Does the Frequency of Trade Affect the Fund Performance?

Abstract

This Research examines the frequency of trade affects the fund performance and design the fund turnover in the existence of time-varying profit possibilities. Our design predicts positive regard between an active fund’s returns and its major standard modified return. We also find such some relative regards for value common resources. This time-series regards revenues as well as is more powerful than the cross-sectional regards, as the design forecasts.

Also, as expected, the turnover-performance regards are more powerful for stocks trading less-liquid shares and assets likely to acquire greater expertise. Turnover is associated across mutual stocks. The common part of returns is favorably associated with proxy servers for stock mispricing. Turnover of similar resources helps estimate a fund’s efficiency and performance.

Keywords: fund turnover, efficiency, intraday data, performance

JEL Classification: G1, G11