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The purpose of this paper is to propose a new measure of portfolio activity, the modified turnover (MT), which represents the portion of the portfolio that the manager changes from one quarter to the next. Compared with the traditional turnover, the MT measure has a distinct interpretation, relies on portfolio holdings, includes the effects of flows and ignores the effects of offsetting trades.

Using quarterly holdings data, the authors examine the relationship between fund turnover, performance, and flows for a sample of 2,856 actively managed mutual funds over the period 1991-2012. The authors provide numerical examples to illustrate how the suggested measure, MT, is different from the traditional turnover measure. The authors use panel regressions, simple and double sorts to examine the predictability of performance.

The authors find evidence that high MT predicts lower performance. The comparison between the highest and lowest quintiles sorted based on MT reveals a difference of −2.41 percent in the annual risk-adjusted return. Furthermore, high MT predicts lower net flows. The authors also find that MT relates positively to other activeness measures while volatility, flows, size, number of stocks, and the expense ratio are significant determinants of MT. Overall, the results suggest that frequent churning of a portfolio is value destroying for investors and signals a manager’s lack of skill.

The authors offer a simple measure, namely, MT, for estimating the fraction of a portfolio that changes from one quarter to the next. Armed with this tool, the authors investigate whether funds deviate from their previous quarter’s holdings because of valuable or noisy information, and whether such signals are exploited by fund investors.

This paper studies how performance funding of education is perceived by principals, teachers and administrative staff and management. The dysfunctionality of performance measures often reflects how the measures prevent an organisation from achieving its goals. This paper proposes that perceptions of dysfunctionality can be analysed by separating the perceptions of the programme's intentions, of the school-level actions and of the outcomes for students.

Following a qualitative methodology, semi-structured interviews were conducted with teachers, school management, staff specialists and top management in a large Danish municipality when outcome-based funding was introduced.

The performance-funding programme affected teaching by changing educational priorities. Different perceptions of the (dys)functionality of intentions, actions and outcomes fuelled diverging responses. Although the performance measure was generally considered incomplete, interviewees' perceptions of the financial incentivisation and the dysfunctionality of actions depended on interpretations of the incentivisation and student-related outcomes of the programme.

Dysfunctionality can be contested; the interpretations of the intention of a performance-funding programme affect the perceived dysfunctionality of reactions. Both technical characteristics of funding schemes and administrators' and principals' mediating roles are essential for the consequences of performance funding.

The paper examines conditions for dysfunctionality of performance measures. We demonstrate that actions can be perceived as dysfunctional because of a measurement's intentions, actions themselves and the actions' outcomes. Further, the paper illustrates how the reception of performance funding depends on how consequences are enacted based on educators' interpretations of the (dys)functionality of intentions, actions and outcomes.

This study is about the determinants of cash holding and impact of cash holding on mutual funds’ performance. In addition, the study analyzes the impact of performance-related determinants of cash holding on funds' performance.

Panel data of ten years of 190 open-end mutual funds are analyzed through fixed effect regression technique. The risk-adjusted funds' performance of cash based portfolios is computed through capital asset pricing model (CAPM) (1964), Fama and French (1993) and Carhart (1997) models.

The results indicate that small size funds, high charging front-end load funds, high turnover ratio funds, high 12-month fund returns run up, high dividend paying funds and high redemption level funds hold more cash for precautionary purpose to avoid costs of cash short-falls. Further, monthly average raw returns and risk-adjusted performance of funds with the lowest raw and residual cash holding are found higher than the funds with the highest cash holding. An increase in cash is found to dilute performance.

This is a pioneer study in a corporate environment with shallow capital market, reliance of businesses on bank credit, firms exposed to agency issues, wealth expropriations and existence of business groups with political linkages but with opportunities of investments due to expected favorable geo-socio-political situation. The study generates outcomes relevant for other similar economies.

The purpose of this paper is to examine the various segments of the managed funds market to establish if there is any significant difference in the way the assets are allocated into various asset categories and if investors base their investment decisions based on the past performance of the fund.

An average investor who does not possess superior investment knowledge may base their investment decision on the past performance of funds resulting in flow based on past performance. This study uses a panel regression model to test the relationship between net flows and past excess returns.

Significant differences are found in asset allocation between the retail and wholesale segments. Retail investors prefer less risky investments compared to wholesale investors and have lower preference for overseas investments. The results indicate that investors base their investment decisions on the past performance of funds, with the retail segment showing a higher level of influence of past performance, as compared to the wholesale segment. The results further show less evidence of a reaction to risk among the managed investment categories.

Fund managers use fund performance for marketing purposes and results of the study may be of importance to the managers and investors in understanding this objective. The findings are also of significance for policy makers in terms of understanding investor behaviour.

