Institutional investment management: An investor's perspective on the relation between turnover and performance
comunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8648
comunitat-uji-handle3:10234/8649
comunitat-uji-handle4:
INVESTIGACIONMetadata
Title
Institutional investment management: An investor's perspective on the relation between turnover and performanceDate
2018-01Publisher
Taylor & FrancisBibliographic citation
DE MINGO-LÓPEZ, Diego Víctor; MATALLÍN-SÁEZ, Juan Carlos. Institutional investment management: An investor’s perspective on the relation between turnover and performance. Investment Analysts Journal, 2018, 1-14.Type
info:eu-repo/semantics/articlePublisher version
https://www.tandfonline.com/doi/abs/10.1080/10293523.2017.1414370Version
info:eu-repo/semantics/acceptedVersionSubject
Abstract
The main aim of this study is to analyse the relationship between turnover and performance in institutional investment management. For a sample of US equity mutual funds during the period January 1999–December 2014, ... [+]
The main aim of this study is to analyse the relationship between turnover and performance in institutional investment management. For a sample of US equity mutual funds during the period January 1999–December 2014, we show that high-turnover funds do not beat low-turnover funds, since their performances are no different, or even significantly lower. Moreover, we show that investing in past high-turnover mutual funds provides investors with significantly worse results than investing in previously low-turnover funds. Investors aiming to enhance their risk-adjusted returns should therefore consider the turnover ratio level in their fund investment decisions. [-]
Investigation project
Ministerio de Economía y Competitividad [ECO2014-55221-P] ; Universitat Jaume I [PREDOC-2014-04]Rights
Copyright © 2018 Taylor & Francis
http://rightsstatements.org/vocab/InC/1.0/
info:eu-repo/semantics/openAccess
http://rightsstatements.org/vocab/InC/1.0/
info:eu-repo/semantics/openAccess
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