A review of behavioural and management effects in mutual fund performance

This paper surveys and critically evaluates the literature on the role of management effects and fund characteristics in mutual fund performance. First, a brief overview of performance measures is provided. Second, empirical findings on the predictive power of fund characteristics in explaining future returns are discussed. Third, the paper reviews the literature on fund manager behavioural biases and the impact these have on risk taking and returns. Finally, the impact of organizational structure, governance and strategy on both fund risk taking and future performance is examined. While a number of surveys on mutual fund performance are available, these have not focused on the role of manager behavioural biases, manager characteristics and fund management strategic behavior on fund performance and risk taking. This review is an attempt to fill this gap. Empirical results indicate that finding successful funds ex-ante is extremely difficult, if not impossible. In contrast, there is strong evidence that poor performance persists for many of the prior "loser fractile" portfolios of funds. A number of manager behavioural biases are prevalent in the mutual fund industry and they generally detract from returns

False Discoveries: Winners and Losers in Mutual Fund Performance

We use a multiple hypothesis testing framework to estimate the false discovery rate (FDR) amongst UK equity mutual funds. For all funds, we find a relatively high FDR for the best funds of 67% (at a 10% significance level), which indicates that only around 2% of all funds truly outperform their benchmarks. For the worst funds the FDR (at a 10% significance level), is relatively small at 15.9% which results in 20% of funds which truly underperform their benchmarks. For different investment styles, this pattern of very few genuine winner funds is repeated for all companies, small companies and equity income funds. However, forming portfolios of funds based on a set of funds for which the FDR is relatively low, produces positive alphas

The Market Timing Ability of UK Equity Mutual Funds

We apply a recent nonparametric methodology to test the market timing skills of UK equity mutual funds. The methodology has a number of advantages over the widely used regression based tests of Treynor-Mazuy (1966) and Henriksson-Merton (1981). We find a relatively small number of funds (around 1.5%) demonstrate positive market timing ability at a 5% significance level, while around 10-20% of funds exhibit negative (perverse) timing and most funds do not time the market. Our findings indicate that the few skillful market timers possess private market timing signals so their performance cannot be attributed to publicly available information. In terms of fund classifications, there are a small number of successful positive market timers amongst equity income and general equity funds, while a few small company funds time a small company rather than a broad market index. We also apply regression based tests of volatility timing and find evidence that a slightly larger (around 5%) of funds successful time market volatility

Market and Style Timing: German Equity and Bond Funds

We apply parametric and non-parametric estimates to test market and style timing ability of individual German equity and bond mutual funds using a sample of over 500 equity and 350 bond funds, over the period 1990-2009. For equity funds, both approaches indicate no successful market timers in the 1990-1999 or 2000-2009 periods, but in 2000-2009 the non-parametric approach gives fewer unsuccessful market timers than the parametric approach. There is evidence of successful style timing using the parametric approach, and unsuccessful style timing, particularly in the 2000-2009 period. There is evidence of positive and negative bond timing in the 2000-09 period

Measurement of radiation-pressure-induced optomechanical dynamics in a suspended Fabry-Perot cavity

We report on experimental observation of radiation-pressure induced effects in a high-power optical cavity. These effects play an important role in next generation gravitational wave (GW) detectors, as well as in quantum non-demolition (QND) interferometers. We measure the properties of an optical spring, created by coupling of an intense laser field to the pendulum mode of a suspended mirror; and also the parametric instability (PI) that arises from the nonlinear coupling between acoustic modes of the cavity mirrors and the cavity optical mode. Specifically, we measure an optical rigidity of $K = 3 \times 10^4$ N/m, and PI value $R = 3$.Comment: 4 pages, 3 figure

Threat assessment, sense making, and critical decision-making in police, military, ambulance, and fire services

Military and emergency response remain inherently dangerous occupations that require the ability to accurately assess threats and make critical decisions under significant time pressures. The cognitive processes associated with these abilities are complex and have been the subject of several significant, albeit service specific studies. Here, we present an attempt at finding the commonalities in threat assessment, sense making, and critical decision-making for emergency response across police, military, ambulance, and fire services. Relevant research is identified and critically appraised through a systematic literature review of English-language studies published from January 2000 through July 2020 on threat assessment and critical decision-making theory in dynamic emergency service and military environments. A total of 10,084 titles and abstracts were reviewed, with 94 identified as suitable for inclusion in the study. We then present our findings focused on six lines of enquiry: Bibliometrics, Language, Situation Awareness, Critical Decision Making, Actions, and Evaluation. We then thematically analyse these findings to reveal the commonalities between the four services. Despite existing single or dual service studies in the field, this research is significant in that it is the first examine decision making and threat assessment theory across all four contexts of military, police, fire and ambulance services, but it is also the first to assess the state of knowledge and explore the extent that commonality exists and models or practices can be applied across each discipline. The results demonstrate all military and emergency services personnel apply both intuitive and formal decision-making processes, depending on multiple situational and individual factors. Institutional restriction of decision-making to a single process at the expense of the consideration of others, or the inappropriate training and application of otherwise appropriate decision-making processes in certain circumstances is likely to increase the potential for adverse outcomes, or at the very least restrict peak performance being achieved. The applications of the findings of the study not only extend to facilitating improved practice in each of the individual services examined, but provide a basis to assist future research, and contribute to the literature exploring threat assessment and decision making in dynamic contexts

Cardio-protective effects of carnitine in streptozotocin-induced diabetic rats

BACKGROUND: Streptozotocin-induced diabetes (STZ-D) in rats has been associated with carnitine deficiency, bradycardia and left ventricular enlargement. AIM: The purpose of this study was to determine whether oral carnitine supplementation would normalize carnitine levels and cardiac function in STZ-D rats. METHODS: Wistar rats (48) were made hyperglycemic by STZ at 26 weeks of age. Same age normal Wistar rats (24) were used for comparison. Echocardiograms were performed at baseline 2, 6, 10, and 18 weeks after STZ administration in all animals. HbA1c, serum carnitine and free fatty acids (FFA) were measured at the same times. Since STZ-D rats become carnitine deficient, 15 STZ-D rats received supplemental oral carnitine for 16 weeks. RESULTS: The heart rates for the STZ-D rats (290 ± 19 bpm) were less than control rats (324 ± 20 bpm) (p < 0.05). After 4 weeks of oral carnitine supplementation, the serum carnitine and heart rates of the STZ-D rats returned to normal. Dobutamine stress increased the heart rates of all study animals, but the increase in STZ-D rats (141 ± 8 bpm) was greater than controls (79 ± 8 bpm) (p < 0.05). The heart rates of STZ-D rats given oral carnitine, however, were no different than controls (94 ± 9 bpm). The left ventricular mass/body weight ratio (LVM/BW) in the diabetic animals (2.7 ± 0.5) was greater than control animals (2.2 ± 0.3) (p < 0.05) after 18 weeks of diabetes. In contrast, the LVM/BW (2.3 ± .2) of the STZ-D animals receiving supplemental carnitine was the same as the control animals at 18 weeks. CONCLUSION: Thus, supplemental oral carnitine in STZ-D rats normalized serum carnitine, heart rate regulation and left ventricular size. These findings suggest a metabolic mechanism for the cardiac dysfunction noted in this diabetic animal model