This is the first study of the Australian managed funds industry (including wholesale and retail funds) that tests the link between past performance and fund flows. The study includes data until June 2008, which includes a period when a number of policy changes occurred in Australian superannuation industry.

The purpose of this paper is to examine the ability of well known fund characteristics such as the recent past performance, fund size, management fees, fund age, net asset value and fund growth so as to explain Tunisian equity mutual fund performance.

The sample was split according to investment objectives, and the advanced dynamic panel data approach was used over the period 1999‐2006.

The authors find that past performance and fund size have a positive and significant influence on future performance for all fund categories, irrespective of what performance measure was used. This may indicate the existence of scale economies in the Tunisian equity mutual fund industry. The author also find that the other fund characteristics play an important role in explaining performance, but their impact varies among the fund categories. In all, regression results support the dynamic links between fund characteristics and future performance.

The findings do not take into account the behaviour of fund managers and their ability to extend the investment opportunities set. It seems that there are more complex factors related to the strategic behaviour of the manager and driving differences in performance across funds than previous studies have indicated.

The authors confirm the empirical evidence that historical performance contains some information about future performance and such information may be important to mutual fund investors. It was also found that fund size is positively related to future performance of small fund category as well as of large fund category. This may indicate the existence of scale economies in the Tunisian equity mutual fund industry. In addition, the influence of the other control variables varies among the fund categories, but often is the same as in earlier studies.

The paper provides information to foreign investors for investing in Tunisian capital market.

In this regard, the study of literature revealed that the explanation of performance, based on quantitative factors, is often limited to a static approach that involves making estimates resting on multiple regression, regression in cross section and principal component analysis for short periods. However, several empirical studies highlight the impact of past performance on future performance. It seemed essential to enrich the analysis by using a dynamic approach.

The purpose of this paper is to examine the performance of Chinese mutual funds during the period of January 2000 to July 2013. Emerging market funds provide investors with alternative risk exposure for their portfolios. The Chinese market has developed rapidly and differs from developed markets regarding wide range of market and economic characteristics, including size, liquidity, and regulation. The performance of these funds is investigated by using various risk adjusted measures. The study also compares performances of mutual fund subgroups and explains the factors influencing their performances.

This is an empirical paper using various risk performance measures. These measures include the Sharpe ratio, Information ratio, Treynor ratio, M-squared and Jensen’s α. The data comprises 1,037 funds. These funds are further divided into ten subgroup of funds based on their classification: equity (484); aggressive allocation (95 funds); conservative allocation (18 funds); moderate allocation (85 funds); aggressive bond (92 funds); normal bond (52 funds); guaranteed (29 funds); money market (53 funds); and QDII funds (119 funds). A cross-sectional analysis of fund performance is performed using Sharpe and Jensen’s measures as dependent variables and fund-specific variables (Age, Turnover, Tenure, Frontload, Redemption fees, and Management fees), market-specific variables (P/E ratio, P/B ratio, Market capitalization), and fund types as independent variables.

The findings show that Chinese funds generate positive αs for their investors. The highest return is provided with aggressive allocation funds followed by moderately aggressive allocation funds. The average Jensen’s α is the highest in aggressive allocation funds. QDII funds do not provide significant positive αs; in several instances αs are negative. Further analysis of sub-periods show that Chinese funds do not consistently provide excess returns and show great variations. The study also finds that older funds, funds with higher fees, high price to book ratio, and smaller funds continue to perform better than other funds.

This study adds value by focussing on Chinese funds and risk/return characteristics of these funds. The research will further explore factors explaining these returns.

This paper aims to examine the performance and benchmark asset allocation policy of 70 KiwiSaver funds catergorised as growth, balanced or conservative over the period October 2007-June 2016. The study focuses on the sources for returns variability across time and returns variation among funds.

Each fund is benchmarked against a portfolio of eight indices representing eight invested asset classes. Three measures were used to examine the after-fee benchmark-adjusted performance of each fund: excess return, cumulative abnormal return and holding period returns difference. Tracking error and active share were used to capture manager’s benchmark deviation.

On average, funds underperform their respective benchmarks, with the mean quarterly excess return (after management fees) of −0.15 per cent (growth), −0.63 per cent (balanced) and −0.83 per cent (conservative). Benchmark returns variability, on average, explains 43-78 per cent of fund’s across-time returns variability, and this is primarily driven by fund’s exposures to global capital markets. Differences in benchmark policies, on average, account for 18.8-39.3 per cent of among-fund returns variation, while differences in fees and security selection may explain the rest. About 61 per cent of balanced and 47 per cent of Growth funds’ managers make selection bets against their benchmarks. There is no consistent evidence that more actively managed funds deliver higher after-fee risk-adjusted performance. Superior performance is often due to randomness.

