Mutual Fund Performance and Manager Style共同基金业绩和管理风格. J.L. Davis, FAJ,.pptVIP

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Mutual Fund Performance and Manager Style共同基金业绩和管理风格. J.L. Davis, FAJ,.ppt

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Mutual Fund Performance and Manager Style共同基金业绩和管理风格. J.L. Davis, FAJ,

Mutual Fund Performance and Manager Style. J.L. Davis, FAJ, Jan/Feb 01 Various studies examined the evidence of persistence in mutual fund performance. General consensus is that a few fund managers do tend to consistently appear near the top of the return rankings. Mutual Fund Performance and… Strong evidence that some fund managers consistently appear near the bottom of the ranking. The implication for investors: Small likelihood of consistently earning abnormal returns by seeking individual fund managers. Mutual Fund Performance and… Objective of this Study: Examine the relationship between equity fund performance and manager style. 1. Examine whether any investment style reliably delivers abnormal performance; 2. Evidence of performance per- sistence based on style. Mutual Fund Performance and… Data and Methodology: Data US Mutual Fund Database from CRSP. Time period: 1965-1998. Data is free of Survivorship bias. Explain the problem with survivorship bias. Mutual Fund Performance and… Selection Criteria for funds to be included in the data set: 1. If a fund’s stated objective was growth, growth and income, maximum capital gains, small-cap growth, or aggressive growth; 2. Objective not listed but policy statement indicated that they primarily invested in common stocks. Mutual Fund Performance and… Sample consisted of 4,686 funds covering 26,564 fund-years from 1962-98, i.e.,in 26,564 time the fund was classified as an equity fund and had at least one valid monthly return. The median equity weight for the fund year: 93 percent. Mutual Fund Performance and… Style Identification: Fama-French three factor model as presented below is used to infer fund’s investment style. Rit–Rft=αi+βi(Rm,t–Rf,t)+si SMBt+ hiHMLm+ei,t Where, Rit= the percentage return to fund i, Rft = the U.S. T-bill rate Rmt = the return on the CRSP value weighted index, SMBt = small cap return - large cap return, HMLt = value return – growth return, et = the error term. M