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An Assessment of Managerial Skill Based on Cross-Sectional Mutual Fund Performance

67 Pages Posted: 15 May 2017  

Ilhan Demiralp

University of Oklahoma - Division of Finance

Chitru S. Fernando

University of Oklahoma - Michael F. Price College of Business

Date Written: March 29, 2017

Abstract

Using individual managers (instead of funds) as observational units, we provide new evidence of significant cross-sectional performance persistence in mutual funds by comparing the performance of the same manager across multiple contemporaneously-managed funds. Our approach more robustly rules out luck as an explanation of performance differences. We demonstrate the importance of our approach by showing that a significant number of outperforming funds have managers who contemporaneously manage underperforming funds. We provide new evidence on managerial busyness by showing that manager performance drops significantly when the number of funds they manage increases, especially when these multiple funds have disparate objectives.

Keywords: Mutual Funds, Mutual Fund Performance, Portfolio Management, Fund Manager Performance, Cross-Sectional Performance, Performance Persistence, Skill versus Luck

JEL Classification: G11, G14, G23

Suggested Citation

Demiralp, Ilhan and Fernando, Chitru S., An Assessment of Managerial Skill Based on Cross-Sectional Mutual Fund Performance (March 29, 2017). Available at SSRN: https://ssrn.com/abstract=2967895

Ilhan Demiralp

University of Oklahoma - Division of Finance ( email )

Norman, OK 73019
United States

Chitru Fernando (Contact Author)

University of Oklahoma - Michael F. Price College of Business ( email )

Adams Hall
307 West Brooks Street
Norman, OK 73019-4004
United States
405-325-2906 (Phone)
405-325-7688 (Fax)

HOME PAGE: http://faculty-staff.ou.edu/F/Chitru.Fernando-1/

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