Mutual fund performance: A synthesis of taxonomic and methodological issues

Abstract

This paper provides a comprehensive taxonomy of mutual funds and discusses the relative importance of these fund types. While most academic research focuses on US equity funds, we provide results for many more asset classes with this taxonomydfixed income, balanced, global, International, sector, market-neutral and long-short funds. For each, we start by reporting statistics on the number of funds and their total net asset values at different intervals over the last four decades. We then identify short and long-term patterns in annual returns to mutual funds. We study the cross-sectional and time-series properties of the distribution of investor flows into different types of mutual funds, describe the relationship between flows and performance and discuss its implications for the strategic behaviour of managers and investors. We estimate and interpret fund performance alphas using both the single-factor and four-factor Fama-French models for each taxonomy type. Finally we describe the state of academic research on portfolio performance evaluation tilted towards an applied audience.

Performance of Local Versus International Focus Malaysian-based Mutual Funds

“…However, like Fletcher and Marshall (2005), Bauer et al (2006) also found that in their sub-sample of Australian ethical funds, the performance of domestic funds is significantly higher than that of their international counterparts. Badrinath and Gubellini (2010) also found the superior performance of domestic (mid-cap, balanced, all sectors and fixed income) equity funds to international (all) and global funds. Their sample is U.S. funds covering the period from 1970 to 2007 that are tested using alphas from CAPM and Carhart model.…”

A taxonomic evaluation of Indian mutual funds’ performance and its determinants – Post-pandemic

“…(Zabiulla, 2014). Interactions between the strategic behavior of investors and fund managers are significant for fund performance (Badrinath & Gubellini, 2010). Hence, examining the fund characteristics in determining the mutual fund performance is crucial to identifying funds exhibiting outperformance.…”