Abstract

http://ssrn.com/abstract=467282
 
 

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Can Mutual Fund Families Affect the Performance of Their Funds?


Ilan Guedj


Analysis Research Planning Corporation (ARPC)

Jannette Papastaikoudi


Integrated Finance LTD; Massachusetts Institute of Technology (MIT) - Sloan School of Management

October 2003

EFMA 2004 Basel Meetings Paper

Abstract:     
We examine whether accounting for mutual fund families can help explain the performance of their mutual funds, and if so, how they succeed to affect the performance of the funds they manage. We hypothesize that larger families not only have the incentive to selectively push some of their funds, but also the means to do so. When restricting our sample to funds that belong to larger families, a portfolio of funds that longs the portfolio of the previous year's best performing funds and shorts the previous year's worst performing funds has a positive monthly alpha of 58 basis points. We also show that there exists persistence of performance of these funds inside their respective families. This persistence is directly related to the number of funds in the family which we interpret as a measure of the latitude the family has in allocating resources unevenly between its funds. Lastly, we show that indeed the better performing funds in a family have a higher probability of getting more managers, which are one of the main resources available. This seems to imply that families do not always allocate resources proportionally according to the funds' needs but in a way that allows the family to promote certain funds.

Number of Pages in PDF File: 44

Keywords: Mutual Funds, Mutual Fund Families, Performance Persistence, Organizational Structure

JEL Classification: G23, G10

working papers series


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Date posted: May 6, 2004  

Suggested Citation

Guedj, Ilan and Papastaikoudi, Jannette, Can Mutual Fund Families Affect the Performance of Their Funds? (October 2003). EFMA 2004 Basel Meetings Paper. Available at SSRN: http://ssrn.com/abstract=467282 or http://dx.doi.org/10.2139/ssrn.467282

Contact Information

Ilan Guedj (Contact Author)
Analysis Research Planning Corporation (ARPC) ( email )
1220 19th Street, NW
Suite 700
Washington, DC 20036
United States
HOME PAGE: http://www.arpc.com/about/leadership/ilan-guedj-phd
Jannette Papastaikoudi
Integrated Finance LTD ( email )
HOME PAGE: http://www.ifltd.com/team02.html
Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )
77 Massachusetts Ave.
E62-416
Cambridge, MA 02142
United States
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