Mutual fund performance: measurement and evidence

Show simple item record Cuthbertson, Keith Nitzsche, Dirk O'Sullivan, Niall 2013-11-28T11:36:08Z 2013-11-28T11:36:08Z 2010-05
dc.identifier.citation CUTHBERTSON, K., NITZSCHE, D. & O'SULLIVAN, N. 2010. Mutual Fund Performance: Measurement and Evidence. Financial Markets, Institutions & Instruments, 19 (2), 95-187. doi: 10.1111/j.1468-0416.2010.00156.x en
dc.identifier.volume 19 en
dc.identifier.issued 2 en
dc.identifier.startpage 95 en
dc.identifier.endpage 187 en
dc.identifier.issn 1468-0416
dc.identifier.doi 10.1111/j.1468-0416.2010.00156.x
dc.description.abstract 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. en
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.publisher Blackwell Publishing Ltd en
dc.rights © 2010 New York University Salomon Center and Wiley Periodicals, Inc. This is the pre-peer reviewed version of the following article: CUTHBERTSON, K., NITZSCHE, D. & O'SULLIVAN, N. 2010. Mutual Fund Performance: Measurement and Evidence. Financial Markets, Institutions & Instruments, 19 (2), 95-187, which has been published in final form at en
dc.subject Mutual fund performance en
dc.subject Persistence en
dc.subject Smart money en
dc.title Mutual fund performance: measurement and evidence en
dc.type Article (peer-reviewed) en
dc.internal.authorcontactother Niall O'Sullivan, Economics, University College Cork, Cork, Ireland. +353-21-490-3000 Email: en
dc.internal.availability Full text available en 2013-05-28T15:07:34Z
dc.description.version Submitted Version en
dc.internal.rssid 19164026
dc.description.status Peer reviewed en
dc.identifier.journaltitle Financial Markets, Instruments and Institutions en
dc.internal.copyrightchecked No The version uploaded is pre-refereeing. However, a subsequent version was accepted to the above journal. en
dc.internal.licenseacceptance Yes en
dc.internal.IRISemailaddress en

Files in this item

This item appears in the following Collection(s)

Show simple item record

This website uses cookies. By using this website, you consent to the use of cookies in accordance with the UCC Privacy and Cookies Statement. For more information about cookies and how you can disable them, visit our Privacy and Cookies statement