Abstract

http://ssrn.com/abstract=1786357
 
 

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Performance Implications of Active Management of Institutional Mutual Funds


Ronald Geoffrey Bird


University of Technology Sydney (UTS) - School of Finance and Economics; Financial Research Network (FIRN)

Paolo Pellizzari


Ca Foscari University of Venice - Department of Economics

Danny Yeung


University of Technology Sydney (UTS); Financial Research Network (FIRN)

March 15, 2011


Abstract:     
Although mutual fund performance has been dissected from almost every angle, very little attention has been paid to the connection between the actual active decisions made by management and the subsequent performance outcomes. In this paper we use information on institutional mutual funds to examine the implications of their active decisions made with respect to active positions, style tilts and cash holdings for the fund’s realised alpha, tracking error and information ratio. We identify some areas where the funds across the entire sample have success (active positions, and growth and winning stock tilts) and others where they fall short (value and loser stock tilts). We identify that there is significant variation in these findings when we extend our analysis to examine the impact of these active decisions on performance for different styles of funds during periods of weak and strong markets. Finally, we repeat the analysis by incorporating the initial choice of investment style with the active decisions in order to judge their dual impact on investment performance.

Number of Pages in PDF File: 27

Keywords: active position, style tilts, cash holdings, performance

JEL Classification: G11, G14, G29

working papers series





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Date posted: March 18, 2011  

Suggested Citation

Bird, Ronald Geoffrey and Pellizzari, Paolo and Yeung, Danny, Performance Implications of Active Management of Institutional Mutual Funds (March 15, 2011). Available at SSRN: http://ssrn.com/abstract=1786357 or http://dx.doi.org/10.2139/ssrn.1786357

Contact Information

Ronald Geoffrey Bird (Contact Author)
University of Technology Sydney (UTS) - School of Finance and Economics ( email )
Haymarket
Sydney, NSW 2007
Australia
+ 612 9514 7716 (Phone)
+ 612 9514 7711 (Fax)
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

Paolo Pellizzari
Ca Foscari University of Venice - Department of Economics ( email )
Cannaregio 873
Venice, 30121
Italy
Danny Yeung
University of Technology Sydney (UTS) ( email )
15 Broadway, Ultimo
PO Box 123
Sydney, NSW 2007
Australia
Financial Research Network (FIRN) ( email )
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

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