An examination of ex ante fund performance
Cass Business School research paper seeks to identify indicators of future performance.
Although the last twenty years has seen a substantial flow of money into indexed funds and exchange-traded funds, the vast majority of equity investment in mutual funds is still managed on a discretionary basis.
Academics at Cass Busines School have investigated whether variables exist that might give an indication of future benchmark-adjusted active performance, be it superior or inferior.
The results suggest that investors should avoid investing in, or 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.
The paper then suggests how this information might help investors make more informed fund choices.
A post-peer-review, pre-copyedit version of the paper An examination of ex ante fund performance: Identifying indicators of future performance can be requested at City Research Online. The definitive publisher-authenticated version is available online at Journal of Asset Management