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Endogeneity in the Mutual Fund Flow-Performance Relationship: An Instrumental Variable Solution 共同基金流量-绩效关系的内生性:一个工具变量解
Mutual Funds Pub Date : 2021-08-12 DOI: 10.2139/ssrn.3746457
David A. Rakowski, Ehab Yamani
{"title":"Endogeneity in the Mutual Fund Flow-Performance Relationship: An Instrumental Variable Solution","authors":"David A. Rakowski, Ehab Yamani","doi":"10.2139/ssrn.3746457","DOIUrl":"https://doi.org/10.2139/ssrn.3746457","url":null,"abstract":"We use an instrumental variables (IV) approach to examine the effects of dynamic endogeneity when estimating the relationship between mutual fund flows and performance. Unlike the one-stage estimation approach commonly used in prior research, the IV approach allows us to address reverse causality between flow and performance. Through rigorous exclusion tests, we conclude that fund media coverage, risk ranking, and management structure win in a horse race as exogenous instruments for fund flow, while the fund turnover ratio and institutional share perform best as instruments for fund performance. We then demonstrate that endogeneity bias leads to inaccurate inferences in one-stage estimates, as evidenced by the reversals of the signs of flow and performance coefficient estimates when we switch to the IV approach. We find that careful attention to model specification allows us to resolve several widespread inconsistencies in the literature that were likely driven by model misspecification.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"93 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81411728","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters 具有多因素和肥尾的离散时间套期保值框架:关于什么重要
Mutual Funds Pub Date : 2021-08-11 DOI: 10.2139/ssrn.3728995
Maciej Augustyniak, A. Badescu, Jean‐François Bégin
{"title":"A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters","authors":"Maciej Augustyniak, A. Badescu, Jean‐François Bégin","doi":"10.2139/ssrn.3728995","DOIUrl":"https://doi.org/10.2139/ssrn.3728995","url":null,"abstract":"Abstract This article presents a quadratic hedging framework for a general class of discrete-time affine multi-factor models and investigates the extent to which multi-component volatility factors, fat tails, and a non-monotonic pricing kernel can improve the hedging performance. A semi-explicit hedging formula is derived for our general framework which applies to a myriad of the option pricing models proposed in the discrete-time literature. We conduct an extensive empirical study of the impact of modelling features on the hedging effectiveness of S&P 500 options. Overall, we find that fat tails can be credited for half of the hedging improvement observed, while a second volatility factor and a non-monotonic pricing kernel each contribute to a quarter of this improvement. Moreover, our study indicates that the added value of these features for hedging is different than for pricing. A robustness analysis shows that a similar conclusion can be reached when considering the Dow Jones Industrial Average. Finally, the use of a hedging-based loss function in the estimation process is investigated in an additional robustness test, and this choice has a rather marginal impact on hedging performance.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"368 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77799443","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Incomplete Investor Search: Low-expense Index Funds and Fund Flows in a Fund Family 不完全投资者搜索:低费用指数基金和基金家族中的基金流动
Mutual Funds Pub Date : 2021-08-09 DOI: 10.2139/ssrn.3905432
Mengqiao Du
{"title":"Incomplete Investor Search: Low-expense Index Funds and Fund Flows in a Fund Family","authors":"Mengqiao Du","doi":"10.2139/ssrn.3905432","DOIUrl":"https://doi.org/10.2139/ssrn.3905432","url":null,"abstract":"This paper shows that low-expense index funds draw investor attention to a fund family, and the investors' subsequent incomplete search within funds in the family raises flows of actively managed funds in the same family by 10%. These spillover effects are more salient among retail investors and share classes with a direct distribution channel. At the family level, offering low-expense index funds positively influences aggregated flows. Fund families strategically increase the expense ratios of actively managed funds after introducing low-expense index funds.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"15 12 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82880407","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Delegated Asset Management and Performance When Some Investors Are Unsophisticated 当一些投资者不成熟时，委托资产管理和绩效
Mutual Funds Pub Date : 2021-08-05 DOI: 10.2139/ssrn.3900219
S. Malliaris, A. Malliaris
