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2003•Financial Services ReviewOpen access

Mutual Fund Attributes and Performance

Yin‐Ching Jan, Mao‐Wei Hung

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Abstract

This paper investigates the relationship between mutual fund attributes and performance. Funds in the same investment objective category are classified into two portfolios according to mutual fund attributes, including load/no-load, size, turnover, expense, and past performance. The stochastic dominance approach is used to test whether a specific characteristic of mutual funds is efficient relative to its counterpart. We find that the relationship between mutual fund attributes and performance differs among mutual funds with different objectives.

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What this paper is about

This paper investigates the relationship between mutual fund attributes and performance. Funds in the same investment objective category are classified into two portfolios according to mutual fund attributes, including load/no-load, size, turnover, expense, and past performance. The stochastic dominance approach is used to test whether a specific characteristic of mutual funds is efficient relative to its counterpart. We find that the relationship between mutual fund attributes and performance differs among mutual funds with different objectives.

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Available abstract

This paper investigates the relationship between mutual fund attributes and performance. Funds in the same investment objective category are classified into two portfolios according to mutual fund attributes, including load/no-load, size, turnover, expense, and past performance. The stochastic dominance approach is used to test whether a specific characteristic of mutual funds is efficient relative to its counterpart. We find that the relationship between mutual fund attributes and performance differs among mutual funds with different objectives.

Key concepts: Mutual fund, Open-end fund, Target date fund, Fund of funds, Closed-end fund, Fund administration, Mutual fund separation theorem, Manager of managers fund

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