Mutual Funds and Exchange-Traded Funds: Building Blocks to Wealth
H. Kent Baker (ed.) et al.
Published:
2015
Online ISBN:
9780190207465
Print ISBN:
9780190207434
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Mutual Funds and Exchange-Traded Funds: Building Blocks to Wealth
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Matthew R. Morey
Matthew R. Morey
Professor and New York Stock Exchange Research Scholar, Pace University
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Pages
349–363
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Published:
November 2015
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Morey, Matthew R., 'Predicting Mutual Fund Performance', in H. Kent Baker, Greg Filbeck, and Halil Kiymaz (eds), Mutual Funds and Exchange-Traded Funds: Building Blocks to Wealth, Financial Markets and Investments (
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Abstract
This chapter reviews the literature on factors that consistently predict mutual fund outperformance in U.S. equity funds. The factors examined include expenses, loads, turnover, past performance, mutual fund ratings, fund activeness, fund size, fund family size, fund governance, and fund manager characteristics. The research evidence suggests that for funds investing in smaller firms, smaller size mutual funds outperform larger funds. It also finds that funds with redemption and/or manager incentive fees show enhanced performance. Finally, the findings show strong past performance over the previous two quarters or less predicts future short-term performance. Along with these results, much dissonance occurs in the literature. For example, a study may find robust evidence of a certain factor predicting fund outperformance while another may report contradictory or statistically insignificant evidence for that factor.
Keywords: mutual funds, fund outperformance, mutual fund ratings, fund governance, equity funds
Subject
Financial Markets
Collection: Oxford Scholarship Online
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