SSE/EFI Working Paper Series in Economics and Finance
Investment Strategies, Fund Performance and Portfolio Characteristics
Abstract: This paper studies the relation between fund performance
and the fund manager's investment strategy, which is based on the
characteristics of the portfolio. The results show that neither momentum
characteristics nor the valuation of stocks can explain differences in fund
performance. However, the paper finds a negative firm-size effect that
partly explains previous findings of a negative fund-size effect. Moreover,
the results show a positive relation between performance and the degree of
diversification within the fund portfolio. However, diversification by
including non-listed stocks does not enhance performance.
Keywords: Diversification; Portfolio Evaluation; Investment Strategies; Momentum; (follow links to similar papers)
JEL-Codes: G11; G12; G23; (follow links to similar papers)
28 pages, January 28, 2004
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