Mutual Fund Performance and Performance Persistence : The Impact of Fund Flows and Manager Changes

Online-Ressource (XXIV, 588p. 37 illus, digital)

Includes bibliographical references

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

10.1007/978-3-8349-6527-1 [DOI]

ECONIS - Online Catalogue of the ZBW