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

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

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

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

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

Installation Induced Stresses For Grouted Roof Bolts

The judicious use of roof bolts in stabilizing underground openings necessitates the ability to determine the state of stress in and around such bolts. A method of modeling a system of roof bolts is presented. This method is then applied in the determination of the state of stress due to bolt tightening. Two specific roof bolt configurations are considered: a fully grouted post-tensioned bolt and a post-tensioned bolt with grouted-end anchorage. The analysis showed that the grout annulus transferred nearly all of the bolt load 3nto the rock within a distance of 12 hole diameters from the point of bolt load application. © 1976

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

Translational models for vascular cognitive impairment: a review including larger species.

BACKGROUND: Disease models are useful for prospective studies of pathology, identification of molecular and cellular mechanisms, pre-clinical testing of interventions, and validation of clinical biomarkers. Here, we review animal models relevant to vascular cognitive impairment (VCI). A synopsis of each model was initially presented by expert practitioners. Synopses were refined by the authors, and subsequently by the scientific committee of a recent conference (International Conference on Vascular Dementia 2015). Only peer-reviewed sources were cited. METHODS: We included models that mimic VCI-related brain lesions (white matter hypoperfusion injury, focal ischaemia, cerebral amyloid angiopathy) or reproduce VCI risk factors (old age, hypertension, hyperhomocysteinemia, high-salt/high-fat diet) or reproduce genetic causes of VCI (CADASIL-causing Notch3 mutations). CONCLUSIONS: We concluded that (1) translational models may reflect a VCI-relevant pathological process, while not fully replicating a human disease spectrum; (2) rodent models of VCI are limited by paucity of white matter; and (3) further translational models, and improved cognitive testing instruments, are required

Early response monitoring during [¹⁷⁷Lu]Lu-PSMA I&T therapy with quantitated SPECT/CT predicts overall survival of mCRPC patients: subgroup analysis of a Swiss-wide prospective registry study.

To assess early tumor response with quantitated SPECT/CT and to correlate it with clinical outcome in metastatic castration-resistant prostate cancer (mCRPC) patients treated with <sup>177</sup> Lutetium-PSMA I&T therapy. Single-center, observational study, part of the prospective Swiss national cancer registry study investigating the safety and efficacy of [ <sup>177</sup> Lu]Lu-PSMA I&T (EKNZ: 2021-01271) in mCRPC patients treated with at least two cycles of [ <sup>177</sup> Lu]Lu-PSMA I&T 6-weekly. After the first and second cycle quantitated SPECT/CT (Symbia Intevo, Siemens) was acquired 48 h after injection (three fields of view from head to thigh, 5 s/frame) and reconstructed using xQuant® (48i, 1 s, 10-mm Gauss). Image analysis: The PSMA-positive total tumor volumes (TTV) were semi-automatically delineated using a SUV threshold of 3 with MIMencore® (version 7.1.3, Medical Image Merge Software Inc.). Changes in TTV, highest tumor SUVmax, and total tumor SUVmean between cycles 1 and 2 were calculated and grouped into a) stable or decrease and b) increase. Serum PSA levels were assessed at each therapy cycle and at follow-up until progression or death. Changes in TTV, PSA, SUVmax, and SUVmean were correlated with PSA-progression-free survival (PSA-PFS) and the overall survival (OS) using the Kaplan-Meier methodology (log-rank test). Between 07/2020 and 04/2022, 111 patients were screened and 73 finally included in the data analysis. The median follow-up was 8.9 months (range 1.4-26.6 months). Stable or decreased TTV at cycle 2 was associated with longer OS (hazard ratio (HR) 0.28, 95% confidence interval (CI) 0.09-0.86, p < 0.01). Similar, stable, or decreased PSA was associated with longer OS (HR 0.21; CI 0.07-0.62, p < 0.01) and PSA-PFS (HR 0.34; 95% CI 0.16-0.72, p < 0.01). Combining TTV and PSA will result in an augmented prognostic value for OS (HR 0.09; CI 0.01-0.63; p < 0.01) and for PSA-PFS (HR 0.11; CI 0.02-0.68; p < 0.01). A reduction of SUVmax or SUVmean was not prognostically relevant, neither for OS (p 0.88 and 0.7) nor for PSA-PFS (p 0.73 and 0.62, respectively). Six weeks after initiating [ <sup>177</sup> Lu]Lu-PSMA I&T, TTV and serum PSA appear to be good prognosticators for OS. Combined together, TTV + PSA change demonstrates augmented prognostic value and can better predict PSA-PFS. Larger studies using TTV change prospectively as an early-response biomarker are warranted for implementing management change towards a more personalized clinical practice