Effects of return expectation on mutual funds’ risk exposures

Fischer, Mario; Overkott, Maximilian

doi:10.1057/jam.2015.15

Cited by 2 publications

(4 citation statements)

References 45 publications

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“…These funds exhibited time-varying risks and premium exposures. The value funds (loading) and growth funds decreased momentum loading during the periods of expected market risk premium (Fischer & Overkott, 2015). A question for a future investigation remains whether the Morningstar fund ratings (1-5star ratings) have significant efficiency (Watson et al, 2011) during the COVID-19 pandemic.…”

Section: Introductionmentioning

confidence: 97%

“…This study aimed to determine whether fund size and style produce different and equitable performance results (Arshanapalli et al, 2007) during the COVID-19 pandemic. Fischer and Overkott (2015) investigated the performance of 4,147 MF categories and indicated indifferent performance and poor Alpha. These funds exhibited time-varying risks and premium exposures.…”

Section: Introductionmentioning

confidence: 99%

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Impact of Covid-19 on Mutual Fund Returns by Style

2023

APMAJ

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This quantitative investigation examined the mutual fund performances (1 and 3-year annual returns) by fund size and style (large-cap growth, largecap blend, and large-cap value) during the COVID-19 pandemic. The study data were obtained from Morningstar 4 and 5-star fund ratings controlling the standard deviation and top-10 holdings of the United States equity MF. The Morningstar 1-year and 3-year annual returns were utilized for the study. The General Linear Model-Multivariate Analysis method was utilized for this investigation. The investigation revealed that the large-cap (growth, blend, and value) fund category produced superior annual returns during the COVID-19 pandemic. The covariate standard deviation impacted the 1-and 3-year annual returns. However, the Top-10 percentage asset holdings had mixed results on the 1-year and 3-year annual returns. The investigation showed performance differences among fund sizes and styles based on the expected utility theory. Investors and asset managers should consider fund style and size to make short-term and long-term financial investment decisions during bear market periods such as the COVID-19 pandemic.

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Section: Introductionmentioning

confidence: 97%

Section: Introductionmentioning

confidence: 99%

Impact of Covid-19 on Mutual Fund Returns by Style

2023

APMAJ

View full text Add to dashboard Cite

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“…We refer to fund size and style as the fund category in this study. Fischer and Overkott (2015) investigated the performance of 4,147 MF categories and found that reveal funds are indifferent and produced poor Alpha. These funds exhibited time-varying risk premium exposures.…”

Section: Introductionmentioning

confidence: 99%

“…These funds exhibited time-varying risk premium exposures. The value funds (loading) and growth funds decreased momentum loading during the periods of expected market risk premium (Fischer & Overkott, 2015). Do the Morningstar fund ratings (1-5-star ratings) have significant efficiency (Watson et al, 2011)?…”

Section: Introductionmentioning

confidence: 99%

Do Fund Size, Style and Rating Explain Performance?

Ongaki¹

2021

APMAJ

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The purpose of this quantitative investigation was to examine whether performance (1-Year, 3-Year, and 5-Year annual returns) differences exist among fund categories by size and style (large-cap growth, large-cap blend, mid-cap growth, and small-cap growth) and fund ratings (5-Star and 4-Star) controlling covariate variables (standard deviation, turnover rate, and top-10 holding) of the United States equity MFs. Morningstar Inc. provided an insightful measure of fund performance annual returns and fund efficacy ratings. The study utilized the Analysis of Covariance and Multivariate Analysis of Covariance methods. The investigation revealed that the large-cap growth fund category produced superior annual returns than other fund families. The five-star-rated funds performed better than the four-star-rated funds. Turnover and top-10 percentage asset holdings had a statistically significant effect on fund annual performance. Investors and asset managers should consider the fund style, size, fund ratings for making short-term, medium, and long-term financial investment decisions. Keywords: mutual fund, fund style, fund size, fund ratings, market return

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Effects of return expectation on mutual funds’ risk exposures

Cited by 2 publications

References 45 publications

Impact of Covid-19 on Mutual Fund Returns by Style

Impact of Covid-19 on Mutual Fund Returns by Style

Do Fund Size, Style and Rating Explain Performance?

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