Trading efficiency of fund families: Impact on fund performance and investment behavior

Cici, Gjergji; Dahm, Laura K.; Kempf, Alexander

doi:10.1016/j.jbankfin.2017.11.004

Cited by 36 publications

(15 citation statements)

References 56 publications

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“…Our cross-sectional study on fund performance is non-parametric, thus we do not tackle the causes on under performance. For example, the difference on performance may be explained by timing (Treynor & Mazuy, 1966;Henriksson & Merton, 1981;Andreu, Matallín-Sáez, & Sarto, 2018); investment style (Sharpe, 1992); the characteristics of the securities within mutual funds (Kent, Grinblatt, Titman, & Wermers, 1997); stock-picking talent, load fees, expenses and turnover (Wermers, 2002); portfolio holdings (Brinson & Fachler, 1985;Grinblatt & Titman, 1989a,1989bAndreu et al, 2018); trading efficiency (Cici, Dahm, & Kempf, 2018), and active management Grinold and Kahn (2000); Cremers and Petajisto (2009); Petajisto (2013); Crane and Crotty (2018). In this regard, besides the documentation of the relative performance of Colombian mutual funds, further parametric studies are needed to explore the causes and the differences of performance among funds.…”

Section: Resultsmentioning

confidence: 99%

Portfolio Managers on the Colombian Open-End Mutual Fund Industry: Performance, downside risk and persistence

Pulga

Joven

2019

Cuad Adm.

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This study explores whether Colombian mutual funds deliver abnormal risk-adjusted returns and delves on their persistence. Through traditional and downside risk measures based on Modern Portfolio Theory and Lower Partial Moments, this article evaluates the performance of 146 mutual funds categorized by investment type and fund manager. This assessment suggests that mutual funds underperform the market and deliver real returns. Similarly, bond funds underperform equity funds, and investment trusts underperform brokerage firms as managers. Furthermore, bond funds and funds managed by investment trusts exhibit short-term performance persistence. These results suggest that investors may pursue passive investment strategies, and that they must analyze past performance to invest in the short-term.

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Section: Resultsmentioning

confidence: 99%

Portfolio Managers on the Colombian Open-End Mutual Fund Industry: Performance, downside risk and persistence

Pulga

Joven

2019

Cuad Adm.

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“…Fund houses thus intervene in the managers' duties, and these interventions have the apparent purpose of enhancing the overall value of the fund house instead of maximising investors' investment value. Cici, Dahm, and Kempf (2018) examined how the efficiency of trading desks operated by mutual fund houses affect portfolio performance and investment behaviour of affiliated funds in the US.…”

Section: Literature Reviewmentioning

confidence: 99%

Selectivity and Market Timing Ability of Mutual Fund Houses in Emerging Countries

Atta

Marzuki

2021

International Journal of Banking and Finance

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The paper investigates the selectivity and market timing ability of fund houses in emerging countries. The study uses comprehensive performance models on fund houses from four emerging countries. Data span is from 2007 to 2018. Findings indicate that fund managers benefit from the common facilities provided by the fund houses like market research, diversification and investment opportunity. Fund houses showed good selectivity skills but poor market timing ability. The possible reason is that fund houses manage large and different types of funds. This resulted in more complex management processes and thus reduced the ability to track the fluctuations in the market. The findings are important for investors as they are able to allocate their resources more effectively to funds that are best managed by fund houses while for managers, they are able to position themselves relative to their competing peers.

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“…Fund families thus intervene into managers' duties, and these interventions have the apparent purpose of enhancing the overall value of the family instead of maximising investors' investment value. Cici et al (2018) examined "how the efficiency of trading desks operated by mutual fund families affected the portfolio performance and investment behaviour of affiliated funds in the US. Their results showed that by operating more efficient trading desks, trading costs could be reduced, and fund families could then significantly improve the performance of their funds and enable them to trade more and hold less liquid portfolios."…”

Section: B Performance Of Fund Familiesmentioning

confidence: 99%

“…Most mutual funds in the market are part of fund families. There are at least three reasons why this practice is prevalent (Cici et al, 2018). First, the family structure promotes economies of scale for the member funds' distribution, servicing, and promotion.…”

Section: Introduction 11 Backgroundmentioning

confidence: 99%

Islamic vs Conventional Funds Within the Family: Selectivity Skills and Market Timing Ability

Atta

Marzuki

2020

JIMF

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ABSTRACT The aim of the study is to compare the performance of Islamic mutual fund (IMF) and conventional mutual fund (CMF) within the same family, in addition, to examine the performance of fund family in Malaysia for the period from 2007 to 2018. The study used eight measures of performance, raw returns, excess returns, Sharpe ratio, Treynor ratio, Jensen alpha, Carhart four-factor model as selectivity models, In addition to Treynor & Mazuy (TM) and Hendrickson & Merton (HM) as market timing models. The study contributes by investigating and compares the performance at the family level. The results reported that IMFs exhibited some fund selection ability over CMFs. However, both types of funds displayed poor market timing ability. At a fund family level, the results show the fund families exhibited good fund selections skills, at the same time, fund family still exhibited poor market timing ability. The novel result of this study that the difference in performance between Islamic and conventional funds shrank compared to the results of previous studies. Due to the common advantages offered by the families for both types of funds. The findings are important to investors because the results provide new evidence about the fund families' performance. Most investors follow the top-down approach, where mutual fund investors initially choose fund families before deciding which funds to hold. In addition, the results are important for managers to decide which types of funds that they may issue in their own families, so that they can perform well in the future.

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Trading efficiency of fund families: Impact on fund performance and investment behavior

Cited by 36 publications

References 56 publications

Portfolio Managers on the Colombian Open-End Mutual Fund Industry: Performance, downside risk and persistence

Portfolio Managers on the Colombian Open-End Mutual Fund Industry: Performance, downside risk and persistence

Selectivity and Market Timing Ability of Mutual Fund Houses in Emerging Countries

Islamic vs Conventional Funds Within the Family: Selectivity Skills and Market Timing Ability

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