Are Australian Mutual Fund Fees Related to Fund Performance?
19 Pages Posted: 5 Sep 2011 Last revised: 5 May 2012
Date Written: September 5, 2011
We find that Australian mutual fund fees are generally negatively related to their risk-adjusted performance in periods of low economic activity and negatively related to their unconditional alpha where the unconditional alpha is reflective of periods of both high and low economic activity. Our results hold for retail Australian equity only funds and for large-cap and mid/small cap Australian equity-only mutual funds. This is contrary to the evidence provided by Glode (2011) who finds that for US mutual funds, fund fees are positively related to their risk-adjusted performance in periods of low economic activity and negatively related to their unconditional alpha. However, our results for Australian wholesale funds weakly support Glode’s US based findings.
Keywords: Risk-adjusted performance, Unconditional alpha, Economic activity
JEL Classification: D40, E44
Suggested Citation: Suggested Citation