Investment Strategies, Fund Performance and Portfolio Characteristics
SSE/EFI Working Paper Series No. 554
29 Pages Posted: 22 Mar 2004
Date Written: January 29, 2004
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: Suggested Citation