Portfolio Pumping and Managerial Structure

2020 ◽  
Vol 34 (1) ◽  
pp. 194-226 ◽  
Author(s):  
Saurin Patel ◽  
Sergei Sarkissian
Keyword(s):  
Peer Effects ◽  
Mutual Fund ◽  
Career Concerns ◽  
Team Size ◽  
Family Policies ◽  
Local Networks ◽  
Portfolio Returns ◽  
Fund Governance ◽  
Managed Funds ◽  
Enforcement Policies

Abstract Using U.S. equity mutual fund data, we show that portfolio pumping—an illegal trading activity that artificially inflates year- and quarter-end portfolio returns—is more pronounced among single-managed funds compared with team-managed ones. The return inflation by team-managed funds is 45% lower than by single-managed funds at year-ends. Also, portfolio pumping decreases as team size increases. These results are driven by peer effects among teams and, sometimes, amplified by less convex flow-performance relation in team-managed funds. Our findings are robust to differences in fund governance, manager career concerns, local networks, fund family policies, and changes in the SEC’s enforcement policies.

Mutual Fund Governance and Tax Efficiency

2015 ◽  
Vol 18 (2) ◽  
pp. 55-66
Author(s):  
D.K. Malhotra ◽  
Vivek Bhargava ◽  
Rand Martin
Keyword(s):  
Mutual Fund ◽  
Tax Efficiency ◽  
Fund Governance

An Empirical Study on the Performance of Select Large Cap Equity Mutual Funds in India

2015 ◽  
Vol 2 (1) ◽  
Author(s):  
Samyabrata Das
Keyword(s):  
Mutual Funds ◽  
Asset Management ◽  
Mutual Fund ◽  
Human Element ◽  
Risk Return ◽  
Equity Mutual Funds ◽  
Equity Funds ◽  
Managed Funds ◽  
Opening Up ◽  
Fund Return

Since the opening up of the economy in the early 1990s, Indian mutual fund industry has witnessed fabulous quantitative growth. Funds which invest a larger proportion of their corpus in companies with large market capitalization are called large cap funds. Actively managed funds make use of a human element, such as a single manager, comanagers or a team of managers, to actively manage a fund's portfolio. The main objective of the study is to analyse the performance of select actively managed large cap equity funds in the line of risk-return parameters. This study is based on fourteen funds from twelve Asset Management Companies. All the funds are ranked under seven performance measures, namely, fund return, fund standard deviation, Sharpe Ratio, Treynor Ratio, return from systematic investment plan (SIP), Jensen Alpha, and RSQ, for five different time periods of 1-year, 3-year, 5-year, 7-year, and 10-year.

Prosecutorial Discretion in Mutual Fund Settlement Negotiations, 2003-7

2009 ◽  
Vol 9 (1) ◽  
Author(s):  
Eric W Zitzewitz
Keyword(s):  
New York ◽  
Mutual Fund ◽  
Market Timing ◽  
Career Concerns ◽  
Regulatory Capture ◽  
Prosecutorial Discretion ◽  
Negotiated Settlements ◽  
Settlement Negotiations ◽  
Late Trading

Abstract This paper examines the negotiated settlements of 20 market timing and late trading cases, comparing the restitution obtained for shareholders with an estimate of shareholder dilution. This restitution ratio varies from 0.04 to 5, or from 0.1 to 10 if penalties are included. While some of this variation is explained by differences in the defendants' conduct, controlling for this, settlement negotiations that involved New York as well as the Security and Exchange Commission (SEC) resulted in restitution ratios that were higher by a factor of 5-10. An analysis that uses the firms' headquarters location and customers' state of residence as instruments for New York's involvement suggests that this difference is causal, and not the result of New York involving itself in cases likely to lead to large settlements. Given the much larger staff and institutional expertise of the SEC, it is likely that these differences in outcomes are due to differences in effective aggressiveness, not prosecutorial resources. Differences in aggressiveness are consistent with popular conceptions of the regulators' career concerns, as well as with theories of industry focus and regulatory capture.

Tracking Efficiency of Exchange Traded Funds (ETFs)

Paradigm ◽  
2016 ◽  
Vol 20 (2) ◽  
pp. 176-190 ◽  
Author(s):  
Jaspal Singh ◽  
Prabhdeep Kaur
Keyword(s):  
Regression Analysis ◽  
Present Article ◽  
Mutual Fund ◽  
Negative Impact ◽  
Tracking Error ◽  
Evaluation Criteria ◽  
Panel Regression ◽  
Exchange Traded Funds ◽  
Tracking Ability ◽  
Managed Funds

Exchange traded funds (ETFs) have emerged as a new investment vehicle in the mutual fund industry providing investors with the ability to trade the entire market through a single transaction executed at the exchange. Using a sample of 12 equity ETFs from 1 April 2011 to 31 March 2015, the present article attempts to examine the performance efficiency of ETFs in India and explore factors that drive the performance of ETFs away from their target indices. The study reveals that ETFs exhibit significant tracking error while trying to replicate the returns of their benchmark indices. The results of panel regression analysis further reveal that the assets under management and volume positively affected the tracking ability of ETFs whereas volatility is reported to have negative impact on the tracking efficiency of ETFs. The results will have important implications for investors, managers as well as for the evaluation criteria involved in assessing the performance of actively managed funds.

Sign in / Sign up

Export Citation Format

Share Document