RT Journal Article
SR Electronic
T1 Performance and Characteristics of Actively Managed Institutional Equity Mutual Funds
JF The Journal of Investing
FD Institutional Investor Journals
SP 27
OP 44
DO 10.3905/JOI.2009.18.1.027
VO 18
IS 1
A1 H. Kent Baker
A1 John A Haslem
A1 David M Smith
YR 2009
UL https://pm-research.com/content/18/1/27.abstract
AB We investigate the relation between the performance and characteristics of 1,118 domestic, actively managed institutional equity mutual funds. We find evidence in a univariate analysis that expense ratio class is an important determinant of performance, and the results are significant in a multivariate setting using only Miller’s active alpha as a performance metric. The regression results show that larger institutional equity funds and those with greater cash holdings tend to perform better. We obtain mixed results involving the role of turnover, beta, and dividend yield as related to performance. Our evidence also shows that expense ratios and fund asset size are characteristics distinguishing the performance between institutional funds and retail funds. Finally, for both institutional funds and retail funds, a positive relation exists between a higher percentage of cash held and better fund performance.TOPICS:Performance measurement, mutual fund performance, equity portfolio management