{"title":"Delegated Asset Management and Performance When Some Investors Are Unsophisticated","authors":"S. Malliaris, A. Malliaris","doi":"10.2139/ssrn.3900219","DOIUrl":"https://doi.org/10.2139/ssrn.3900219","url":null,"abstract":"Abstract Households with limited financial expertise sometimes attempt to avoid investment mistakes by delegating the management of their investments to experts. However, evidence on the efficacy of delegation has been mixed. This paper contributes to understanding the question: why is the acquired expertise of asset managers a limited substitute for investors’ lack of expertise? We consider an economy with investors (who vary in sophistication) and managers (who vary in skill). Unsophisticated investors’ lack of expertise makes it hard for them to distinguish skilled managers from unskilled ones. In the equilibrium that follows, investors exert little effort when searching for managers, leading to a suboptimal composition of managerial types entering the market. When unsophisticated investors are endowed with weak signals, they attempt to time their entry and exit from the market for managers, but their actions are predictable, so performance continues to suffer.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"31 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87242099","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Separate Accounts and Mutual Funds in Asset Management 资产管理中的单独账户和共同基金
Mutual Funds Pub Date : 2021-08-01 DOI: 10.2139/ssrn.3883499
H. Jones, Jose Vicente Martinez, Alexander Montag
{"title":"Separate Accounts and Mutual Funds in Asset Management","authors":"H. Jones, Jose Vicente Martinez, Alexander Montag","doi":"10.2139/ssrn.3883499","DOIUrl":"https://doi.org/10.2139/ssrn.3883499","url":null,"abstract":"Separate account investors outperform category-matched mutual fund investors yearly by 14─24 bps gross and 50─75 bps net. This outperformance is entirely explained by structural and reporting differences between the vehicles and by size differences between investors. Controlling for the average outperformance of separate accounts over their mutual fund twins, separate account investments perform at the same level as mutual fund investments, gross of fees, and slightly below them, net. Separate account investors choose products that, once adjusted, are more expensive than those chosen by mutual fund investors. Their fixed income picks do better whereas their equity picks do worse.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"61 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88966419","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
How the Norwegian SWF Balances Ethics, ESG Risks, and Returns: Can this Approach Work for Other Institutional Investors? 挪威主权财富基金如何平衡道德、ESG风险和回报:这种方法是否适用于其他机构投资者?
Mutual Funds Pub Date : 2021-08-01 DOI: 10.2139/ssrn.3907491
A. Halvorssen
{"title":"How the Norwegian SWF Balances Ethics, ESG Risks, and Returns: Can this Approach Work for Other Institutional Investors?","authors":"A. Halvorssen","doi":"10.2139/ssrn.3907491","DOIUrl":"https://doi.org/10.2139/ssrn.3907491","url":null,"abstract":"As the largest sovereign wealth fund (SWF) in the world, the Norwegian SWF’s efforts to move in a more sustainable direction are often followed by other institutional investors. This chapter examines how the Norwegian SWF (officially, the Government Pension Fund – Global, or GPFG) has evolved into a responsible investor, balancing ethics, environment, social, and governance (ESG) risks with returns. The focus is mainly on its actions to address financial climate change risks. If the GPFG continues to evolve toward sustainable investment and acts on the latest International Energy Agency report that calls, among other things, for an end to all new fossil fuel production, it can serve as a good model for other institutional investors to deal with the challenge of climate change while remaining profitable.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"29 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85897408","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Machine learning may not be as good as expected : Evidence from unemployment rate forecasting 机器学习可能没有预期的那么好:来自失业率预测的证据
Mutual Funds Pub Date : 2021-07-30 DOI: 10.2139/ssrn.3496138
Tsungwu Ho
{"title":"Machine learning may not be as good as expected : Evidence from unemployment rate forecasting","authors":"Tsungwu Ho","doi":"10.2139/ssrn.3496138","DOIUrl":"https://doi.org/10.2139/ssrn.3496138","url":null,"abstract":"This paper proposes a training framework by rolling k-fold cross-validation to compare forecasting performance of several quantitative methods, mainly standard time series and our pre-selected machine learning methods. Using US unemployment rate, we find that: Firstly, individual machine learning constituents may not perform as good as standard time series; secondly, among on constituent basis, SVM (support vector machine) performs the best, the deep learning (RNN-LSTM) unexpectedly performs the worst; thirdly, forecasting averaging evidence shows that the automatic machine learning (autoML, h2o.ai) performs less than our pre-selected machine learning methods, and the averaged standard time series is better than autoML. We conclude that forecasting averaging is a good way to combine diversified forecasts and a suitable combination of methods depends on the data.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"159 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76969246","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Return Expectations and Portfolios: Evidence from Large Asset Managers 回报预期与投资组合:来自大型资产管理公司的证据
