De ontwerpen-Talma tot regeling der ztekteverzekering

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Running From a Bear: How Poor Stock Market Performance Affects the Determinants of Mutual Fund Flows

Abstract:  Using a proprietary data set to study how past performance affects the determinants of mutual fund flows for a sample of load fund investors, I provide evidence that the determinants of fund flow depend on market conditions for both redemptions and purchases. Specifically, I show that, for redemptions, relative performance and risk adjusted performance are important determinants during a period of record flows into mutual funds. Conversely, during a period of poor performance, absolute performance becomes much more important and relative performance and risk adjusted performance become less important. For purchases, absolute performance, risk adjusted performance, and most relative performance measures become more important during the bear market.     

AN ARBITRAGE PRICING APPROACH TO EVALUATING MUTUAL FUND PERFORMANCE

A test procedure, derived from arbitrage pricing theory, that permits the measurement of the security selection performance of professional portfolio managers is developed and applied to a sample of mutual funds over the period of the 1970's. The evidence indicates that more than one factor was present in the market during that interval as a systematic influence on the profile of securities returns. Consistent with prior studies, the evidence also suggests that mutual fund portfolios did not outperform a passive buy-and-hold investment strategy. A comparative analysis of the same data, using performance measures based on the single-factor market model, produces similar but less powerful results, both in the aggregate and at the individual fund level.