Original scientific paper
https://doi.org/10.1080/1331677X.2019.1696695
Influences on mutual fund performance: comparing US and Europe using qualitative comparative analysis
J. Edward Graham
Carlos Lassala
Belén Ribeiro Navarrete
Abstract
This study examines the conditions that lead mutual funds to
underperform or outperform competitors. Using fuzzy-set qualitative
comparative analysis (fsQCA), we draw upon extensive
research on fund returns to affirm and extend earlier discoveries.
Fund performance (Morningstar ratings), features of the funds
themselves, and characteristics of the fund managers are considered.
Positive Morningstar star and analyst ratings are necessary
conditions for funds to generate value (measured by Jensen’s
alpha). Funds with low management fees and low ongoing fees
have attractive Sharpe ratios and high returns. Likewise, large
funds with good Morningstar ratings have good Sharpe ratios
and returns, often when fund managers have short tenures.
Keywords
fsQCA; fund features; fund manager characteristics; Morningstar ratings; mutual fund performance
Hrčak ID:
254699
URI
Publication date:
9.2.2021.
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