Decomposition of mutual fund underperformance

Hu, Jin-Li; Chang, Tzu‐Pu

doi:10.1080/17446540701720675

Cited by 14 publications

(19 citation statements)

References 16 publications

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“…e third test variable was the quantity of funds under management, which revealed that managers who administer more funds deliver a better risk-adjusted return than managers who administer fewer funds. is positive relationship goes against the one highlighted by Hu and Chang (2008), Hu et al (2012), andPrather et al (2004), which was also expected for this study. However, it is seen that in Brazil managing multiple funds may not lead to a loss in e ectiveness in the services provided by managers, given that they delivered better fund performance.…”

Section: Resultssupporting

confidence: 45%

“…In contrast, Hu and Chang (2008), Hu, Yu, and Wang (2012), and Prather, Bertin, and Henker (2004) found a negative relationship between management structures involving multiple funds and fund performance. From the viewpoint of Prather et al (2004), as the manager tries to manage more funds, he/she loses focus and e ectiveness in his/her work.…”

Section: Number Of Funds Under Management Andmentioning

confidence: 99%

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Aspects of manager, portfolio allocation, and fund performance in Brazil

Maestri

Malaquias

2018

Rev. contab. finanç.

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ABSTRACTis paper intends to contribute to the literature on investment funds in emerging markets by looking at the performance of multimarket funds in Brazil from a manager perspective. e aim of the paper was to analyze whether some characteristics of investment fund managers, as well as their portfolio holdings, can a ect fund performance. In emerging countries both portfolio asset allocation and manager characteristics can help explain di erences in the fund performance, which increases the relevance of this study. erefore, the impact of this research lies in its revealing a signi cant relationship between riskadjusted return and the portion of portfolios allocated to xed or variable income, which seems that have not been explored in the context of emerging economies yet. A total of 6,002 multimarket funds were analyzed, covering the period between September 2009 and December 2015, using panel data with robust standard errors clustered by funds. We also employed robust statistics in order to assess some potential biases due to outliers, by analyzing the breakdown point in the estimated models. It should be noted that portfolio composition (allocation of portfolios into variable income and xed income) was the most important factor in explaining a potential change in the performance of Brazilian multimarket funds. Also important were the e ectiveness of the management of these funds, that is, the best risk-adjusted returns were delivered by less experienced managers, funds investing more in xed income, managers with more funds under management, and larger funds.

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Section: Resultssupporting

confidence: 45%

Section: Number Of Funds Under Management Andmentioning

confidence: 99%

Aspects of manager, portfolio allocation, and fund performance in Brazil

Maestri

Malaquias

2018

Rev. contab. finanç.

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“…Our methodologies might fit this context particularly well, since an inconclusive link could be related to varying coefficients for the different quantiles of the conditional distribution of performance. Hu and Chang (2008) and Hu et al (2011) find that the expected impact of fund age (F A) is that performance worsens with the age of the fund. However, according to other views such as Chen et al relate to the fact that non-independent managers (i.e.…”

Section: Determinants Of Mutual Fund Performancementioning

confidence: 99%

“…Ferreira et al (2013) also find that small US mutual funds perform better than large funds, but this negative size effect is not consistent when non-US funds are considered. However, according to other views such as Carhart (1997) and Wermers (1997), among others (Holmes and Faff, 2007;Hu and Chang, 2008), a positive relationship between fund size and performance may arise by considering the benefits from economies of scale. Choi and Murthi (2001) find no significant Frazzini (2006).…”

Section: Determinants Of Mutual Fund Performancementioning

confidence: 99%

Does active management add value? New evidence from a quantile regression approach

Matallín‐Sáez

Soler‐Domínguez

Tortosa‐Ausina

2019

Journal of the Operational Research Society

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Los documentos de trabajo del Ivie ofrecen un avance de los resultados de las investigaciones económicas en curso, con objeto de generar un proceso de discusión previo a su remisión a las revistas científicas. Al publicar este documento de trabajo, el Ivie no asume responsabilidad sobre su contenido.Ivie working papers offer in advance the results of economic research under way in order to encourage a discussion process before sending them to scientific journals for their final publication. Ivie's decision to publish this working paper does not imply any responsibility for its content.La Serie EC, coordinada por Matilde Mas, está orientada a la aplicación de distintos instrumentos de análisis al estudio de problemas económicos concretos.Coordinated by Matilde Mas, the EC Series mainly includes applications of different analytical tools to the study of specific economic problems.Todos los documentos de trabajo están disponibles de forma gratuita en la web del Ivie http://www.ivie.es, así como las instrucciones para los autores que desean publicar en nuestras series.Working papers can be downloaded free of charge from the Ivie website ResumenWhile it has long been recognized that active management is an important issue in the area of mutual fund performance, little consensus has been reached about the value managers' abilities can add. This study attempts to explore both fund and manager characteristics in order to understand their influence on the efficiency achieved for a sample of Spanish mutual funds. We explore these issues in a two-stage approach, considering partial frontier estimators (order-m and order-α) to assess performance in the first stage, and regression quantiles to isolate the determinants of efficiency in the second stage. Our findings shed light mainly on investors' concerns, since differences do indeed arise among both funds and managers. Our analysis provides some arguments as a guide in selecting funds and some managerial features to be taken into account. In addition, some of the performance differences found among funds are rather intricate because both the magnitude of the estimated regression coefficients and their significance varies depending on the quantile of the distribution of fund performance. AbstractAunque durante mucho tiempo se ha reconocido que la gestión activa es un tema importante en el área de la evaluación del rendimiento de los fondos de inversión, el consenso alcanzado acerca de la contribución al valor añadido de los fondos por las habilidades de los directivos es limitado. Este estudio intenta explorar tanto las características de los gestores como las de los propios fondos en sí mismos con el fin de entender su influencia en la eficiencia conseguida para una muestra de fondos de inversión españoles. Estos temas son explorados a través de un enfoque de dos etapas, teniendo en cuenta los estimadores de fronteras parciales (orden-m y el orden α-) para evaluar el desempeño en la primera etapa, y así como un enfoque de regresión cuantil para analizar los determinantes de ...

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“…Therefore, we focus on the slacks rather than on the DEA efficiency score. Following Murthi et al (1997), Fried et al (2002), and Hu and Chang (2008), we analyze the variation in equity market performance through the slacks generated in the DEA analysis. We discussed in Sect.…”

Section: Stage I: Performance Appraisal Using Deamentioning

confidence: 99%