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Equity Mutual Funds (equity + mutual_fund)
Selected AbstractsOn the Industry Concentration of Actively Managed Equity Mutual FundsTHE JOURNAL OF FINANCE, Issue 4 2005MARCIN KACPERCZYK ABSTRACT Mutual fund managers may decide to deviate from a well-diversified portfolio and concentrate their holdings in industries where they have informational advantages. In this paper, we study the relation between the industry concentration and the performance of actively managed U.S. mutual funds from 1984 to 1999. Our results indicate that, on average, more concentrated funds perform better after controlling for risk and style differences using various performance measures. This finding suggests that investment ability is more evident among managers who hold portfolios concentrated in a few industries. [source] The Determinants and Implications of Mutual Fund Cash Holdings: Theory and EvidenceFINANCIAL MANAGEMENT, Issue 2 2006Xuemin (Sterling) Yan In this article, I examine the determinants and implications of equity mutual fund cash holdings. In cross-sectional tests, I find evidence generally supportive of a static trade-off model developed in the article. In particular, small-cap funds and funds with more-volatile fund flows hold more cash. However, I do not find that fund managers with better stock-picking skills hold less cash. Aggregate cash holdings by equity mutual funds are persistent and positively related to lagged aggregate fund flows. Aggregate cash holdings do not forecast future market returns, suggesting that equity funds as a whole do not have market timing skills. [source] Mutual Fund Performance: Measurement and Evidence1FINANCIAL MARKETS, INSTITUTIONS & INSTRUMENTS, Issue 2 2010Keith Cuthbertson C15; G11; C14 The paper provides a critical review of empirical findings on the performance of mutual funds, mainly for the US and UK. Ex-post, there are around 0-5% of top performing UK and US equity mutual funds with truly positive-alpha performance (after fees) and around 20% of funds that have truly poor alpha performance, with about 75% of active funds which are effectively zero-alpha funds. Key drivers of relative performance are, load fees, expenses and turnover. There is little evidence of successful market timing. Evidence suggests past winner funds persist, when rebalancing is frequent (i.e., less than one year) and when using sophisticated sorting rules (e.g., Bayesian approaches) - but transactions costs (load and advisory fees) imply that economic gains to investors from winner funds may be marginal. The US evidence clearly supports the view that past loser funds remain losers. Broadly speaking results for bond mutual funds are similar to those for equity funds. Sensible advice for most investors would be to hold low cost index funds and avoid holding past ,active' loser funds. Only sophisticated investors should pursue an active ex-ante investment strategy of trying to pick winners - and then with much caution. [source] Luck versus Skill in the Cross-Section of Mutual Fund ReturnsTHE JOURNAL OF FINANCE, Issue 5 2010EUGENE F. FAMA ABSTRACT The aggregate portfolio of actively managed U.S. equity mutual funds is close to the market portfolio, but the high costs of active management show up intact as lower returns to investors. Bootstrap simulations suggest that few funds produce benchmark-adjusted expected returns sufficient to cover their costs. If we add back the costs in fund expense ratios, there is evidence of inferior and superior performance (nonzero true ,) in the extreme tails of the cross-section of mutual fund , estimates. [source] | ||||||||||