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An examination of ex ante fund performance: Identifying indicators of future performance

Clare, A. ORCID: 0000-0002-4180-6778 and Clare, M. (2019). An examination of ex ante fund performance: Identifying indicators of future performance. Journal of Asset Management, 20(3), pp. 175-195. doi: 10.1057/s41260-019-00118-4

Abstract

Although there has been a substantial flow of money over the last twenty years into indexed funds and ETFs, the vast majority of equity investment in mutual funds is still being managed on a discretionary basis. In this paper we investigate whether there exist variables that might be able to give an indication of future superior or inferior benchmark-adjusted active performance. Our results suggest that investors should avoid investing in, or should disinvest from funds that: produce a bottom decile information ratio; produce top decile levels of turnover; experience top decile levels of net inflows; and have top decile levels of fees. We conclude our paper with a suggestion as to how this information might help investors make more informed fund choices.

Publication Type: Article
Additional Information: This is a post-peer-review, pre-copyedit version of an article published in Journal of Asset Management. The definitive publisher-authenticated version is available online at: https://doi.org/10.1057/s41260-019-00118-4
Publisher Keywords: Mutual fund performance, recursive portfolio formation
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Finance
URI: http://openaccess.city.ac.uk/id/eprint/21874
[img] Text - Accepted Version
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