Determinants of variation in mutual fund returns

Droms, William G.; Walker, David A.

doi:10.1080/758538597

Cited by 23 publications

(18 citation statements)

References 23 publications

(15 reference statements)

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“…Numerous investigations of the potential effect of size on fund performance are inconclusive. Droms and Walker (1995) actually reported a negative relationship between fund size and performance, explaining this negative relationship by citing larger funds' more diversified portfolios, which have lower risk and consequently lower returns. Babalos, Mamatzakis, and Matousek (2015) revealed that investors should be aware that larger funds have reduced flexibility, which offers inferior performance when markets are turbulent.…”

Section: Fund Sizementioning

confidence: 99%

Influences on mutual fund performance: comparing US and Europe using qualitative comparative analysis

Graham

Navarré

Navarrete

2019

Economic Research-Ekonomska Istraživanja

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This study examines the conditions that lead mutual funds to underperform or outperform competitors. Using fuzzy-set qualitative comparative analysis (fsQCA), we draw upon extensive research on fund returns to affirm and extend earlier discoveries. Fund performance (Morningstar ratings), features of the funds themselves, and characteristics of the fund managers are considered. Positive Morningstar star and analyst ratings are necessary conditions for funds to generate value (measured by Jensen's alpha). Funds with low management fees and low ongoing fees have attractive Sharpe ratios and high returns. Likewise, large funds with good Morningstar ratings have good Sharpe ratios and returns, often when fund managers have short tenures.

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Section: Fund Sizementioning

confidence: 99%

Influences on mutual fund performance: comparing US and Europe using qualitative comparative analysis

Graham

Navarré

Navarrete

2019

Economic Research-Ekonomska Istraživanja

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“…In a related study (Droms and Walker, 1995) the relationships are tested between mutual fund risk and other performance variables (i.e., total return, asset size, turnover and load status). The data base for these studies consists of complete data for these variables for 151 funds over the 20-year period from 1971 to 1990.…”

Section: Introductionmentioning

confidence: 99%

Persistence of mutual fund operating characteristics: returns, turnover rates, and expense ratios

Droms¹,

Walker²

2001

Applied Financial Economics

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This study tests persistence of mutual fund returns, turnover rates, and expense ratios over the 20-year period from 1971 to 1990. Multivariate models also are developed to examine synergies among persistence of returns, expense ratios and turnover rates. Potential long-run economies of scale are analysed by determining whether or not there is a significant relationship between asset size and these other operating characteristics. Tests are developed to contrast the decade of the 1970s with the decade of the 1980s and to examine persistence between consecutive years. The results indicate that there was no long-term persistence of returns, expenses, or turnover rates for 151 equity mutual funds that operated over the full two decades from 1971 to 1990. Tests of short-term performance persistence show strong persistence of good performance for periods of one, two and three years. For a four-year time period, there is no significant persistence of returns. The tests for consecutive years in contrast to tests between decades show that there is short-term, but not long-term persistence for returns.

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“…The substantial increase in the number of mergers between funds in the last two years may lead to a more appropriate offer of funds in the future. Droms and Walker (1995) suggest that the negative relationship between size and performance that they found is explained by the fact that larger funds tend to have a more diversified portfolio and, therefore, a lower risk and also a lower performance. This hypothesis is partially compatible with some of the findings we obtain in this work in the estimations by category, in which we find this positive relationship between volatility and yield of funds and a negative relationship between size and yield.…”

Section: Estimation Of the Equation Of The Determinants Mutual Fund Pmentioning

confidence: 93%

“…3 See Sharpe (1966), Jensen (1968), Grinblatt and Titman (1989) or, more recently, Malkiel (1995), Droms and Walker (1995), Ackermann, McNally and Ravenscraft (1999), Detzler (1999) and Edelen (1999). 4 See Ferrando and Lassala (1998), Basarrate and Rubio (1999), Matallín and Fernández (1999), Menéndez and Álvarez (2000), Martínez (2001), Fernández et al (2007) and Palacios (2010).…”

Section: Review Of the Reference Literaturementioning

confidence: 99%

Spanish Mutual Funds Yield: An Analysis of Its Determinants

Cambón

2011

SSRN Journal

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Determinants of variation in mutual fund returns

Cited by 23 publications

References 23 publications

Influences on mutual fund performance: comparing US and Europe using qualitative comparative analysis

Influences on mutual fund performance: comparing US and Europe using qualitative comparative analysis

Persistence of mutual fund operating characteristics: returns, turnover rates, and expense ratios

Spanish Mutual Funds Yield: An Analysis of Its Determinants

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