Work

Influences on mutual fund performance: comparing US and Europe using qualitative comparative analysis

Year: 2019

Type: article

Abstract: This study examines the conditions that lead mutual funds to underperform or outperform competitors. Using fuzzy-set qualitative comparative analysis (fsQCA), we draw upon extensive research on fund returns to affirm and extend earlier discoveries. Fund performance (Morningstar ratings), features of the funds themselves, and characteristics of the fund managers are considered. Positive Morningstar star and analyst ratings are necessary conditions for funds to generate value (measured by Jensen’s alpha). Funds with low management fees and low ongoing fees have attractive Sharpe ratios and high returns. Likewise, large funds with good Morningstar ratings have good Sharpe ratios and returns, often when fund managers have short tenures.

Source: Economic Research-Ekonomska Istraživanja

DOI: 10.1080/1331677x.2019.1696695

Authors: J. Edward Graham, Carlos Lassala, Belén Ribeiro Navarrete

Institutions: University of North Carolina Wilmington, Universitat de València

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $944

OpenAlex ID: W2993403324

FWCI: 2.151

Cites: 103

Cited by: 20

Related to: 10