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

What Does Rebalancing Really Achieve?

There is now a substantial literature on the effects of rebalancing on portfolio performance. However, this literature contains frequent misattribution between ‘rebalancing returns’ which are specific to the act of rebalancing, and ‘diversification returns’ which can be earned by both rebalanced and unrebalanced strategies. Confusion on this issue can encourage investors to follow strategies which involve insufficient diversification and excessive transactions costs. This paper identifies the misleading claims that are made for rebalanced strategies and demonstrates theoretically and by simulation that the apparent advantages of rebalanced strategies over infinite horizons give an inaccurate impression of their performance over finite horizons

UK mutual funds: performance persistence and portfolio size

We re-examine performance persistence amongst UK mutual funds. Specifically, we investigate performance persistence amongst small portfolios of past high-performing funds. In contrast to the more common analysis of decile portfolios of funds, we focus on persistence in the more extreme positive tail of the cross section of fund performance. This paper contributes to the smaller literature on UK rather than US mutual fund performance. We investigate fund persistence based on practitioner index models as well as academic factor models, focusing on small portfolios of funds using inference based on nonparametric persistence test statistics as well as conventional t tests. We provide strong evidence of positive persistence amongst small-size portfolios of (past) high-performing funds that is robust to alternative formation and holding periods and alternative performance models. We also document some sensitivity in inferences on positive persistence when using nonparametric versus conventional tests

Highly Dispersive Spin Excitations in the Chain Cuprate Li2CuO2

We present an inelastic neutron scattering investigation of Li2CuO2 detecting the long sought quasi-1D magnetic excitations with a large dispersion along the CuO2-chains studied up to 25 meV. The total dispersion is governed by a surprisingly large ferromagnetic (FM) nearest-neighbor exchange integral J1=-228 K. An anomalous quartic dispersion near the zone center and a pronounced minimum near (0,0.11,0.5) r.l.u. (corresponding to a spiral excitation with a pitch angle about 41 degree point to the vicinity of a 3D FM-spiral critical point. The leading exchange couplings are obtained applying standard linear spin-wave theory. The 2nd neighbor inter-chain interaction suppresses a spiral state and drives the FM in-chain ordering below the Ne'el temperature. The obtained exchange parameters are in agreement with the results for a realistic five-band extended Hubbard Cu 3d O 2p model and L(S)DA+U predictions.Comment: 6 pages, 4 figures, submitted to Europhys. Let

Challenges and Progress in improving Safety and Managing Radioactive Wastes at Chornobyl NPP and in the Chornobyl Exclusion Zone

The commissioning of the New Safe Confinement at the Chornobyl Nuclear Plant Unit 4 site will mark the achievement of one important milestone within the process “conversion of the Chornobyl Unit 4 into safe ecologic conditions”. New radioactive waste management facilities have been developed at Chornobyl Nuclear Plant and at Vektor Complex to ensure the safe management of radioactive wastes in the Chornobyl Exclusion Zone. The continued investigations and safety assessments of different legacy waste sites which were created as part of the accident response measures confirm the efficiency of the measures of the past are and consolidate the basis for the strategy for the safe management of legacy wastes. All these together demonstrates that the national and international efforts vested to manage the consequences of the Chornobyl accident have achieved substantial and visible progress in safety and long term safety will be achieved by their consistent continuation.Уведення в експлуатацію нового безпечного конфайнмента на майданчику № 4 ЧАЕС ознаменує досягнення однієї важливої віхи у процесі перетворення чорнобильського енергоблока № 4 на екологічну безпечну систему. Нові об'єкти з поводження з радіоактивними відходами були розроблені на ЧАЕС і в комплексі "Вектор" для забезпечення безпечного поводження з радіоактивними відходами в чорнобильській зоні відчуження. Тривалі дослідження та оцінки безпеки різних майданчиків відходів, що були створені в рамках робіт із мінімізації наслідків катастрофи, підтверджують ефективність заходів, проведених у минулому та формують основу стратегії безпечного поводження з відходами, що залишились у спадщину. Усе це разом показує, що національні та міжнародні зусилля, спрямовані на контроль впливу наслідків Чорнобильської аварії, досягли суттєвого й помітного прогресу в галузі безпеки, і довгострокова безпека буде досягнута завдяки їхньому послідовному продовженню.Введение в эксплуатацию нового безопасного конфайнмента на площадке № 4 ЧАЭС ознаменует достижение важной вехи в процессе преобразования чернобыльского энергоблока № 4 в экологически безопасную систему. Новые объекты по обращению с радиоактивными отходами были построены на ЧАЭС и в комплексе "Вектор" для обеспечения безопасного обращения с радиоактивными отходами в чернобыльской зоне отчуждения. Длительные исследования и оценки безопасности различных наследственных площадок отходов, которые были созданы в рамках мероприятий по реагированию на катастрофу, подтверждают эффективность мер прошлого и закрепляют основу стратегии безопасного обращения с наследственными отходами. Все это вместе показывает, что национальные и международные усилия, направленные на контроль над воздействиями последствий Чернобыльской аварии, достигли существенного и заметного прогресса в области безопасности, и долгосрочная безопасность будет достигнута благодаря их последовательному продлению

Driving Soils to Change: Tyre Particles Modulate Microbial-Mediated Soil Functions & Nutrient Status in Vegetable Crops

Driving Soils to Change: Tyre Particles Modulate Microbial-Mediated Soil Functions & Nutrient Status in Vegetable Crop