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This study analyzes the demand for conventional and socially responsible (SR) mutual funds using cash flow data from a large sample of U.S. equity funds. For both types of funds, previous results have a positive impact on inflows. However, redemptions' behavior differs. Outflows correlate negatively with past results in conventional portfolios, whereas this relationship is positive for SR funds: investors are more likely to redeem shares in the best-performing funds while holding funds that performed poorly. This behavior is compatible with a disposition effect in SR funds. These results hold even after controlling for other variables driving mutual fund demand. Hence, inflows and outflows of conventional funds were found to be positively related to past idiosyncratic risk, expenses and turnover, but negatively related to size and age. For SR funds, these relationships are stronger for size and idiosyncratic risk, and take the opposite sign for age, expenses and turnover. Funding for open access charge: CRUE-Universitat Jaume I

The main objective of this study is to examine fund performance across different investment styles. Using a large sample of US mutual funds, we evaluate fund performance in relation to investment s...

Purpose - This study aims to assess the relationship between cash management and fund performance in index fund portfolios. Design/methodology/approach - Using a sample of 104 index mutual funds that track the Standard and Poor 500 stock market index from January 1999 to December 2016, the authors employ quintile portfolios and different regression models to assess the differences in risk-adjusted monthly returns experienced by index funds managing different cash levels in their portfolios. To ensure the robustness of the results, different sub-periods and market states are considered in the analyses as well as other exogenous factors and fund characteristics affecting the level of portfolio cash holdings and index fund performance. Findings - Results show that index funds holding higher levels of cash and cash equivalents performed significantly worse than their low-cash counterparts. This evidence remains even after considering different sub-periods and bullish and bearish market conditions and controlling for fund expenses and other variables that could drive this cash-performance relationship. Originality/value - This study expands the extant literature analyzing cash management in the mutual fund industry. More specifically, the analyses focus on index fund portfolios that replicate a specific benchmark, given that their performance differences should not be related to the market evolution but to the factors derived from the fund management and other exogenous issues. These findings are of interest to managers and investors willing to improve their risk-adjusted returns while investing as diversified as a stock market index. Objetivo - El objetivo de este estudio es analizar la relación existente entre la gestión de efectivo y el desempeño consiguiente en las carteras de fondos de inversión indexados. Diseño/metodología/perspectiva - Utilizando una muestra de 104 fondos que replican el índice bursátil Standard and Poor's 500 desde enero de 1999 hasta diciembre de 2016, se emplean carteras hipotéticas que invierten en fondos similares y diferentes análisis de regresión para analizar las diferencias en las rentabilidades ajustadas mensuales entre fondos indexados que gestionan diferentes niveles de efectivo en sus carteras. Por motivos de robustez, se tienen en cuenta diversos subperiodos y estados de mercado, así como otros factores exógenos y características de los fondos que afectan tanto al nivel de efectivo mantenido en la cartera indexada como al desempeño de la misma. Resultados - Los resultados muestran que los fondos indexados que gestionan niveles de efectivo más elevados experimentan un desempeño significativamente menor que otros fondos comparables que mantienen menores porcentajes de efectivo en sus carteras de inversión. Se obtiene una evidencia similar tras considerar diferentes subperiodos y momentos alcistas y bajistas de mercado, así como al considerar los gastos propios de cada fondo y otras variables que podrían afectar esta relación entre el rendimiento y el efectivo gestionado. Originalidad/contribución - Este estudio contribuye a la literatura existente que analiza la gestión de efectivo en la industria de fondos de inversión. Más específicamente, los análisis se centran en carteras de fondos que replican un índice bursátil específico, dado que las diferencias en sus rendimientos en este tipo de fondos no deberían originarse por la evolución del mercado, sino a causa de factores relacionados con la gestión de sus carteras y otros componentes exógenos al índice bursátil. Estos hallazgos son de interés para gestores e inversores que pretendan mejorar sus rentabilidades ajustadas al invertir mediante una estrategia tan diversificada como un índice bursátil.

