Fund Manager Characteristics and Performance
Forthcoming in Investment Analysts Journal
30 Pages Posted: 9 Aug 2014 Last revised: 8 Sep 2014
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: Suggested Citation