Fund Manager Characteristics and Performance

Forthcoming in Investment Analysts Journal

30 Pages Posted: 9 Aug 2014 Last revised: 8 Sep 2014

See all articles by Yi Fang

Yi Fang

Jilin University (JLU) - Center for Quantitative Economics

Haiping Wang

York University

Date Written: August 7, 2014

Abstract

This study establishes a multi-tier framework to evaluate how fund manager characteristics systematically affect mutual fund performance. The framework includes three tiers of performance elements: 1) comprehensive performance, 2) return and risk, and 3) timing skill and picking ability. Using performance decomposition, our evidence indicates that various characteristics take distinct channels to influence return, risk, and fund manager abilities, which in turn affect comprehensive performance. In particular, having a degree of Master of Business Administration or a Chartered Financial Analyst qualification is significantly associated with a fund manager’s better stock picking ability, higher excess returns, and better comprehensive performance.

Keywords: Fund manager characteristics; mutual fund performance; Sharpe ratio; excess return; total risk; market timing skill; stock picking ability selectivity

JEL Classification: G10, G11, G20, G23

Suggested Citation

Fang, Yi and Wang, Haiping, Fund Manager Characteristics and Performance (August 7, 2014). Forthcoming in Investment Analysts Journal, Available at SSRN: https://ssrn.com/abstract=2477501

Yi Fang (Contact Author)

Jilin University (JLU) - Center for Quantitative Economics ( email )

Changchun, Jilin 130012
China

Haiping Wang

York University ( email )

4700 Keele Street
Toronto, Ontario M3J 1P3
Canada

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