What is the Value-Added for Large U.S. Banks in Offering Mutual Funds?

Do Mutual Funds Perform When It Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions

Quarterly Journal of Finance ◽

10.1142/s2010139211000146 ◽

2011 ◽

Vol 01 (03) ◽

pp. 607-664 ◽

Cited By ~ 89

Author(s):

Robert Kosowski

Keyword(s):

Mutual Funds ◽

Mutual Fund ◽

Regime Switching ◽

Factor Model ◽

Marginal Utility ◽

Value Added ◽

Fund Performance ◽

Fund Managers ◽

Switching Performance ◽

Equity Mutual Funds

This paper shows that the stylized fact of average mutual fund underperformance documented in the literature stems from expansion periods when funds have statistically significant negative risk-adjusted performance and not recession periods when risk-adjusted fund performance is positive. These results imply that traditional unconditional performance measures understate the value added by active mutual fund managers in recessions, when investors' marginal utility of wealth is high. The risk-adjusted performance (or alpha) difference between recession and expansion periods is statistically and economically significant at 3% to 5% per year. Our findings are based on a novel multi-variate conditional regime-switching performance methodology used to carry out one of the most comprehensive examinations of the performance of US domestic equity mutual funds in recessions and expansions from 1962 to 2005. The findings are robust to the choice of the factor model (including bond and liquidity factor extensions), the use of NBER business cycle dates, fund load, turnover, expenses and percentage of equity holdings.

Download Full-text

The relation between management fees and the mutual funds` performance in Poland in 2015

Oeconomia Copernicana ◽

10.24136/oc.2018.013 ◽

2018 ◽

Vol 9 (2) ◽

pp. 245-259

Author(s):

Alicja Fraś

Keyword(s):

Mutual Funds ◽

Value Added ◽

Factor Models ◽

Rate Of Return ◽

Rates Of Return ◽

Independent Variables ◽

Management Fees ◽

Time Horizons ◽

Yearly Period ◽

Better Than

Research background: The investor`s expectation of better performance in the case of more expensive mutual funds seems natural and fully justified. However, the rise of passive funds and their surprisingly good results, especially when taking into account their low fees, triggered the discussion. Recent years have brought more and more studies, conducted mostly for the American market, discrediting high-charging, aggressive funds. First analyses in Poland also indicate that the level of fees is not always linked with the fund’s performance. Purpose of the article: The purpose of the study is to investigate the relation be-tween the fees imposed by the mutual funds and the funds` performance. The idea is to verify, whether higher management fees are associated with top performance and whether it is rational to pay more for capital management. Methods: In the first step of the study, linearity and direction of the dependency was explored, using scatterplots and correlation analysis. In the second part, the linear regression was created to verify the strength of the relation. One-factor models have been built with the rate of return and standard deviation as independent variables for 1-, 3- and 5-year time horizons. Moreover, two-factor models, including both rate of return and risk has been created, to compare the significance of return and risk factor. Findings & Value added: The results indicated that more expensive Polish mutual funds in 2015 tended to perform worse in all tested time horizons — both in terms of lower rates of return and higher risk. Especially unexpected are the results of rates of return regression analysis — it turns out that within a sample 1% higher fee implied over 0.6% lower rate of return before fees (in yearly period). Nonetheless, the risk turned out to be more important, explaining the charges variability much better than the rate of return. Another interesting finding of the study is that merely two simple factors (return and risk) explain even as much as 60% of the management fee variability.

Download Full-text

The Persistence of Fee Dispersion among Mutual Funds

Review of Finance ◽

10.1093/rof/rfaa023 ◽

2020 ◽

Author(s):

Michael J Cooper ◽

Michael Halling ◽

Wenhao Yang

Keyword(s):

Mutual Funds ◽

Mutual Fund ◽

Value Added ◽

Economic Effects ◽

Equity Funds ◽

Strong Negative Association ◽

International Equity ◽

Fund Industry ◽

Mutual Fund Industry ◽

Fund Size

Abstract Previous work shows large differences in fees for S&P 500 index funds and other funds and suggests that investors suffer wealth losses investing in high-fee funds when similar low-fee funds are available. In contrast, the neoclassical model of mutual funds (Berk and van Binsbergen, 2015, J. Financ. Econ., 118, 1–20) argues that percentage fees are irrelevant, as fund size will adjust in equilibrium such that net alphas are equal to zero. We show that fees matter from an investor perspective. We document (i) a strong negative association between net-of-fee fund performance and fees in a sample of all US and international equity funds, (ii) economically large, robust, persistent, and pervasive fee dispersion in the mutual fund industry, and (iii) important economic effects for investors. During the sample period, the mutual fund industry has generated a total value lost (i.e., a negative net value added) of 125 billion USD, coming predominantly from high-fee funds.

