Mutual Fund Performance and Performance Persistence [electronic resource] : The Impact of Fund Flows and Manager Changes /
Lückoff, Peter.author.
Superior investment performance is the ultimate objective of mutual fund investors. However, past fund performance is no reliable indicator of future performance. Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels. These results have important implications for investors, investment management companies and even regulators.
Description based upon print version of record.
Foreword; Preface; Contents; List of Tables; List of Figures; Introduction; Motivation and Relevance; Objective and Structure; Part I Delegated Portfolio Management; 1 Institutional Setting; 1.1 Role of Mutual Funds; 1.2 Objectives of Investors; Professional Management; Diversification; Liquidity; Additional Services; 1.3 Investment Strategies; 1.3.1 Return Predictability and Equilibrium Considerations; 1.3.2 Active versus Passive Investing; 1.3.3 Specific Investment Strategies; 1.3.3.1 Indexing and Enhanced Indexing; 1.3.3.2 Fundamental Indexing; 1.3.3.3 Active Long-Only Strategies
1.3.3.4 Active Long-Short Strategies1.3.3.5 Activist Investors; 1.4 Organizational Design; 1.4.1 Open-End Funds; 1.4.2 Exchange-Traded Funds; 1.4.3 Retail Structured Products; 1.4.4 Closed-End Funds; 1.4.5 Hedge Funds; 1.4.6 Comparison of Different Structures; 1.5 Discussion; 2 Agency Conflicts; 2.1 Potential Conflicts of Interest; 2.1.1 Investors and Portfolio Managers 2.1.1.1 Career Concerns and Tournaments Tournament Behavior; Strategic Interaction and Family Tournaments; Further Empirical Evidence and Statistical Issues; 2.1.1.2 Herding; 2.1.2 Investors and Investment Management Companies
2.1.2.1 Distribution Channels and Advertisement Brokers and Financial AdvisorsAdvertising Performance; Changing Names and Pretending Innovation; 2.1.2.2 Fund Families and "Star" Managers Strategically Boosting Fund Performance; Side-by-Side Management; Strategically Starting, Merging and Closing Funds; 2.1.2.3 Benchmark Gaming and Performance Manipulation Benchmark Gaming; Portfolio Pumping; Window Dressing; 2.1.3 Costs and Potential Third-Party Benefits; 2.1.3.1 Costs; 2.1.3.2 Directed Brokerage and Soft Dollars; 2.1.3.3 Market Timing and Late Trading Market Timing; Late Trading
2.1.4 Discussion2.2 Potential Solutions for Reducing Agency Conflicts; 2.2.1 Investment Strategy and Instruments; 2.2.2 External Governance 2.2.2.1 Transparency and Competition; 2.2.2.2 Market-Based Control; 2.2.3 Internal Governance; 2.2.3.1 Fund Board; 2.2.3.2 Manager Changes; 2.2.3.3 Optimal Fund Size; 2.2.4 Incentive Contracts and Ownership Structures; 2.2.4.1 Performance-Based Compensation; 2.2.4.2 Ownership Structures; 2.2.5 Discussion; Part II Investment Performance; 3 Performance Measurement; 3.1 Choice of the Correct Performance Measure; 3.1.1 Asset Class and Investment Strategy
3.1.2 Existing Portfolio3.1.3 Chronological Focus; 3.1.4 Institutional Setting; 3.2 Ratio-Based Performance Evaluation; 3.2.1 Information Ratio and Sharpe Ratio; 3.2.2 Treynor Ratio; 3.2.3 Ratios for Non-Normally Distributed Returns; 3.3 Risk-Based Performance Evaluation; 3.3.1 Jensen Model; 3.3.1.1 Benchmark Problem; 3.3.1.2 Time Variability; 3.3.1.3 Statistical Problems; 3.3.2 Multifactor Models; 3.3.2.1 Fama-French Model: Size and Value Effect; 3.3.2.2 Carhart Model: Momentum Effect; 3.3.2.3 Construction of Factor-Mimicking Portfolios
3.3.3 Timing Models and Conditional Performance Evaluation
Thesis (doctoral)--Justus-Liebig-Universität Giessen, 2010.
Includes bibliographical references.
Superior investment performance is the ultimate objective of mutual fund investors. However, past fund performance is no reliable indicator of future performance. Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels. These results have important implications for investors, investment management companies and even regulators.
Tax accounting.
Tax laws.
Finance.
Business Taxation/Tax Law.
Finance, general.