haku: @freeterm mutual funds / yhteensä: 29
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Tekijä:Karoui, A.
Meier, I.
Otsikko:Performance and characteristics of mutual fund starts
Lehti:European Journal of Finance
2009 : JUL/SEP, VOL. 15:5-6, p. 487-509
Asiasana:USA
performance appraisal
Vapaa asiasana:performance persistence
mutual funds
Kieli:eng
Tiivistelmä:This paper examines the performance (hereafter as: perf.) and portfolio (here as: p-f./p-fs.) characteristics (as: chars.) of more than 820 newly launched U.S. equity mutual funds from 1991 to 2005. On average, these fund starts initially earn higher excess returns (as: rets.) and higher abnormal rets. Compared with existing funds, their risk-adjusted perf. is also superiour. In addition, there is evidence provided for short-term persistence among top-performing fund starts. However, a substantial fraction of funds drop from the top to the bottom decile over two subsequent periods. Analysing p-f. chars., it is found that rets. of fund starts exhibit higher ratios of unsystematic to total risk. P-fs. of new funds are typically also less diversified as to the number of stocks and industry concentration, being invested in smaller and less liquid stocks.
SCIMA tietueen numero: 269585
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