Are Australian Mutual Fund Fees Related to Fund Performance?
Tariq H. Haque
University of Adelaide; Financial Research Network (FIRN)
September 5, 2011
24th Australasian Finance and Banking Conference 2011 Paper
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.
Number of Pages in PDF File: 19
Keywords: Risk-adjusted performance, Unconditional alpha, Economic activity
JEL Classification: D40, E44
Date posted: September 5, 2011 ; Last revised: May 5, 2012