behavioral investment management, and neurofinance. Contributions will delve into the behavioral underpinnings of various trading and investment topics including trader psychology, stock momentum, earnings surprises, and anomalies. The final chapters of the book examine new research on socially responsible investing, mutual funds, and real estate investing from a behavioral perspective. Empirical evidence and current literature about each type of investment issue are featured. Cited research studies are presented in a straightforward manner focusing on the comprehension of study findings, rather than on the details of mathematical frameworks.
Mutual Funds And Exchange Traded Funds
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Author : Harold Kent Baker
language : en
Publisher: Oxford University Press, USA
Release Date : 2016
Mutual Funds And Exchange Traded Funds written by Harold Kent Baker and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Business & Economics categories.
Mutual Funds and Exchange-Traded Funds: Building Blocks to Wealth provides a fresh look at this intriguing but often complex subject. Its coverage spans the gamut from theoretical to practical coverage.
Investment Traps Exposed
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Author : H. Kent Baker
language : en
Publisher: Emerald Group Publishing
Release Date : 2017-03-20
Investment Traps Exposed written by H. Kent Baker and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-20 with Business & Economics categories.
Investment Traps Exposed helps investors and investment practitioners increase their awareness about the external and internal traps that they or their clients can encounter.