This study analyses the performance and market timing of US socially responsible (SR) mutual funds in relation to business cycle regime shifts and different grouping criteria: Ethical strategy focus, SR attributes scores and Morningstar category. Different methodologies are applied and results highlight the importance of considering specific benchmarks related to the investment style in evaluating the SR fund performance. Our results show that, in aggregate, the abnormal performance of SR funds is negative and significant in expansion periods, but no significant differences are found in recession periods. When specific benchmarks are considered, performance improves in recession periods, particularly for environmental funds, those with high SR attributes scores, and funds from the nine Morningstar style box categories. Market timing of SR funds takes positive values and is partially significant. Previous evidence of negative timing after a recent financial crisis vanishes when specific benchmarks are considered. For comparative purposes the performance of conventional US mutual funds is also analysed. There are no significant differences between the performance of SR and conventional mutual funds when a fair comparison is made within the same style categories. When all the SR funds are considered, they underperform conventional funds in expansion sub‐periods, but in recession sub‐periods they perform better, although the differences observed are not significant.

Sustainable investment responds to demands for carbon and climate‐neutral societies. To address the urgency around climate change and provide investors with more qualified information, Morningstar has developed the Low Carbon Designation (LCD) to indicate that the companies held in a portfolio are in general alignment with the transition to a low‐carbon economy. The designation is given to portfolios that have low carbon risk and fossil fuel exposure scores. The present study builds on the LCD by examining the relationship between these scores and financial performance. With this aim, we analyze 3920 socially responsible mutual funds from across the world. Results show differences in financial performance according to scores and investment areas. We find evidence that funds considered to have higher levels of sustainability achieved better performance than funds with higher exposure to companies involved in carbon and fossil fuel industries. We provide insights on the informativeness of these new scores with a focus on climate change and their relevance in helping investors to identify climate‐aware funds. This study highlights the importance of introducing strategies to develop green finance; the analysis confirms that sustainability improves performance. Finally, the LCD indicator is shown to be relevant for making fairer comparisons among socially responsible funds and, ultimately, for developing low‐carbon economies.

espanolAunque durante mucho tiempo se ha reconocido que la gestion activa es un tema importante en el area de la evaluacion del rendimiento de los fondos de inversion, el consenso alcanzado acerca de la contribucion al valor anadido de los fondos por las habilidades de los directivos es limitado. Este estudio intenta explorar tanto las caracteristicas de los gestores como las de los propios fondos en si mismos con el fin de entender su influencia en la eficiencia conseguida para una muestra de fondos de inversion espanoles. Estos temas son explorados a traves de un enfoque de dos etapas, teniendo en cuenta los estimadores de fronteras parciales (orden-m y el orden α-) para evaluar el desempeno en la primera etapa, y asi como un enfoque de regresion cuantil para analizar los determinantes de la eficiencia en la segunda etapa. Nuestros resultados son relevantes especialmente desde el punto de vista de los inversores, al encontrar diferencias notables entre la influencia de los gestores de los fondos y las propias caracteristicas de los fondos. Nuestro analisis proporciona algunos argumentos como guia en la seleccion de fondos, asi como algunas caracteristicas de los gestores a tener en cuenta. Ademas, algunas de las diferencias de rendimiento entre los fondos encontrados son complejas, debido a que tanto la magnitud de los coeficientes de regresion estimados como su significado varian en funcion del cuantil de la distribucion del rendimiento de los fondos evaluado. EnglishWhile it has long been recognized that active management is an important issue in the area of mutual fund performance, little consensus has been reached about the value managers’ abilities can add. This study attempts to explore both fund and manager characteristics in order to understand their influence on the efficiency achieved for a sample of Spanish mutual funds. We explore these issues in a two-stage approach, considering partial frontier estimators (order-m and order-α) to assess performance in the first stage, and regression quantiles to isolate the determinants of efficiency in the second stage. Our findings shed light mainly on investors’ concerns, since differences do indeed arise among both funds and managers. Our analysis provides some arguments as a guide in selecting funds and some managerial features to be taken into account. In addition, some of the performance differences found among funds are rather intricate because both the magnitude of the estimated regression coefficients and their significance varies depending on the quantile of the distribution of fund performance.

