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Characteristics of Mutual Funds and the Effect on Performance

Stavenberg, Olof LU and Güler, Deniz (2011) EXTM10 20102
Department of Economics
Abstract
This thesis examines fund and manager characteristics and the effect on mutual fund performance. We have separated funds investing in emerging and mature markets to examine whether or not characteristics affect performance differently depending on what type of market funds invest in. The Sharpe ratio has been used as the main performance measure. Using survey data from equity funds available in the Swedish market, variables have been defined by funds strategy, manager attributes, investment geographic distribution and fund family characteristics. On a shorter time horizon we find that funds investing globally, older funds and funds from an older independent fund family have a negative effect on performance. We find that larger funds and... (More)
This thesis examines fund and manager characteristics and the effect on mutual fund performance. We have separated funds investing in emerging and mature markets to examine whether or not characteristics affect performance differently depending on what type of market funds invest in. The Sharpe ratio has been used as the main performance measure. Using survey data from equity funds available in the Swedish market, variables have been defined by funds strategy, manager attributes, investment geographic distribution and fund family characteristics. On a shorter time horizon we find that funds investing globally, older funds and funds from an older independent fund family have a negative effect on performance. We find that larger funds and funds investing in more than one country have a positive effect. Last, we find evidence that fund and manager characteristics affect performance differently for funds investing in mature markets compared to funds investing in emerging markets. (Less)
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author
Stavenberg, Olof LU and Güler, Deniz
supervisor
organization
course
EXTM10 20102
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Finance Mutual funds performance
language
English
id
1763456
date added to LUP
2011-02-17 13:37:39
date last changed
2011-02-17 13:37:39
@misc{1763456,
  abstract     = {This thesis examines fund and manager characteristics and the effect on mutual fund performance. We have separated funds investing in emerging and mature markets to examine whether or not characteristics affect performance differently depending on what type of market funds invest in. The Sharpe ratio has been used as the main performance measure. Using survey data from equity funds available in the Swedish market, variables have been defined by funds strategy, manager attributes, investment geographic distribution and fund family characteristics. On a shorter time horizon we find that funds investing globally, older funds and funds from an older independent fund family have a negative effect on performance. We find that larger funds and funds investing in more than one country have a positive effect. Last, we find evidence that fund and manager characteristics affect performance differently for funds investing in mature markets compared to funds investing in emerging markets.},
  author       = {Stavenberg, Olof and Güler, Deniz},
  keyword      = {Finance Mutual funds performance},
  language     = {eng},
  note         = {Student Paper},
  title        = {Characteristics of Mutual Funds and the Effect on Performance},
  year         = {2011},
}