Fund selection in target date funds

Chan, Chia Ying; Chen, Hsuan Chi; Chiang, Yu Hsuan; Lai, Christine W.

doi:10.1016/j.najef.2016.10.006

Cited by 7 publications

(2 citation statements)

References 28 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Hence, we highlight only some of them here. The literature on mutual fund performance typically selects a specific metric to gauge each mutual fund (e.g., Titman 1989, 1993;Grinblatt et al 1995;Wermers 2000;Bertin and Prather 2009;Fama and French 2010;Chan et al 2017). Fama (1970) suggests that mutual performance results depend on the types of metric.…”

Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

Mutual funds’ selective participation and subsequent performance of seasoned equity offerings

Feng

Chan

2018

Empir Econ

View full text Add to dashboard Cite

We study the stock-picking ability of the mutual fund industry in China based on its selective participation in the SEO market. Mutual funds, as an industry, have selection ability if SEO firms with more subscriptions by mutual funds have better future performance than those with fewer subscriptions. To isolate the effect of mutual funds' favorable opinions about the future performance of an SEO firm, we use a statistical model to exclude the impact of a set of extensive factors on the decision to subscribe to an SEO. We use the model residuals as the ex ante favorable expectations about SEO firms by the mutual fund industry. Our findings suggest that those SEO firms being favored by the mutual fund industry perform statistically and economically significantly better than those SEO firms not favored by the industry. Investors can draw valuable inferences from mutual funds' aggregate decision to participate in the SEO offer market.

show abstract

Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

Mutual funds’ selective participation and subsequent performance of seasoned equity offerings

Feng

Chan

2018

Empir Econ

View full text Add to dashboard Cite

show abstract

“…To date, looking at the pension accumulation stage, various pension strategies have been proposed by pension practitioners and scholars. For example, the classical lifecycle pension concept is shown to be an effective and simple pension investment strategy (Fisch and Turner 2018), which has been used as the default portfolio investment option in the 401(k) plans in the United States (Chan et al 2017;Kilgour 2019). Moreover, a dedicated adjustment to the lifecycle pension concept, such as combining it with a liability-based asset allocation component (Crook 2019) or a target volatility mechanism (Bai and Wallbaum 2020), can also further improve various pension outcomes required by pension investors.…”

Section: Introductionmentioning

confidence: 99%

Improving Retirement Coverage Durability with Target Volatility Strategy for Changing Interest Rate Environment

Bai,

Steblovskaya,

Wallbaum

2023

Asia-Pac J of Fin Stud

View full text Add to dashboard Cite

Motivated by the recent market turbulence triggered by the COVID‐19 pandemic and the changing interest rate environment, we propose an improved investment strategy for extending retirement coverage in the pension decumulation stage. The newly proposed strategy with interest rate dependent volatility targets can significantly improve the durability of conventional retirement portfolios with constant risky and risk‐free asset allocations. This conclusion follows from our analysis in the simulated financial market with stochastic interest rate and stochastic volatility, based on the Hybrid Heston‐Vasicek model. Consequently, the proposed target volatility strategy could be a suitable option for more reliable retirement coverage after retirement.

show abstract

Mutual fund partial liquidation and future performance

Jiang,

McLemore,

Wang

2024

J of Financial Research

View full text Add to dashboard Cite

We examine the determinants of mutual fund partial liquidation and the effect of a negative shock to fund size on performance. We find that older funds from a smaller family with a large number of share classes are more likely to conduct partial liquidation. As fund size decreases after partial liquidation, its performance improves. This effect is more pronounced for funds with stronger pre‐event liquidity constraint and funds that subsequently experience a larger decrease in liquidity, suggesting that liquidity constraint is a contributing factor of fund performance. These findings are consistent with mutual funds having decreasing returns to scale.

show abstract

Fund selection in target date funds

Cited by 7 publications

References 28 publications

Mutual funds’ selective participation and subsequent performance of seasoned equity offerings

Mutual funds’ selective participation and subsequent performance of seasoned equity offerings

Improving Retirement Coverage Durability with Target Volatility Strategy for Changing Interest Rate Environment

Mutual fund partial liquidation and future performance

Contact Info

Product

Resources

About