Download Full-text

KONSEP DASAR INVESTASI REKSADANA

SALAM Jurnal Sosial dan Budaya Syar i ◽

10.15408/sjsbs.v1i1.1526 ◽

2014 ◽

Vol 1 (1) ◽

Cited By ~ 1

Author(s):

Aini Masruroh

Keyword(s):

Mutual Funds ◽

Mutual Fund ◽

Basic Concept ◽

Inflation Rate ◽

Value Added ◽

High Demand ◽

Financial Capability ◽

Small Risk ◽

The Future

Abstract: Basic Concept of Mutual Fund Investing. The high demand of living and the inflation rate in Indonesia from year to year became the background the importance of investment activities. Saving is no longer able to be a solution in improving the financial capability of a person. Investing is an activity placement of the funds in investment instruments in hopes of obtaining the value added in the future. One of the attractive investment instrument is mutual funds. One can invest through mutual funds with very low capital, while also being able to diversify, have a small risk, but it has a competitive returns. Keywords: Investment, Mutual Fund Abstrak: Konsep Dasar Investasi Reksadana. Tingginya kebutuhan hidup dan tingkat inflasi di Indonesia dari tahun ke tahun menjadi latar belakang pentingnya melakukan kegiatan investasi, karena saving tidak lagi mampu menjadi solusi dalam meningkatkan kemampuan financial seseorang. Investasi merupakan suatu kegiatan/aktivitas penempatan sejumlah dana pada instrumen investasi dengan harapan akan memperoleh nilai tambah dimasa yang akan datang. Salah satu instrumen investasi yang menarik adalah reksadana. Melalui reksadana seseorang dapat berinvestasi dengan modal sangat rendah, sekaligus dapat melakukan diversifikasi, memiliki risiko kecil, namun memiliki imbal hasil yag kompetitif. Kata Kunci: Investasi, ReksadanaDOI:10.15408/sjsbs.v1i1.1526

Download Full-text

The relation between management fees and the mutual funds` performance in Poland in 2015

Oeconomia Copernicana ◽

10.24136/10.24136/oc.2018.013 ◽

2018 ◽

Vol 9 (2) ◽

pp. 245-259

Author(s):

Alicja Fraś

Keyword(s):

Mutual Funds ◽

Value Added ◽

Factor Models ◽

Rate Of Return ◽

Rates Of Return ◽

Independent Variables ◽

Management Fees ◽

Time Horizons ◽

Yearly Period ◽

Better Than

Research background: The investor`s expectation of better performance in the case of more expensive mutual funds seems natural and fully justified. However, the rise of passive funds and their surprisingly good results, especially when taking into account their low fees, triggered the discussion. Recent years have brought more and more studies, conducted mostly for the American market, discrediting high-charging, aggressive funds. First analyses in Poland also indicate that the level of fees is not always linked with the fund’s performance. Purpose of the article: The purpose of the study is to investigate the relation be-tween the fees imposed by the mutual funds and the funds` performance. The idea is to verify, whether higher management fees are associated with top performance and whether it is rational to pay more for capital management. Methods: In the first step of the study, linearity and direction of the dependency was explored, using scatterplots and correlation analysis. In the second part, the linear regression was created to verify the strength of the relation. One-factor models have been built with the rate of return and standard deviation as independent variables for 1-, 3- and 5-year time horizons. Moreover, two-factor models, including both rate of return and risk has been created, to compare the significance of return and risk factor. Findings & Value added: The results indicated that more expensive Polish mutual funds in 2015 tended to perform worse in all tested time horizons — both in terms of lower rates of return and higher risk. Especially unexpected are the results of rates of return regression analysis — it turns out that within a sample 1% higher fee implied over 0.6% lower rate of return before fees (in yearly period). Nonetheless, the risk turned out to be more important, explaining the charges variability much better than the rate of return. Another interesting finding of the study is that merely two simple factors (return and risk) explain even as much as 60% of the management fee variability.

Download Full-text

Mutual Fund Styles and Clientele-Specific Performance Evaluation

International Journal of Economics and Finance ◽

10.5539/ijef.v11n12p89 ◽

2019 ◽

Vol 11 (12) ◽

pp. 89

Author(s):

Stéphane Chrétien ◽

Manel Kammoun

Keyword(s):

Mutual Funds ◽

Performance Measures ◽

Mutual Fund ◽

Value Added ◽

Economic Conditions ◽

Specific Measure ◽

Equity Mutual Funds ◽

Specific Performance ◽

Behavioral Features ◽

Style Preferences

This paper develops clientele-specific performance measures based on the style preferences of mutual fund investors. Proposing an approach that considers investor disagreement and exploits style classification data, we investigate eight measures to represent investors with favorable preferences for size and value equity styles using a large sample of actively-managed U.S. equity mutual funds from 1998 to 2012. We find that the implied style preferences differ in their rational and behavioral features: value and small-cap fund investors (growth and large-cap fund investors) are more (less) averse to difficult economic conditions, and tend to be pessimists and contrarians (optimists and trend followers). The performance of funds assigned to clientele-specific styles becomes neutral or positive when evaluated with measures that consider their most likely style clienteles. The sign of the value added by the industry is ambiguous and depends on the choice of measures. Hence, performance is more favorable when funds are evaluated with their appropriate style-clientele-specific measure, and can otherwise depend on the measure.

Download Full-text

Sustainable 2,5-furandicarboxylic synthesis by a direct 5-hydroxymethylfurfural fuel cell based on a bifunctional PtNiSx catalyst

Chemical Communications ◽

10.1039/d0cc06087a ◽

2020 ◽

Vol 56 (88) ◽

pp. 13611-13614

Author(s):

Jialu Wang ◽

Xian Zhang ◽

Guozhong Wang ◽

Yunxia Zhang ◽

Haimin Zhang

Keyword(s):

Fuel Cell ◽

Electric Energy ◽

Value Added ◽

Chemical Energy ◽

New Type

A new type of direct 5-hydroxymethylfurfural (HMF) oxidation fuel cell based on a bifunctional PtNiSx/CB catalyst not only transformed chemical energy into electric energy but also converted HMF into value-added 2,5-furandicarboxylic (FDCA).

Download Full-text