A review of behavioural and management effects in mutual fund performance

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dc.contributor.authorCuthbertson, Keith
dc.contributor.authorNitzsche, Dirk
dc.contributor.authorO'Sullivan, Niall
dc.date.accessioned2016-04-21T09:26:38Z
dc.date.available2016-04-21T09:26:38Z
dc.date.issued2016
dc.date.updated2016-01-28T11:58:59Z
dc.description.abstractThis paper surveys and critically evaluates the literature on the role of management effects and fund characteristics in mutual fund performance. First, a brief overview of performance measures is provided. Second, empirical findings on the predictive power of fund characteristics in explaining future returns are discussed. Third, the paper reviews the literature on fund manager behavioural biases and the impact these have on risk taking and returns. Finally, the impact of organizational structure, governance and strategy on both fund risk taking and future performance is examined. While a number of surveys on mutual fund performance are available, these have not focused on the role of manager behavioural biases, manager characteristics and fund management strategic behavior on fund performance and risk taking. This review is an attempt to fill this gap. Empirical results indicate that finding successful funds ex-ante is extremely difficult, if not impossible. In contrast, there is strong evidence that poor performance persists for many of the prior “loser fractile” portfolios of funds. A number of manager behavioural biases are prevalent in the mutual fund industry and they generally detract from returns.en
dc.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.citationCUTHBERTSON, K., NITZSCHE, D. & O'SULLIVAN, N. 2016. A review of behavioural and management effects in mutual fund performance. International Review of Financial Analysis, 44, 162-176. doi: 10.1016/j.irfa.2016.01.016en
dc.identifier.doi10.1016/j.irfa.2016.01.016
dc.identifier.endpage176en
dc.identifier.issn1057-5219
dc.identifier.journaltitleInternational Review of Financial Analysisen
dc.identifier.startpage162en
dc.identifier.urihttps://hdl.handle.net/10468/2472
dc.identifier.volume44en
dc.language.isoenen
dc.publisherElsevier B.V.en
dc.relation.urihttp://www.sciencedirect.com/science/article/pii/S1057521916300023
dc.rightsCopyright © 2016 Elsevier Inc. All rights reserved. This manuscript is made available under the CC-BY-NC-ND 4.0 license. https://creativecommons.org/licenses/by-nc-nd/4.0/en
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/en
dc.subjectMutual fund performanceen
dc.subjectFund characteristicsen
dc.subjectManager behavior biasesen
dc.subjectManager characteristicsen
dc.titleA review of behavioural and management effects in mutual fund performanceen
dc.typeArticle (peer-reviewed)en
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