期刊
INVESTMENT ANALYSTS JOURNAL
卷 44, 期 1, 页码 102-116出版社
INVESTMENT ANALYSTS SOC SOUTHERN AFRICA
DOI: 10.1080/10293523.2015.994453
关键词
excess return; fund manager characteristics; market timing skill; mutual fund performance; Sharpe ratio; stock-picking ability; total risk
资金
- National Natural Science Foundation of China [71371084, 71001044]
- Postdoctoral Science Foundation of Jilin Province [RB201370]
- Liberal Arts and Professional Studies International Collaboration Grant at York University
This study establishes a multitier framework to evaluate how fund manager characteristics systematically affect mutual fund performance. The framework includes three tiers of performance elements: comprehensive performance; return and risk; and timing skill and picking ability. Using performance decomposition, our evidence indicates that various characteristics take distinct channels to influence return, risk and fund manager abilities, which in turn affect comprehensive performance. In particular, having a degree of Master of Business Administration or a Chartered Financial Analyst qualification is significantly associated with a fund manager's better stock-picking ability, higher excess returns and better comprehensive performance.
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