An Examination of Ex Ante Fund Performance: Identifying Indicators of Future Performance

52 Pages Posted: 17 Oct 2018

See all articles by Andrew Clare

Andrew Clare

City University London - Sir John Cass Business School

Mariana Clare

Imperial College London

Date Written: October 2, 2018

Abstract

Although there has been a substantial flow of money over the last twenty years into index tracking funds and ETFs, the vast majority of equity investment in mutual funds is still being managed on an active, discretionary basis. In the US and the UK active management still accounts for around 75% of equity mutual fund holdings. In this paper we investigate whether there exist variables that might be able to give an indication of future superior or inferior benchmark-adjusted active fund returns. Our results suggest that investors should avoid investing in, or should dis-invest from funds that produce a low information ratio, have high turnover or where the fund experiences high net inflows.

Keywords: Mutual fund performance, recursive portfolio formation

JEL Classification: G10

Suggested Citation

Clare, Andrew D. and Clare, Mariana, An Examination of Ex Ante Fund Performance: Identifying Indicators of Future Performance (October 2, 2018). Available at SSRN: https://ssrn.com/abstract=3259088 or http://dx.doi.org/10.2139/ssrn.3259088

Andrew D. Clare (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Mariana Clare

Imperial College London ( email )

South Kensington Campus
Exhibition Road
London, Greater London SW7 2AZ
United Kingdom

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