FUND MANAGER PERFORMANCE: HOW PERSISTENT IS THE PERFORMANCE OF UK REAL ESTATE FUND MANAGERS?

AbstractWe study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the manager is to maximise the expected utility of her final wealth. The manager observes the prices but not the values of the market price of risk that drives the expected returns. Estimates of the market price of risk get more precise as more observations are available. We formulate the problem as an optimization under partial information. The particular structure of the incentives makes the objective function not concave. Therefore, we solve the problem by combining the martingale method and a concavification procedure and we obtain the optimal wealth and the investment strategy. A numerical example shows the effect of learning on the optimal strategy.

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What a difference a (birth) month makes: The relative age effect and fund manager performance

Journal of Financial Economics ◽

10.1016/j.jfineco.2018.10.003 ◽

2019 ◽

Vol 132 (1) ◽

pp. 200-221 ◽

Cited By ~ 6

Author(s):

John (Jianqiu) Bai ◽

Linlin Ma ◽

Kevin A. Mullally ◽

David H. Solomon

Keyword(s):

Age Effect ◽

Fund Manager ◽

Relative Age ◽

Relative Age Effect ◽

Birth Month ◽

Manager Performance

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Analysis of Selectivity and Timing Skills of Fund Managers

Management and Economics Research Journal ◽

10.18639/merj.2020.870688 ◽

2020 ◽

Vol 6 ◽

pp. 1

Author(s):

Ashima Agarwal ◽

Sanjeev Bansal ◽

Lakhwinder K. Dhillon ◽

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...

Keyword(s):

Market Timing ◽

Fund Manager ◽

Fund Managers ◽

Insight Into

There have been massive research works done on the concept of market timing and selectivity skills that are applied by the fund managers to optimize the returns to the fundholders/investors/clientele. The fact that still remains unidentified/studied is the factor(s) that are influential enough for the maximization of returns. There is a general perception that investors will only look upon the returns but the very factor that may influence that return is yet to be analyzed. This study focuses on gaining an insight into whether there is any correlation that exists between the fund manager’s selection or/and market timing abilities that, in turn, can be useful to the investors also in finding out which fund and fund manager to be trusted for investment.

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Friends in Need Are Friends Indeed: An Analysis of Social Ties between Financial Analysts and Mutual Fund Managers

The Accounting Review ◽

10.2308/accr-52160 ◽

2018 ◽

Vol 94 (1) ◽

pp. 153-181 ◽

Cited By ~ 16

Author(s):

Zhaoyang Gu ◽

Zengquan Li ◽

Yong George Yang ◽

Guangqing Li

Keyword(s):

Mutual Fund ◽

Social Ties ◽

Financial Analysts ◽

Data Availability ◽

Fund Manager ◽

Mutual Fund Managers ◽

Business Decisions ◽

The Public ◽

Fund Managers ◽

Jel Classifications

ABSTRACT We examine how hometown, school, and workplace ties between financial analysts and mutual fund managers affect their business decisions. We show that a fund manager is more likely to hold stocks covered by analysts with whom she is socially connected, and that she also makes higher profits from these holdings. Such social tie-related holding returns are higher among more opaque firms. In return, a fund manager tends to cast her star analyst votes in favor of her connected analysts, and her fund company is more likely to allocate trading commissions to her connected analysts' brokerages. Additional tests indicate that analysts more actively acquire information (through conducting corporate site visits) and issue more optimistically biased recommendations for stocks held by fund managers with whom they are connected. Overall, our results illustrate the pronounced influence of social networks on the behaviors of analysts and fund managers. JEL Classifications: G10; G23; M40. Data Availability: Data are available from the public sources cited in the text.

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Pedigree vs. Grit: Predicting Mutual Fund Manager Performance

Kellogg School of Management Cases ◽

10.1108/case.kellogg.2016.000257 ◽

2017 ◽

pp. 1-6

Author(s):

Péter Esö ◽

Graeme Hunter ◽

Peter Klibanoff ◽

Karl Schmedders

Keyword(s):

Linear Regression ◽

Asset Management ◽

Mutual Fund ◽

Success Factors ◽

Linear Regression Analysis ◽

Fund Manager ◽

Mutual Fund Managers ◽

Fund Managers ◽

Mutual Fund Manager ◽

Starting Point

An asset management company must replace the manager of its two signature mutual funds, who is about to retire. Two candidates have been short-listed. The management team is divided and cannot decide which of the two candidates would make the better mutual fund manager. The retiring manager presents a linear regression model to examine success factors of mutual fund managers. This linear regression is the starting point for the subsequent analysis.Application of linear regression analysis to analyze the performance of mutual fund managers.

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Are some fund managers better than others? Manager characteristics and fund performance

South African Journal of Business Management ◽

10.4102/sajbm.v35i3.660 ◽

2004 ◽

Vol 35 (3) ◽

pp. 31-40 ◽

Cited By ~ 4

Author(s):

L. B. Friis ◽

E. V.D.M. Smit

Keyword(s):

Risk Taking ◽

Fund Performance ◽

Management Team ◽

Team Size ◽

Fund Manager ◽

Independent Variables ◽

Fund Managers ◽

Qualification Management ◽

Better Than

The research objective has been to find out whether fund manager characteristics help explain fund performance and propensity to risk taking. Eight independent variables; manager age, tenure of the manager with the fund, years of education, whether the manager holds a MBA or CA/CFA qualification, management team size, fund age and fund objective are regressed on measures of fund performance and riskiness.The findings of the study are highly significant and show that fund performance and riskiness are impacted upon by managers’ qualifications. One can expect better risk-adjusted performance from a fund manager who holds a CA/CFA qualification. Results show that these managers outperform managers without these qualifications, while taking on less risk than managers with MBA qualifications.

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