Is there an Incentive for Active Retail Mutual Funds to Closet Index in Down Markets? Fund Performance and Subsequent Annual Fund Flows between 1997 and 2011

Aron Gottesman, M. Morey, Menahem Rosenberg
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引用次数: 1

Abstract

Closet indexing is the practice of staying close to the benchmark index while still maintaining to be an active mutual fund manager and probably also charging fees similar to those of truly active managers. Recent work shows active mutual fund managers were much more likely to closet index during down markets. Indeed, closet indexing became so popular that it accounted for about a third of all mutual fund assets during time surrounding 2008. In this paper we set out to answer the question of whether there actually is an incentive for mutual fund managers to closet index during down markets. To do this we examine the relationship between annual fund performance and subsequent annual fund flows in both up and down markets. Using this approach we find that the relationship between fund performance and subsequent net fund flows is significantly different in up markets years as compared to down market years. Specifically, we find that fund performance does not drive subsequent flows nearly as much in down markets as it does in up markets. Indeed, in up markets, we find a strong positive relationship between fund performance and subsequent flows. Conversely, in down years, the amount of outperformance or underperformance does not significantly influence the next year’s fund flows. Hence, based on these results, there is an incentive for active managers to closet index in down markets as investors do not reward outperformance with higher flows.
活跃的零售共同基金在下跌市场中是否有关闭指数的动机?1997年至2011年的基金表现和随后的年度基金流量
封闭式指数基金指的是保持接近基准指数的做法,同时仍保持积极的共同基金经理身份,并可能收取与真正积极的基金经理类似的费用。最近的研究表明,活跃型共同基金经理更有可能在市场下跌时关闭指数。事实上,隐性指数变得如此受欢迎,以至于在2008年前后,它占了所有共同基金资产的三分之一左右。在本文中,我们着手回答一个问题,即在市场下跌时,共同基金经理是否确实存在关闭指数的动机。为了做到这一点,我们研究了在上涨和下跌市场中,年度基金业绩与随后的年度资金流动之间的关系。使用这种方法,我们发现基金业绩与随后的净资金流动之间的关系在市场上涨的年份与市场下跌的年份有显著不同。具体来说,我们发现,在下行市场中,基金业绩对后续资金流动的推动作用不如在上行市场中那么大。事实上,在上涨市场中,我们发现基金业绩与随后的资金流之间存在很强的正相关关系。相反,在经济低迷的年份,表现优异或表现不佳的数量对下一年的资金流动没有显著影响。因此,基于这些结果,由于投资者不会以更高的资金流奖励表现优异的基金,主动型基金经理有动力在下跌的市场中关闭指数。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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