Articlehybrid1996

Mutual fund investment performance

88 citations0/0 files storedThe Quarterly Review of Economics and Finance

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Abstract

A pooled cross-section/time series analysis is used to assess the long-run relationship between risk-adjusted performance of equity mutual funds and asset size, expense ratios, portfolio turnover, and load/no-load status. The data base consists of investment results of 151 equity mutual funds in continual operation over the 20-year period from 1971 to 1990. Variations of the cross-section/time series model are employed to explore the interactions among the nature of the funds (load or no-load) with asset size and expense ratios. Investment performance is not related to asset size, turnover rate, or load/no-load status, and higher expenses are associated with higher returns.

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References

1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 1966Mutual Fund Performance 1994The Sharpe Ratio 2012How to Rate Management of Investment Funds 1976ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills 1993Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios

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