Articles from Cass Knowledge

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