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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. |
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