Are Australian Mutual Fund Fees Related to Fund Performance?

19 Pages Posted: 5 Sep 2011 Last revised: 5 May 2012

Tariq H. Haque

University of Adelaide; Financial Research Network (FIRN)

Date Written: September 5, 2011

Abstract

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

Haque, Tariq H., Are Australian Mutual Fund Fees Related to Fund Performance? (September 5, 2011). 24th Australasian Finance and Banking Conference 2011 Paper. Available at SSRN: https://ssrn.com/abstract=1922611 or http://dx.doi.org/10.2139/ssrn.1922611

Tariq H. Haque (Contact Author)

University of Adelaide ( email )

10 Pulteney St, Adelaide Busines School
Adelaide, South Australia 5005
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

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