The characteristics of holdings and performance using characteristic-based benchmarks: a study of mutual funds in the United States

This study analyzes the characteristics of mutual fund holdings and empirically examine mutual fund performance with characteristic-based benchmarks. Two main approaches are used to test the hypotheses: (1) Grinblatt and Titman's (1993) measure and (2) Daniel et al.'s (1997) and Wermers�...

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Bibliographic Details
Published in:International journal of management 2013-12, Vol.30 (4), p.249
Main Author: Junarsin, Eddy
Format: Article
Language:English
Subjects:
Analysis
Benchmarks
Economic recovery
Equity
Equity funds
Financial markets
Forecasts and trends
Hypotheses
Income funds
Insurable risks
Investment advisors
Market strategy
Mutual funds
Scandals
Statistical significance
Stocks
Studies
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Summary:This study analyzes the characteristics of mutual fund holdings and empirically examine mutual fund performance with characteristic-based benchmarks. Two main approaches are used to test the hypotheses: (1) Grinblatt and Titman's (1993) measure and (2) Daniel et al.'s (1997) and Wermers' (2000) characteristic selectivity, characteristic timing, and average style measures. This study finds that domestic equity funds had slightly higher total net assets (TNAs) until the beginning of 2006, and afterwards had lower TNAs on average relative to all funds. During the financial crisis (especially in the end of 2008), domestic equity funds underperformed all funds with respect to returns. However, in 2009 when the economy steadily recovered, domestic equity funds again outperformed the all funds. The results of hypotheses testing indicate that GT measures are significant but negative for G and GI funds. Overall, the test results are not in favor of the assessment of fund managers' ability.
ISSN:0813-0183