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Full-Text Articles in Business
Grades Matter In Performance: Morningstar Stewardship Grades And Mutual Fund Performance, Aurobindo Ghosh, Jeremy Goh, Wee Seng Ng
Grades Matter In Performance: Morningstar Stewardship Grades And Mutual Fund Performance, Aurobindo Ghosh, Jeremy Goh, Wee Seng Ng
Research Collection Lee Kong Chian School Of Business
Investors in mutual funds have the unenviable task of disentangling two mutually confounding effects. First, to fathom the future performance of the funds based on current evidence, and second, to assess how well the mutual fund managers will steward their investments under uncertain economic conditions. We corroborate the dependence of weighted risk-adjusted returns (viz. the Star Ratings) on corporate governance score (viz. Stewardship Grade) accounting for fund specific characteristics. We document Stewardship scores Granger cause Star Rating. We propose an objective data-driven corporate governance score based on the components of Stewardship Grade. Both the static and dynamic fixed-effects models show …
Mutual Fund Industry Selection And Persistence, Jeffrey A. Busse, Qing Tong
Mutual Fund Industry Selection And Persistence, Jeffrey A. Busse, Qing Tong
Research Collection Lee Kong Chian School Of Business
We analyze mutual fund industry selectivity — the performance of a fund’s industry allocation relative to the market. We find that industry selection accounts for a full third of fund performance based on two-digit SIC codes, with the remaining attributable to the performance of individual stocks relative to their own industries. We find that industry-selection skill drives persistence in relative performance, particularly over longer investment horizons. Unlike individual-stock-selection ability, industry selectivity is not eroded by increasing fund assets. Our results suggest that accounting for a manager’s ability to pick outperforming industries provides information beyond standard performance measures that can enhance …