REIT Momentum and the Performance of Real Estate Mutual Funds

REITs exhibit a strong and prevalent momentum effect that is not captured by conventional factor models. This REIT momentum anomaly hampers proper judgments about the performance of actively managed REIT portfolios. In contrast, a REIT momentum factor adds incremental explanatory power to performance attribution models for REIT portfolios. Using this factor, this study finds that REIT momentum explains a great deal of the abnormal returns that actively managed REIT mutual funds earn in aggregate. Accounting for exposure to REIT momentum also materially influences cross-sectional comparisons of the performances of REIT mutual funds. This study has important implications for performance evaluation, alpha--beta separation, and manager selection and compensation

Do mutual funds have consistency in their performance?

Using a comprehensive data set of 714 Chinese mutual funds from 2004 to 2015, the study investigates these funds’ performance persistence by using the Capital Asset Pricing model, the Fama-French three-factor model and the Carhart Four-factor model. For persistence analysis, we categorize mutual funds into eight octiles based on their one year lagged performance and then observe their performance for the subsequent 12 months. We also apply Cross-Product Ratio technique to assess the performance persistence in these Chinese funds. The study finds no significant evidence of persis- tence in the performance of the mutual funds. Winner (loser) funds do not continue to be winner (loser) funds in the subsequent time period. These findings suggest that future performance of funds cannot be predicted based on their past performance.info:eu-repo/semantics/publishedVersio

Can environment or allergy explain international variation in prevalence of wheeze in childhood?

Asthma prevalence in children varies substantially around the world, but the contribution of known risk factors to this international variation is uncertain. The International Study of Asthma and Allergies in Childhood (ISAAC) Phase Two studied 8–12 year old children in 30 centres worldwide with parent-completed symptom and risk factor questionnaires and aeroallergen skin prick testing. We used multilevel logistic regression modelling to investigate the effect of adjustment for individual and ecological risk factors on the between-centre variation in prevalence of recent wheeze. Adjustment for single individual-level risk factors changed the centre-level variation from a reduction of up to 8.4% (and 8.5% for atopy) to an increase of up to 6.8%. Modelling the 11 most influential environmental factors among all children simultaneously, the centre-level variation changed little overall (2.4% increase). Modelling only factors that decreased the variance, the 6 most influential factors (synthetic and feather quilt, mother’s smoking, heating stoves, dampness and foam pillows) in combination resulted in a 21% reduction in variance. Ecological (centre-level) risk factors generally explained higher proportions of the variation than did individual risk factors. Single environmental factors and aeroallergen sensitisation measured at the individual (child) level did not explain much of the between-centre variation in wheeze prevalence

Global equity fund performance, portfolio concentration, and the fundamental law of active management

This paper investigates the relation between portfolio concentration and the performance of global equity funds. Concentrated funds with higher levels of tracking error display better performance than their more broadly diversified counterparts. We show that the observed relation between portfolio concentration and performance is mostly driven by the breadth of the underlying fund strategies; not just by fund managers’ willingness to take big bets. Our results indicate that when investors strive to select the best-performing funds, they should not only consider fund managers’ tracking-error levels. More important is that they take into account the extent to which fund managers carefully allocate their risk budget across multiple investment strategies and have concentrated holdings in multiple market segments simultaneously

Hot Hands in Bond Funds

We investigate persistence in the relative performance of 3549 bond mutual funds from 1990 to 2003. We show that bond funds that display strong (weak) performance over a past period continue to do so in future periods. The out-of-sample difference in risk-adjusted return between the top and bottom decile of funds ranked on past alpha exceeds 3.5 percent per year. We demonstrate that a strategy based on past fund returns earns an economically and statistically significant abnormal return, suggesting that bond fund investors can exploit the observed persistence. Our results are robust to a wide range of model specifications and bootstrapped test statistics