Mutual Fund Performance and Performance Persistence

1. Front Matter

   Pages i-xxiv

   PDF

2. Introduction

   1. Introduction

      • Peter Lückoff

      Pages 1-10

3. Delegated Portfolio Management

   1. Institutional Setting

      • Peter Lückoff

      Pages 11-75

   2. Agency Conflicts

      • Peter Lückoff

      Pages 77-133

4. Investment Performance

   1. Performance Measurement

      • Peter Lückoff

      Pages 135-242

   2. Dynamic Aspects of Mutual Fund Performance

      • Peter Lückoff

      Pages 243-326

5. Empirical Study

   1. Objectives, Data and Methodology

      • Peter Lückoff

      Pages 327-346

   2. Performance Persistence

      • Peter Lückoff

      Pages 347-408

   3. Fund Flows and Manager Changes as Equilibrium Mechanisms

      • Peter Lückoff

      Pages 409-475

   4. Time Effects, Extreme Flows and Capacity Constraints

      • Peter Lückoff

      Pages 477-507

6. Back Matter

   Pages 509-588

   PDF

Superior investment performance is the ultimate objective of mutual fund investors. However, past fund performance is no reliable indicator of future performance. Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels. These results have important implications for investors, investment management companies and even regulators.

• Bayesian econometrics
• agency conflicts
• asset management
• capacity constraints
• factor models

"Eine interessante Lektüre mit neuen Erkenntnissen sowohl für Akademiker als auch Investoren." Absolut report, 4-2012

Dr. Peter Lückoff was a research associate at the Center for Finance and Banking at the University of Giessen (Professor Wolfgang Bessler), a junior research fellow at the Pensions Institute of Cass Business School, London, and a visiting research fellow at Exeter University Business School.

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