6533b828fe1ef96bd1288ea6
RESEARCH PRODUCT
Influences on mutual fund performance: comparing US and Europe using qualitative comparative analysis
J. Edward GrahamBelén Ribeiro NavarreteCarlos Lassalasubject
Mutual fund performancemorningstar ratingsEconomics and EconometricsfsQCA; fund features; fund manager characteristics; Morningstar ratings; mutual fund performanceQualitative comparative analysisCompetitor analysislcsh:Regional economics. Space in economicslcsh:HD72-88lcsh:HT388mutual fund performancelcsh:Economic growth development planningMicroeconomicsfund manager characteristicsfsqcaBusinessfund featuresdescription
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.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2019-12-09 | Ekonomska Istraživanja |