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Mutual fund investment strategies, styles and performance

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thesis
posted on 28.03.2022, 02:44 authored by Camille Hazel Schmidt
The overall aim of this thesis is to investigate a variety of investment strategies and styles which mutual funds may employ, and the performance outcomes derived from implementation of such processes. It provides information relevant to institutional investors, advisors and market participants. The key information sources used for this research are secondary data providers, the academic literature, and academic and industry professionals. The purpose of this thesis is to provide information to guide decision-makers when constructing active equity portfolios by determining evidence as to the profitability of various investment approaches in Australia, the United States and globally. Motivation for this thesis is derived from the ongoing active versus passive management debate and the fact that the mutual fund industry is substantial in terms of the value of assets under management. Furthermore, all four research essays comprised within this thesis are driven by the desire to contribute to the academic literature. In particular, this thesis comprises original research which contributes to the literature on quality investing, style timing and global equity funds. The first study “Portfolio Quality and Mutual Fund Performance” shows that US stocks and funds characterised by higher ‘quality’ provide downside protection during market downturns, although they do not generate outperformance on average. My second study “Quality Investing in an Australian Context” is an Australian application of the quality analysis, which shows that, in contrast to the US research, high quality stocks and funds outperform on average as well as during stressful market periods. In the third study, “Style Factor Timing: An Application to the Portfolio Holdings of US Fund Managers”, I show that a style timing investment strategy using forecasts based on macroeconomic data is profitable at the stock level, however not at the mutual fund-of-fund level. Finally, in the fourth study, “Global Equity Fund Performance”, a market-adjusted performance attribution shows that active global equity funds exhibit stock selection skill on average, whilst country selection ability is primarily found in emerging market regions. Furthermore, after controlling for size, book-to-market and momentum effects, the funds do not generate excess returns on average; however evidence of performance persistence is determined. Finally, some evidence that managers who are more style consistent outperform, is detected.

History

Table of Contents

1. Introduction -- 2. Portfolio quality and mutual fund performance -- 3. Quality investing in an Australian context -- 4. Style factor timing: an application to the portfolio holdings of US fund managers -- 5. Global equity fund performance -- 6. Conclusions and future research directions.

Notes

A thesis submitted in fulfilment of the requirements for the degree of Doctor of Philosophy" Bibliography: pages 271-289 "31st January 2014

Awarding Institution

Macquarie University

Degree Type

Thesis PhD

Degree

PhD, Macquarie University, Macquarie Graduate School of Management (MGSM)

Department, Centre or School

Macquarie Graduate School of Management

Year of Award

2014

Principal Supervisor

David Gallagher

Additional Supervisor 1

Peter Gardner

Rights

Copyright Camille Hazel Schmidt 2014. Copyright disclaimer: http://mq.edu.au/library/copyright

Language

English

Extent

1 online resource (289 pages) illustrations

Former Identifiers

mq:52998 http://hdl.handle.net/1959.14/1131897