We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Management of flow risk in mutual funds.
- Authors
Rohleder, Martin; Schulte, Dominik; Wilkens, Marco
- Abstract
This paper is the first to relate the investment practices of U.S. equity mutual funds to their management of flow risk, defined as the adverse effect of investor in- and outflows on fund performance. Using a comprehensive merged sample of 2585 actively managed U.S. domestic equity funds from the CRSP mutual fund database and the SEC's regulatory N-SAR filings, we are the first to detect differences in funds' responses to flow risk. We find that funds using derivatives, such as options and futures on indices as well as individual stocks, have higher performance than non-using funds. We further show that this outperformance is the result of superior flow risk management using these derivatives and not a result of derivatives based stock-picking or market-timing activities. Overall, our findings document that superior flow management ability is valuable when managing open-end mutual funds and should be considered by investors and researches when evaluating fund performance.
- Subjects
UNITED States; INVESTMENTS; FINANCIAL management; MUTUAL funds; RISK management in business
- Publication
Review of Quantitative Finance & Accounting, 2017, Vol 48, Issue 1, p31
- ISSN
0924-865X
- Publication type
Article
- DOI
10.1007/s11156-015-0541-1