Portfolio concentration and mutual fund performance

Fulkerson, Jon A.; Riley, Timothy B.

doi:10.1016/j.jempfin.2019.01.006

Cited by 36 publications

(9 citation statements)

References 62 publications

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“…Prior studies demonstrated several determinants of the financial performance of mutual funds. Specifically, the performance of mutual funds was positively affected by the portfolio concentration (Fulkerson and Riley, 2019), the net asset value (Singh and Tandon, 2021) and teamwork (multitasking teams) (Chen et al , 2020), whereas it was negatively affected by the portfolio turnover ratio, the asset under management, the age (Singh and Tandon, 2021), the managerial multitasking (Chen et al , 2020) and the cultural distant investments (Tanos, 2022).…”

Section: Theoretical Framework and Literature Reviewmentioning

confidence: 99%

The impact of mutual funds’ ESG scores on their financial performance during the COVID-19 pandemic. A data envelopment analysis

Tampakoudis

Kiosses

Petridis

2023

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Purpose The purpose of this study is to evaluate the performance of mutual funds during the COVID-19 pandemic with environmental, social and governance (ESG) criteria. The main research question is whether mutual fund performance differs with respect to the level of the mutual fund’s ESG score. Design/methodology/approach The data set contains global fund data, and mutual fund performance is analyzed using two types of data envelopment analysis (DEA) models: the DEA portfolio index (DPEI) and the range direction measure (RDM) DEA. Propensity score matching and logistic regression are also applied. Findings The results reveal that: nonequity mutual funds present significantly higher performance compared to the performance of equity mutual funds; mutual funds with high ESG scores are associated with significantly higher performance compared to those with low to medium ESG scores; funds with high ESG scores experience higher performance irrespective of their type; and efficiency scores derived from the RDM DEA are significantly higher than those derived from the DPEI model. Research limitations/implications Investors, fund managers and market participants can benefit from the findings of this study and improve their investment decision-making process, including more sustainable funds in their portfolios. Regulators and policymakers should further promote or even require the inclusion of more sustainable investments in the financial products offered by institutional investors. The main limitation of the study is related to data availability regarding the ESG score of mutual funds. Originality/value To the best of the authors’ knowledge, this is the first study that provides robust evidence in support of a positive association between ESG scores and mutual fund performance during the pandemic-induced crisis applying a DEA methodology.

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Section: Theoretical Framework and Literature Reviewmentioning

confidence: 99%

The impact of mutual funds’ ESG scores on their financial performance during the COVID-19 pandemic. A data envelopment analysis

Tampakoudis

Kiosses

Petridis

2023

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“…Second, VCs' expertise can contribute to mitigating information asymmetry and commercializing innovation. VCs' portfolios are much more concentrated than non-VCs' (Chan and Park, 2013;Fulkerson and Riley, 2019); VCs' specialization strategy may be represented by developing specialized expertise (Dimov and De Clercq, 2006). Their specialized expertise allows for a better understanding of the complexities associated with industries (Dimov and De Clercq, 2006).…”

Section: Hypothesis Developmentmentioning

confidence: 99%

A double-edged sword: The effects of R&D intensity and capitalization on institutional investment in entrepreneurial firms

Yuan

Wang

et al. 2022

Front. Psychol.

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Studies show that research and development (R&D) may not always benefit entrepreneurial firms. This paper focuses on the double-edged effect of R&D activities on attracting institutional investment in entrepreneurial firms. Based on a panel dataset of 700 listed entrepreneurial firms in ChiNext, we document: (1) an inverted-U relationship between R&D intensity and future institutional investment, which we argue is evidence that institutional investors are concerned about R&D overinvestment; (2) an inverted-U relationship between R&D capitalization and future institutional investment, which we argue shows suspicion of the institutional investors towards high R&D capitalization. Furthermore, by splitting institutional investors into venture capitals (VCs) and non-venture capitals (non-VCs), we confirm that VCs have higher acceptance of both R&D intensity and capitalization as VCs have more expertise to alleviate a certain level of risks.

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“…Likewise, Charfeddine and Ajmi [56] established that the student FIGARCH (1,d,1) model is better than the Markov switching ARCH specification. According to Fulkerson and Riley [57], mutual fund performance increases subsequent to the rise in portfolio concentration. There was documented an annualized 24 basis point growth in risk-adjusted return by a fund which enlarges its concentration via one standard deviation.…”

Section: Literature Reviewmentioning

confidence: 99%

A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings

et al. 2019

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This paper explores the sensitivity of Romanian collective investment undertakings’ returns to changes in equity, fixed income and foreign exchange market returns. We use a sample of 80 open-end investment funds and pension funds with daily returns between 2016 and 2018. Our methodology consists of measuring changes in the daily conditional volatility for the fund returns (EGARCH) and changes in their conditional correlation with selected market risk factors (DCC MV-GARCH) throughout different volatility regimes identified using a Markov Regime Switching model. We argue that, on average, the level of conditional correlations between funds and market risk factors remained stable and unconcerned by the volatility regimes. In addition, for only less than half of the funds in the sample, their volatility regimes were synchronized with those of the selected market risk factors. We found that, on average, fund returns are more correlated with equity returns and less correlated with changes in local bond yields, while not being significantly influenced by changes in foreign bond yields or changes in foreign exchange. During the period investigated equity returns were the most volatile while the funds returns volatility were, on average, much more reduced. Overall, our results show the resilience of the Romanian collective investment sector to the selected market risk factors, during the investigated period.

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Portfolio concentration and mutual fund performance

Cited by 36 publications

References 62 publications

The impact of mutual funds’ ESG scores on their financial performance during the COVID-19 pandemic. A data envelopment analysis

The impact of mutual funds’ ESG scores on their financial performance during the COVID-19 pandemic. A data envelopment analysis

A double-edged sword: The effects of R&D intensity and capitalization on institutional investment in entrepreneurial firms

A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings

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