The determinants of the convexity in the flow-performance relationship

Fu, R; Navone, M; Pagani, M; Pantos, TD

The determinants of the convexity in the flow-performance relationship

Fu, R Navone, M

Pagani, M Pantos, TD

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Publisher:: Institutional Investor
Publication Type:: Journal Article
Citation:: Journal of Index Investing, 2012, 3 (2), pp. 81 - 95
Issue Date:: 2012-01

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Field	Value	Language
dc.contributor.author	Fu, R	en_US
dc.contributor.author	Navone, M https://orcid.org/0000-0002-6273-1808	en_US
dc.contributor.author	Pagani, M	en_US
dc.contributor.author	Pantos, TD	en_US
dc.date.issued	2012-01	en_US
dc.identifier.citation	Journal of Index Investing, 2012, 3 (2), pp. 81 - 95	en_US
dc.identifier.issn	2154-7238	en_US
dc.identifier.uri	http://hdl.handle.net/10453/22658
dc.description.abstract	There is substantial evidence that the flow-performance relationship of mutual funds is convex. The authors empirically investigate the determinants of such convexity. In particular, they study how fund fees (for example, marketing and nonmarketing fees) and the uncertainty related to the replacement option of fund production factors (investment strategies and managerial ability) impact the convexity of the flow-performance relationship. The evidence suggests that marketing fees are positively related to the convexity of the flow-performance relationship. Nonmarketing fees appear to have a negative impact on this convexity. Consistent with investment restrictions being relevant in explaining investors allocation decisions, sector and index funds exhibit lower convexity in their flow-performance relationship than respectively diversified and non-index funds. Finally, the dispersion of managerial abilities within a mutual fund segment is associated with higher convexity in the flow-performance relationship	en_US
dc.publisher	Institutional Investor	en_US
dc.relation.ispartof	Journal of Index Investing	en_US
dc.title	The determinants of the convexity in the flow-performance relationship	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	3	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	2	en_US
pubs.volume	3	en_US

Abstract:

There is substantial evidence that the flow-performance relationship of mutual funds is convex. The authors empirically investigate the determinants of such convexity. In particular, they study how fund fees (for example, marketing and nonmarketing fees) and the uncertainty related to the replacement option of fund production factors (investment strategies and managerial ability) impact the convexity of the flow-performance relationship. The evidence suggests that marketing fees are positively related to the convexity of the flow-performance relationship. Nonmarketing fees appear to have a negative impact on this convexity. Consistent with investment restrictions being relevant in explaining investors allocation decisions, sector and index funds exhibit lower convexity in their flow-performance relationship than respectively diversified and non-index funds. Finally, the dispersion of managerial abilities within a mutual fund segment is associated with higher convexity in the flow-performance relationship

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http://hdl.handle.net/10453/22658