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Influences on mutual fund performance: comparing US and Europe using qualitative comparative analysis

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  • J. Edward Graham
  • Carlos Lassala
  • Belén Ribeiro Navarrete

Abstract

This study examines the conditions that lead mutual funds to underperform or outperform competitors. Using fuzzy-set qualitative comparative analysis (fsQCA), we draw upon extensive research on fund returns to affirm and extend earlier discoveries. Fund performance (Morningstar ratings), features of the funds themselves, and characteristics of the fund managers are considered. Positive Morningstar star and analyst ratings are necessary conditions for funds to generate value (measured by Jensen’s alpha). Funds with low management fees and low ongoing fees have attractive Sharpe ratios and high returns. Likewise, large funds with good Morningstar ratings have good Sharpe ratios and returns, often when fund managers have short tenures.

Suggested Citation

  • J. Edward Graham & Carlos Lassala & Belén Ribeiro Navarrete, 2020. "Influences on mutual fund performance: comparing US and Europe using qualitative comparative analysis," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 33(1), pages 3049-3070, January.
    • Handle: RePEc:taf:reroxx:v:33:y:2020:i:1:p:3049-3070
    DOI: 10.1080/1331677X.2019.1696695
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    Cited by:

    1. Pedro Carmona & Alexandre Momparler & Francisco Climent, 2023. "A Fuzzy-Set Qualitative Comparative Analysis of Causal Configurations Influencing Mutual Fund Performance: The Role of Fund Manager Skill," Mathematics, MDPI, vol. 11(21), pages 1-23, October.

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