Do locals perform better than foreigners?: An analysis of UK and US mutual fund managers

Shukla, Ravi; Inwegen, Gregory B. van

doi:10.1016/0148-6195(95)00009-g

Cited by 158 publications

(70 citation statements)

References 4 publications

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“…The wider dispersion in fund performance in international, as opposed to domestic, equity sectors may, in part, be explained by the fact that the domestic equity sectors were disaggregated according to investment style, while the international sectors comprise several different styles. But a study by Shukla and VanInwegen (1995) and interviews with industry practitioners indicated other possible explanations. Shukla and VanInwegen's study of UK growth-oriented mutual funds investing in the US found that they underperformed their US counterparts.…”

Section: Resultsmentioning

confidence: 99%

Mutual Fund Performance: Evidence from the UK

Blake¹,

Timmermann²

1998

Review of Finance

189

101

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Abstract. This paper uses a large sample containing the complete return histories of 2300 UK openended mutual funds over a 23-year period to measure fund performance. We find some evidence of underperformance on a risk-adjusted basis by the average fund manager, persistence of performance and the existence of a substantial survivor bias. Similar findings have been reported for US equity mutual funds. New findings not previously documented for other markets include evidence that mutual fund performance varies substantially across different asset categories, especially foreign asset categories. We also identify some new patterns in performance related to the funds' distance from their inception and termination dates: underperformance intensifies as the fund termination date approaches, while, in contrast, there is some evidence that funds (weakly) outperform during their first year of existence.

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Section: Resultsmentioning

confidence: 99%

Mutual Fund Performance: Evidence from the UK

Blake¹,

Timmermann²

1998

Review of Finance

189

101

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“…2 For instance Dermine and Röller (1992) on French mutual funds, Ward and Saunders (1976), Shukla and Imwegen (1995) and Blake and Timmerman (1998) on UK funds, Wittrock and Steiner (1995) on German funds, Ter Horst, Nijman and De Roon (1998) on Dutch funds, Fernandez. (2008) on Spanish funds , Sorros (2001), Rompotis (2007) on Greek funds, and Dahlquist, Engström and Söderlind (2000) on Swedish funds.…”

Section: Introductionmentioning

confidence: 99%

Emerging market mutual fund performance: Evidence for Poland

Białkowski

Otten

2011

The North American Journal of Economics and Finance

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This paper provides evidence on the performance of mutual funds in a prominent emerging market; Poland. Studying an emerging market provides an excellent opportunity to test whether the consensus on the inability of mutual funds in developed and highly efficient markets to beat the market, also holds in less efficient markets. While the weaknesses of legal institutions and underdeveloped capital markets in emerging countries could negatively contribute to performance, a certain level of market inefficiency might also enable fund managers to successfully apply security selection and therefore beat the market. This paper presents an overview of the Polish mutual fund industry and investigates mutual fund performance using a survivorship bias controlled sample of 140 funds. The latter is done using the Carhart (1997) 4-factor asset-pricing model. In addition, we investigate whether Polish fund managers exhibit "hot hands", persistence in performance. Finally the influence of fund characteristics on risk-adjusted performance is considered. Our overall results suggest that Polish mutual funds on average are not able to add value, as indicated by their negative net alphas. Interestingly, domestic funds outperform internationally investing funds, which points at informational advantages of local over foreign investors. Finally, we detect strong persistence in mean returns up to 1 year. It is striking that "winning" funds are able to significantly beat the market, based on their significantly positive alpha's. These results deviate from studies on developed markets that conclude that even past winners are not able to significantly beat the market.JEL classification: G12, G20, G23,

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“…1 The most prominent published study is Cumby and Glen (1990), which finds that mutual funds performed poorly in 14 foreign markets, although not in a statistically significant sense. Two other studies in this relatively underdeveloped literature focus on the performance of U.K. fund managers : Shukla and van Inwegen (1995) find that their U.S. equity portfolios underperform domestic ones, while Blake and Timmermann (2004) expand the destination markets to four major regions and find similarly poor performance. Another literature that is tangentially related to performance includes 2 Unpublished international performance studies include Bange, Khang, and Miller (2003), which finds little evidence of conditional skill in investment houses' portfolio recommendations across 6 markets, and Glassman and Riddick (2003), which examines fund performance in 4 markets in the late 1980s.…”

Section: Introductionmentioning

confidence: 99%

The Performance of International Equity Portfolios

Warnock

Thomas²,

Wongswan³

2006

SSRN Journal

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This paper evaluates the performance of U.S. investors' portfolios in the equities of over 40 countries over a 25-year period. We find that these portfolios achieved a significantly higher Sharpe ratio than foreign benchmarks, especially since 1990. We uncover three potential reasons for this success. First, U.S. investors abstained from momentum trading and instead sold past winners. Second, conditional performance tests provide no evidence that the superior (unconditional) performance owed to private information, suggesting that the successful exploitation of publicly available information played a role. Third, the documented preference for cross-listed and well-governed foreign firms appears to have served U.S. investors well. We conclude with a short discussion of the implications of our findings for the home bias literature.JEL Classification: G11, G12, F21

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Do locals perform better than foreigners?: An analysis of UK and US mutual fund managers

Cited by 158 publications

References 4 publications

Mutual Fund Performance: Evidence from the UK

Mutual Fund Performance: Evidence from the UK

Emerging market mutual fund performance: Evidence for Poland

The Performance of International Equity Portfolios

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