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How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach

Reuter, Jonathan - 2010

The level of diseconomies of scale in asset management has important implications for tests of manager skill and the expected level of performance persistence. To identify the causal impact of fund size on future returns, we exploit the fact that small differences in returns can cause discrete...

Persistent link: https://www.econbiz.de/10012462327

Do Funds-of-Funds Deserve Their Fees-on-Fees?

Ang, Andrew - 2008

Since the after-fee returns of funds-of-funds are, on average, lower than hedge fund returns, it is easy to conclude that funds-of-funds do not add value compared to hedge funds. However, funds-of-funds should not be evaluated relative to hedge fund returns in publicly reported databases....

Persistent link: https://www.econbiz.de/10012464705

An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns

Getmansky, Mila - 2003

The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation...

Persistent link: https://www.econbiz.de/10012469129

Hedge Funds With Style

Brown, Stephen J. - 2001

The popular perception is that hedge funds follow a reasonably well defined market-neutral investment style. While this long-short investment strategy may have characterized the first hedge funds, today hedge funds are a reasonably heterogeneous group. They are better defined in terms of their...

Persistent link: https://www.econbiz.de/10012470553

Time-Varying Fund Manager Skill

Kacperczyk, Marcin - 2011

Mutual fund managers can outperform the market by picking stocks or timing the market successfully. Previous work has … picking skills and little evidence of timing skills among successful managers. This paper estimates skill separately in booms … and recessions and finds that the extent to which managers focus on stock picking or market timing fluctuates with the …

Persistent link: https://www.econbiz.de/10012461042

Measuring Institutional Investors’ Skill from Their Investments in Private Equity

Cavagnaro, Daniel R. - 2016

Using a large sample of institutional investors' private equity investments in venture and buyout funds, we estimate the extent to which investors' skill affects returns from private equity investments. We first consider whether investors have differential skill by comparing the distribution of...

Persistent link: https://www.econbiz.de/10012456132

Matching Capital and Labor

Berk, Jonathan B. - 2014

30% of the value mutual fund managers add can be attributed to the firm's role in efficiently allocating capital amongst … its mutual fund managers. We find no evidence of a similar effect when a firm hires managers from another firm. We …

Persistent link: https://www.econbiz.de/10012458526

Scale and Skill in Active Management

Pastor, Lubos - 2014

We empirically analyze the nature of returns to scale in active mutual fund management. We find strong evidence of decreasing returns at the industry level: As the size of the active mutual fund industry increases, a fund's ability to outperform passive benchmarks declines. At the fund level,...

Persistent link: https://www.econbiz.de/10012458773

Measuring Managerial Skill in the Mutual Fund Industry

Berk, Jonathan B. - 2012

document that investors recognize this skill and reward it by investing more capital with skilled managers. Higher skilled … managers are paid more and there is a strong positive correlation between current managerial compensation and future …

Persistent link: https://www.econbiz.de/10012460476

Managing Public Investment Funds : Best Practices and New Challenges

Mitchell, Olivia S. - 2008

Large publicly-held pools of assets are playing an increasingly prominent role in the global investment arena. We compare three distinct forms of such public funds, namely foreign exchange reserve funds, sovereign wealth funds, and public pension funds, to highlight their differences and...

Persistent link: https://www.econbiz.de/10012464569