Mutual Funds Pub Date : 2021-07-29 DOI: 10.2139/ssrn.3763796
Magnus Dahlquist, M. Ibert
{"title":"Return Expectations and Portfolios: Evidence from Large Asset Managers","authors":"Magnus Dahlquist, M. Ibert","doi":"10.2139/ssrn.3763796","DOIUrl":"https://doi.org/10.2139/ssrn.3763796","url":null,"abstract":"The largest asset managers in the world report their expectations publicly in so-called capital market assumptions. We collect these expectations and revisit the relationship between equity premium expectations and equity valuation ratios. Asset managers' equity premium expectations are high when valuations are low and low when valuations are high (countercyclical), and the term structure of equity premium expectations is downward sloping when valuations are low and upward sloping when valuations are high (procyclical). Studying mutual funds that invest in both equities and bonds, we find that the sensitivity of portfolios to expectations is large on average and even larger for funds that are less constrained by their investment mandates. Overall, the results support rational expectations asset pricing models.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"20 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86320879","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Skilled active liquidity management: Evidence from natural experiments 熟练的主动流动性管理:来自自然实验的证据
Mutual Funds Pub Date : 2021-07-29 DOI: 10.2139/ssrn.3895698
A. Rzeźnik
{"title":"Skilled active liquidity management: Evidence from natural experiments","authors":"A. Rzeźnik","doi":"10.2139/ssrn.3895698","DOIUrl":"https://doi.org/10.2139/ssrn.3895698","url":null,"abstract":"I study the active liquidity management of equity mutual funds in the U.S. First, I show that mutual funds actively increase the liquidity of their portfolios in response to a negative and exogenous shock to investor flows. I document that fund managers use both equity and cash holdings to adjust their portfolio liquidity when subject to sudden and unexpected withdrawals. Second, I argue that active liquidity management is an effective device that skilled managers use to minimize the cost imposed by redemption obligations. I find that funds that actively manage their liquidity to a greater degree significantly outperform their less liquidity-focused peers.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"71 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80143403","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
When the Panic Broke Out: Covid-19 and Investment Funds' Portfolio Rebalancing Around the World 当恐慌爆发:Covid-19与全球投资基金投资组合的再平衡
Mutual Funds Pub Date : 2021-07-27 DOI: 10.2139/ssrn.3896291
M. Affinito, R. Santioni
{"title":"When the Panic Broke Out: Covid-19 and Investment Funds' Portfolio Rebalancing Around the World","authors":"M. Affinito, R. Santioni","doi":"10.2139/ssrn.3896291","DOIUrl":"https://doi.org/10.2139/ssrn.3896291","url":null,"abstract":"To contribute to the understanding of investment funds' (IFs) behaviour, the paper exploits the exogenous shock of the COVID-19 pandemic and analyses more than 12 million security sales and purchases during the first four months of 2020 by over 20,000 IFs from more than 40 national jurisdictions and investing in more than 100 economies and 20 industries. Our estimates reveal that, when the emergency strikes, IFs do not sell indiscriminately but divest from assets considered the most vulnerable at the moment, that is, those issued by more COVID-affected countries and industries. Our results also show several dimensions of heterogeneity according to the pandemic outbreak phase, asset type, IF category and performance, extent of unitholders' outflows, and nationality of IFs. Our results, on the one hand, provide new evidence on the intrinsic fragility of IFs and the connection between their choices and fire sales, but, on the other, they also show that IF industry includes heterogeneous institutions that behave very differently. Finally, our results document that monetary policy measures have a reassuring effect also for IFs, which corroborates recent evidence on a non-bank financial institution channel of unconventional monetary policies.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"38 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81350921","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
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