This study makes use of a unique data set gathered directly from KiwiSaver managers and captures the long-term strategic asset allocation target which underlines the investment management process in reality. The study represents the first attempt to examine the impact of benchmark asset allocation policy on KiwiSaver fund’s returns variability across time and returns variation among funds.

The purpose of this paper is to identify the implications of managerial herding for investors’ wealth and capital allocation across funds, and the critical role played by fund governance in monitoring herding incentives.

The author adopt the fund herding measure first proposed by Grinblatt et al. (1995) over the long sample period 1992-2007. Univariate and multivariate tests are then constructed to examine the relationship between managerial herding, performance, and investors’ sensitivities. OLS, fixed-effect panel data models are utilized to conduct the tests.

The author show that managers that do not herd have above-average managerial skills, trade less on noise, and significantly outperform herding managers. The author also illustrate that although fund herding could be used as a signal of managerial quality, underperforming herding funds manage to survive in equilibrium, indicating that investor flows do not adequately respond to the information content of a persistent herding behavior. Finally, the author demonstrate that better governance in the form of stronger managerial incentive schemes constitutes a significant deterrent against detrimental herding strategies, representing an effective monitoring device of the response of fund managers to poor flow-performance sensitivity.

The paper provides original evidence on the efficacy of external and internal governance in deterring wealth-reducing herding strategies. The author document that where more effective managerial incentives schemes are put in place by the management companies, fund managers are more likely to be better informed, resulting in fewer incentives to mimic the trading decisions of their peers.

The purpose of this paper is to investigate whether mutual fund investors can make effective cash flow timing decisions and examine the sensitivity of these decisions to past fund performance using cash flow data at the individual fund level.

This study examines performance persistence and investor timing ability of 200 domestic equity mutual funds in Taiwan between 1996 and 2009. In particular, a performance gap measuring the difference between dollar‐weighted average monthly returns and geometric average monthly returns is used to evaluate investors' timing ability.

The empirical results show that funds that have performed well (poorly) in the previous year tend to continue performing well (poorly) in the following year, and investors' timing performance is negatively related to fund performance. The results also show that investors' timing performance is significantly and negatively related to fund size, length of fund history, and momentum‐style of funds, but positively related to value‐style funds. These results suggest that mutual fund investors are loss‐averse and demonstrate return‐chasing behavior in well‐performing funds.

The paper contributes to the mutual fund performance literature by proposing an integrated framework that jointly tests fund performance and how it affects investors' cash flow timing decisions. Furthermore, the paper individually measures investors' timing sensitivity for the current best (worst) performance funds and consecutive two‐year best (worst) performance funds, and contributes to a growing body of research on the behavior of mutual fund investors.

The present study tries to explore the various fund attributes that influence the mutual fund performance. Further, study examined the effect of mutual fund attributes namely, Net Asset Value (NAV), Portfolio turnover ratio (PTR), fund size (AUM), expense ratio (ExpR) and fund age (Age) on mutual fund's performance using gross return and risk-adjusted performance measures.

The study evaluated balanced panel data (short panel) comprising 81 Indian equity mutual fund schemes for the period of 2013–2019. The study estimated relationship between fund attributes (Net asset value, Portfolio turnover ratio, Fund age, fund size and Expense ratio) and fund performance (using gross return and risk-adjusted performance measures), through panel data regression using fixed-effects model as suggested by Hausman specification test on transformed data (due to high multicollinearity), with cluster-robust estimators due to the presence of heteroskedasticity in the model.

The findings of the study suggested that using gross return as fund performance measure, PTR, NAV, AUM, Age exhibit significant relationship with the fund performance whereas using risk-adjusted performance measures (Treynor ratio and Jensen alpha) NAV and ExpR significantly influences the fund performance. Identification of the significant relationship between fund characteristics and fund performance offers valuable insights to the investors and fund managers for rationally managing their portfolio with the ultimate objective of the wealth maximization.

The study considered only 81 equity mutual fund schemes. Some of the data were not available at the time of the study due to the policy of the company. The present study contributes significantly in examining the expected association between fund attributes and fund performance in the context of Indian mutual fund industry where this relationship were explored less.

The findings of the present study will help the investors to take the rational investment decision with the ultimate objective of maximum return with minimal risk. The findings also offer significant germane to the stakeholders in making rational decision-making process.

There is dearth of study concerning the relationship between mutual fund characteristics and fund performance with respect to Indian mutual fund industry. Therefore, study provides valuable insights to the area of the portfolio selection and management with respect to Indian mutual funds.