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Persistent link: https://www.econbiz.de/10003343896
We examine the relative weights hedge fund investors attach to past information in the fund selection process. The weighting scheme appears inconsistent with econometric forecasting models that predict fund returns, alphas or Sharpe ratios. In particular, investor flows are highly sensitive to...
Persistent link: https://www.econbiz.de/10010471775
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Using a sample of domestic U.S. equity mutual funds, we find strong evidence that investors respond to managerial replacements. We find that the top performing funds that have a change in management subsequently have lower flows compared to funds of which the manager is retained. On top of that,...
Persistent link: https://www.econbiz.de/10013098876
The shape of the flow-performance relationship in the hedge fund industry is not constant over time, but varies across market conditions. We employ a switching regression approach to explain quarterly hedge fund flows, based on two regimes where either inflows or outflows are dominating,...
Persistent link: https://www.econbiz.de/10013074940
The average alpha of mutual funds is an indication of whether it pays off to invest in actively managed funds. In this study we show that a substantial part of the variation in the average alpha can be explained by exogenous factors. The most important factors are the average expense ratio, the...
Persistent link: https://www.econbiz.de/10013153163
We study the trading performance of actively-managed mutual funds from 16 domicile countries investing in 42 equity markets over the period 2001-2014. In the aggregate, funds achieve particularly poor returns in U.S. equity: after adjusting for style, the stocks they buy underperform those they...
Persistent link: https://www.econbiz.de/10012931913
Persistent link: https://www.econbiz.de/10012039763
Persistent link: https://www.econbiz.de/10013369033
We examine the relative weights hedge fund investors attach to past information in the fund selection process. The weighting scheme appears inconsistent with the one of econometric forecast models that predict fund returns, alphas or Sharpe ratios. In particular, investor flows are highly...
Persistent link: https://www.econbiz.de/10013029677