This paper analyzes persistence in US equity mutual fund performance over the period 1990–2015. We apply commonly used measures of persistence, which we test using a set of simulated passive funds. In the first stage we apply contingency tables and transition matrices in accordance with previous literature. Results show how these methodologies are biased towards finding evidence of persistence too easily. In the second stage, we take a recursive portfolio approach, which assesses the performance of investing by following recommendations based on past performance. Results show the importance of both estimating persistence by distinguishing among fund style groups, and considering the cross-sectional significance of recursive portfolios. In general, our results support evidence of persistence in mutual fund performance, especially for the case of the best mutual funds. However, this evidence does not hold for the most recent subperiod, 2008–2015. Empirical evidence of persistence is conditioned by the sample period, a result that could explain the inconclusive results found in the literature This study is part of the research projects P1·1B2012-07 and P1·1B2014-17 supported by the Universitat Jaume I, the Spanish Ministerio de Economía y Competitividad (project ECO2014-55221-P) and Generalitat Valenciana (PROMETEOII/2014/046 and ACOMP/2014/283).

The last few years have witnessed a rapid evolution in the literature evaluating mutual fund performance using frontier techniques. The instruments applied, mostly DEA (Data Envelopment Analysis) and, to a lesser extent, FDH (Free Disposal Hull), are able to encompass several dimensions of performance, but they also have some disadvantages that might be preventing a wider acceptance. The recently developed order- m and order- α partial frontiers overcome some of the disadvantages (they are robust with respect to extreme values and noise, and do not suffer from the well-known curse of dimensionality) while keeping the main virtues of DEA and FDH (they are fully nonparametric). In this article we apply not only the non-convex counterpart of DEA (FDH) but also order- m and order- α partial frontiers to a sample of US mutual funds. The results obtained for both order- m and order- α are useful, since a full ranking of the mutual funds' performance can be obtained. We merge these methods with the literature on mutual fund performance persistence. By combining the two literatures we derive an algorithm which establishes how the choice of m and α parameters intrinsic to order- m and order- α (respectively) relate to the existence of performance persistence and the contrarian effect.

We examine the performance of mutual fund managers for a sample of Spanish mutual funds considering data on active management, loads, size and the number of funds managed per manager. We find evidence of differences in fund performance according to management: independent managers outperform their banking counterparts even when the lower associated fees are considered. Overall, our results suggest that superior active managers do exist and the slight discrepancies which arise between managers can be interpreted as agency problems.

Students' work in ePortfolios was assessed through a case study supported by observation techniques and eQuestionnaires to gather data from a sample of eighty students over a period of 4 years (20 students per academic year). The main purpose of the study was to explore whether ePortfolios can be used efficiently to support the learning process of postgraduate business students taking a course where finance modules were a major component. The use, role and learning value of integrating ePortfolios into the learning process in a higher education institution was analysed over the period of study. The empirical findings suggest that ePortfolios could be used to facilitate and enhance students' self-regulated learning. Additionally, the role of the instructor was found to be fundamental during early stages of the learning process to guide and coach students on how to use the tool. This role diminished as students became familiar with the course requirements. Overall, students judged the ePortfolio as being positive to their education, noting a significant improvement in their learning experience when compared to a traditional learning approach. The evidence suggests that ePortfolios could be used to support technical and complex modules in a controlled environment. At the same time, ePortfolios were found to be flexible enough to give students creative space by helping them to integrate their own ideas and views through their learning process. Students were also able to offer their instructors feedback on their learning achievements.

While it has been long recognized that active management represents an important issue related to mutual fund performance, little has been agreed about the value added by managers from their abilities point of view. This study attempts to explore both fund and manager characteristics in order to understand their influence on the efficiency achieved for a sample of Spanish mutual funds. We explore these issues in a two-stage approach, considering partial frontier estimators (order-m and order-) to assess performance in the first stage, and regression quantiles for isolating the determinants of efficiency in the second stage. Our findings shed light mainly on investors’ concerns because differences among both funds and managers do actually arise. Our analysis provides some arguments as a guide for selecting both funds as well as some managerial features. In addition, some of the performance differences found among funds are rather intricate because both the magnitude of the estimated regression coefficients and their significance vary depending on the quantile of the distribution of funds’ performance.