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Asymmetric Fund Performance Characteristics A Comparison of European and US Large-Cap Funds

Author

Listed:
  • Kenneth Hogholm

    (Hanken School of Economics, Finland)

  • Johan Knif

    (Hanken School of Economics, Finland)

  • Gregory Koutmos

    (Fairfield University, USA)

  • Seppo Pynnonen

    (University of Vaasa, Finland)

Abstract

The paper focuses on asymmetric fund performance by comparing performance characteristics of European and US large-cap mutual equity funds. The quantile approach applied enables the monitoring of fund performance across different conditional outcome scenarios. For the sample of 31 European and 35 US large-cap mutual equity funds the performance is found to be sensitive to the empirical estimation approach applied. Furthermore, the performance alphas exhibit asymmetry across the conditional return distribution. This asymmetric performance behavior might be utilized for the construction of a portfolio of funds with suitable hedge characteristics. A large part of the US individual funds significantly underperforms the benchmark, especially in the lower tail of the conditional distribution. A few of the European funds, on the other hand, exhibit significant and positive performance alphas in the lower tail of the conditional return distribution.

Suggested Citation

  • Kenneth Hogholm & Johan Knif & Gregory Koutmos & Seppo Pynnonen, 2017. "Asymmetric Fund Performance Characteristics A Comparison of European and US Large-Cap Funds," Multinational Finance Journal, Multinational Finance Journal, vol. 21(1), pages 1-20, March.
    • Handle: RePEc:mfj:journl:v:21:y:2017:i:1:p:1-20
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    References listed on IDEAS

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    1. Dariusz FILIP, 2020. "Are Fund Attributes Risk Drivers? Evidence for the Polish Mutual Funds," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 22-36, March.

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