Investment Strategies, Fund Performance and Portfolio Characteristics

SSE/EFI Working Paper Series No. 554

29 Pages Posted: 22 Mar 2004

See all articles by Stefan Engstrom

Stefan Engstrom

Stockholm School of Economics, Department of Finance; Agenta

Date Written: January 29, 2004

Abstract

This paper provides extensive evidence on portfolio characteristics of mutual funds and studies the relation between fund performance and the fund manager's investment strategy. The results show that neither momentum characteristics nor the valuation of stocks can explain differences in fund performance. However, the paper finds a negative firm-size effect that partly explains previous findings of a negative fund-size effect. Moreover, the results show a positive relation between performance and the degree of diversification within the fund portfolio. However, diversification by including non-listed stocks does not enhance performance.

Keywords: Diversification, Portfolio Evaluation, Investment Strategies, Momentum

JEL Classification: G11, G12, G23

Suggested Citation

Engstrom, Stefan, Investment Strategies, Fund Performance and Portfolio Characteristics (January 29, 2004). SSE/EFI Working Paper Series No. 554, Available at SSRN: https://ssrn.com/abstract=520442 or http://dx.doi.org/10.2139/ssrn.520442

Stefan Engstrom (Contact Author)

Stockholm School of Economics, Department of Finance ( email )

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