This paper investigates the reasons for the lack of long-term persistence in the investment performance of actively managed equity mutual funds. We document that the responses of investors, fund managers, and investment management companies to past performance affect future performance....

In this paper, we investigate the profitability of characteristics-based mutual fund investment strategies. We analyze the existence of capacity effects on the individual fund level and its interactions with fund flows, family TNA, and family size. Recent studies suggest the existence of...

Two new methodologies are introduced to improve inference in the evaluation of mutual fund performance against benchmarks. First, the benchmark models are estimated using panel methods with both fund and time effects. Second, the non-normality of individual mutual fund returns is accounted for...

We compare two bootstrap methods for assessing mutual fund performance. Kosowski, Timmermann, Wermers and White (2006) produces narrow confidence intervals due to pooling over time, while Fama and French (2010) produces wider confidence intervals because it preserves the cross-correlation of...

We compare two bootstrap methods for assessing mutual fund performance. Kosowski, Timmermann, Wermers and White (2006) produces narrow confidence intervals due to pooling over time, while Fama and French (2010) produces wider confidence intervals because it preserves the cross-correlation of...

The past few decades have seen a major shift from centralized to decentralized investment management by pension fund sponsors, despite the increased coordination problems that this brings. Using a unique, proprietary dataset of pension sponsors and managers, we identify two secular...

The purpose of this report is very specific: to stimulate debate about the proposal by the UK government to end the mandatory requirement to purchase annuities in pension schemes as formally announced in the Budget Statement on 22 June 2010

This report ‘Ending compulsory annuitisation: Quantifying the consequences' is intended to provide a quantitative assessment of the issues raised in our earlier report. ‘Ending compulsory annuitisation: What are the consequences?' published in July 2010. We also provide policy...

Cluster analysis is used to identify homogeneous groups of members of USS in terms of risk attitudes. There are two distinct clusters of members in their 40s and 50s. One had previously ‘engaged' with USS by making additional voluntary contributions. It typically had higher pay, longer tenure,...

We document a positive relation between network centrality and risk-adjusted performance in a delegated investment management setting. More connected managers take more portfolio risk and receive higher investor flows, consistent with these managers improving their ability to exploit investment...