Mutual Fund Family Strategies and Bayesian Alphas

2012 ◽  
Author(s):  
Daniel Li
Keyword(s):  
Mutual Fund ◽  
Mutual Fund Family ◽  
Family Strategies

scholarly journals The Impact of Mutual Fund Family Membership on Investor Risk

2005 ◽  
Author(s):  
Edwin J. Elton ◽  
T. Clifton Green ◽  
Martin J. Gruber
Keyword(s):  
Mutual Fund ◽  
Mutual Fund Family ◽  
The Impact ◽  
Family Membership

scholarly journals The Impact of Mutual Fund Family Membership on Investor Risk

2007 ◽  
Vol 42 (2) ◽  
pp. 257-277 ◽  
Author(s):  
Edwin J. Elton ◽  
Martin J. Gruber ◽  
T. Clifton Green
Keyword(s):  
Mutual Fund ◽  
Retirement Savings ◽  
Portfolio Risk ◽  
Economic Sectors ◽  
The Family ◽  
Additional Fund ◽  
Fund Families ◽  
Mutual Fund Family ◽  
The Impact ◽  
Family Membership

AbstractMany investors confine their mutual fund holdings to a single fund family either for simplicity or through restrictions placed by their retirement savings plan. We find evidence that mutual fund returns are more closely correlated within than between fund families. As a result, restricting investment to one fund family leads to a greater total portfolio risk than diversifying across fund families. We examine the sources of this increased correlation and find that it is due primarily to common stock holdings, but is also more generally related to families having similar exposures to economic sectors or industries. Fund families also show a propensity to focus on high or low risk strategies, which leads to a greater dispersion of risk across restricted investors. An investor considering adding an additional fund, either in the same family or outside the family, would need to believe the inside fund offered an extra 50 to 70 basis points to have the same Sharpe ratio.

scholarly journals The Impact of Mutual Fund Family Membership on Investor Risk

2010 ◽  
pp. 173-193
Author(s):  
Edwin J. Elton ◽  
Martin J. Gruber ◽  
T. Clifton Green
Keyword(s):  
Mutual Fund ◽  
Mutual Fund Family ◽  
The Impact ◽  
Family Membership

Interfund Lending in Mutual Fund Families: Role in Liquidity Management

2019 ◽  
Vol 32 (10) ◽  
pp. 4079-4115 ◽  
Author(s):  
Vikas Agarwal ◽  
Haibei Zhao
Keyword(s):  
Mutual Fund ◽  
Liquidity Management ◽  
Oxford University ◽  
Money Market Funds ◽  
Equity Funds ◽  
Fund Families ◽  
Mutual Fund Families ◽  
Editorial Decision ◽  
Mutual Fund Family ◽  
Published Paper

Abstract The Investment Company Act of 1940 restricts interfund lending and borrowing within a mutual fund family, but families can apply for regulatory exemptions to participate in such transactions. We find that the monitoring mechanisms and investment restrictions influence the family’s decision to apply for the interfund lending programs. We document several benefits of such programs for equity funds. First, participating funds reduce cash holdings and increase investments in illiquid assets. Second, fund investors exhibit less run-like behavior. Third, it helps mitigate asset fire sales after extreme investor redemptions. Offsetting these benefits, money market funds in participating families experience investor outflows. Received May 26, 2018; editorial decision November 27, 2018 by Editor Itay Goldstein. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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