Academic Mutual Fund Research

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MUTUALdecision's Academic Mutual Fund Research section is the only place on the web where you can find easy-to-read summaries of leading academic mutual fund research. Our abstracts synthesize the observations and findings of the researcher to provide unique information that you can use to make mutual fund investment decisions. MUTUALdecision's abstracts are based on academic papers that were written by leading academics in mutual fund research and are summarized by Professor George Comer, an authority on mutual funds.

Professor George Comer
George Comer is an Associate Professor of Finance at the McDonough School of Business at Georgetown University. Professor Comer received a B.A. in Economics (with honors) from the University of Chicago, a M.A. in Economics from Stanford University, and a PhD. in Finance from New York University (Stern). His current research focuses on the portfolio evaluation of institutional money managers. Professor Comer has published two academic articles in the Journal of Business which examine the performance of exchange traded funds and hybrid mutual funds.

13 JUN 2008

Unobserved Actions of Mutual Funds

By Marcin Kacperczyk (University of British Columbia), Clemens Sialm (University of Michigan) , and Lu Zheng (University of Michigan), Social Science Research Network
This study develops a unique measure referred to as the return gap which serves as a useful tool to predict future fund performance. Portfolio strategies based on the measure generate above average returns relative to broad market indices.
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12 JUN 2008

How Active Is Your Fund Manager? A New Measure That Predicts Performance

By Martijn Cremers (Yale University) and Antti Petajisto (Yale University), AFA 2007 Chicago Meetings Paper
This study develops a new measure referred to as Active Share which is effective at identifying the best performing mutual funds. Funds with the highest Active Share outperform their benchmarks indices on a risk adjusted basis by 1.5% per year net of expenses.
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11 JUN 2008

Judging Fund Managers by the Company They Keep

By Randolph Cohen (Harvard Business School), Joshua Coval (Harvard Business School), and Lubos Pastor (University of Chicago), Journal of Finance
This study develops new performance measures based on a comparison of all fund manager portfolio holdings. These measures are effective at predicting future fund returns and can help investors identify funds that are most likely to deliver superior performance.
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10 JUN 2008

The Right Answer to the Wrong Question: Identifying Superior Active Portfolio Management

By W. V. Harlow (Fidelity Research Institute) and Keith Brown (University of Texas, Austin), Journal of Investment Management
This study develops a selection process which helps increase the odds that an investor selects a mutual fund that will generate superior risk adjusted performance in the future.
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10 JUN 2008

Manager Education and Mutual Fund Performance

By Aron Gottesman (Pace University) and Matthew Morey (Pace University), Journal of Empirical Finance
This study finds a strong link between manager education and fund performance. In general, the higher the quality of a fund manager's MBA, the greater the future performance of the fund.
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10 JUN 2008

Portfolio Manager Ownership and Fund Performance

By Ajay Khorana (Georgia Institute of Technology), Henri Servaes (London Business School), and Lei Wedge (University of South Florida), European Corporate Governance Institute, Finance Working Paper
The study finds a strong positive relationship between the level of portfolio manager ownership in the fund they manage and the future performance of the fund. The results suggest that fund managers have superior information about their future expected performance.
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10 JUN 2008

On Persistence in Mutual Fund Performance

By Mark Carhart (University of Southern California and Goldman Sachs) , Journal of Finance
Academic researchers focus on abnormal (risk adjusted) returns rather than raw returns when examining fund performance. The Carhart model is the widely accepted model used in academic circles to evaluate mutual fund managers.
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10 JUN 2008

Staying the Course: Performance Persistence and the Role of Investment Style Consistency in Professional Asset Management

By Keith Brown (University of Texas) and W.V. Harlow (Fidelity Investments) , Working Paper
This study provides evidence that the investment style consistency of a fund is a useful tool that can help investors generate above average returns, particularly during rising stock markets.
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10 JUN 2008

Liquidity, Investment Style, and the Relation Between Fund Size and Fund Performance

By Xuemin Yan (University of Missouri - Columbia) , forthcoming Journal of Financial and Quantitative Analysis
This study provides evidence that smaller mutual funds with less liquid stock holdings are more likely to generate above average returns.
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10 JUN 2008

Short Term Persistence in Mutual Fund Performance

By Nicolas Bollen (Vanderbilt University) and Jeffrey Busse (Emory University), Review of Financial Studies
This study finds that mutual fund performance does persist for short time intervals and that investor’s can use a fund’s past quarterly performance to predict its future performance over the subsequent quarter.
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10 JUN 2008

Improved Forecasting of Mutual Fund Alphas and Betas

By Harry Mamaysky (Morgan Stanley), Matthew Spiegel (Yale University), and Hong Zhang (INSEAD), Yale ICF Working Paper
This study provides a statistical procedure that substantially improves the ability of a model to predict the future risk adjusted returns of mutual funds.
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