Mutual fund performance: measurement and evidence

Author(s):

Keith Cuthbertson

 et al.
Industry:
Banking

The paper provides a critical review of empirical findings on the performance of mutual funds, mainly for the US and UK. Ex-post, there are around 0-5% of top performing UK and US equity mutual funds with truly positive-alpha performance (after fees) and around 20% of funds that have truly poor alpha performance, with about 75% of active fund s which are effectively zero-alpha funds. Key drivers of relative performance are, load fees, expenses and turnover.

Updated: 04/12/2014
Comments: 13
Views: 8,947

The market timing ability of UK mutual funds

Author(s):

Keith Cuthbertson

 et al.
Industry:
Banking

We apply a recent nonparametric methodology to test the market timing skills of UK equity and balanced mutual funds. The methodology has a number of advantages over the widely used regression based tests of Treynor-Mazuy (1966) and Henriksson-Merton (1981).

Updated: 24/10/2011
Comments:
Views: 6,572

UK mutual fund performance skill or luck?

Author(s):

Keith Cuthbertson

 et al.
Industry:
Banking

Using a comprehensive data set on (surviving and non-surviving) UK equity mutual funds, we use a crosssection bootstrap methodology to distinguish between 'skill' and 'luck' for individual funds.

Updated: 01/01/2015
Comments: 15
Views: 7,518

Comparing the performance of retail unit trusts and capital guaranteed notes

Author(s):

Andrew Clare

 et al.
Industry:
Banking

In this paper we construct two generic structured products that each have a fixed investment horizon of five years and offer downside protection for the investor.

Updated: 24/10/2011
Comments:
Views: 6,426

Do UK retail investors buy at the top and sell at the bottom?

Author(s):

Andrew Clare

 et al.
Industry:
Banking

In this paper we examine market level data on the net investment into broad categories of UK mutual funds (known as unit trusts) collated by the Investment Management Association (IMA).

Updated: 24/10/2011
Comments:
Views: 27,159

The accounting statements of global financial institutions and the recent crisis

Author(s):

Gilad Livne

 et al.
Topic:
Accounting
Industry:
Banking

The paper looks at major issues associated with accounting policies and standards which affected the banking sector.

Updated: 20/10/2011
Comments:
Views: 5,789

Cass Ethics with Geraint Anderson: author of 'Cityboy'

Author(s):

Edouard Larpin

Industry:
Banking

In the eigth edition of Cass Ethics, Geraint Anderson who spent 12 years as a City boy, tells us about his bestseller and the realities of working as an analyst in the Square Mile.

Updated: 01/01/2015
Comments: 10
Views: 9,120

Cass Ethics with Philip Booth: Christian perspectives on the financial crash

Author(s):

Philip Booth

 et al.
Industry:
Banking

In the third edition of Cass Ethics, Philip Booth, Professor of Insurance and Risk Management, discusses ethics and religion.

Updated: 21/10/2011
Comments:
Views: 8,927

Investor reaction to mutual fund performance: evidence from UK distribution channels

Author(s):

Aneel Keswani

Industry:
Banking

Investor reaction to mutual fund performance conditions the behavior of mutual fund managers and fund complexes and thus has widely reaching ramifications for the trading of assets worldwide.

Updated: 01/01/2015
Comments: 14
Views: 8,723