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Mutual Fund Performance: Evidence from the UK

Author

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  • David Blake
  • Allan Timmermann

Abstract

This paper uses a large sample containing the complete return histories of 2300UK openended mutual funds over a 23-year period to measure fund performance. We find some evidence of underperformance on a risk-adjusted basis by the average fund manager, persistenceof performance and the existence of a substantial survivor bias. Similar findings have been reported for US equity mutual funds. New findings not previously documented for other markets include evidence that mutual fund performance varies substantially across different asset categories, especially foreign asset categories. We also identify some new patterns in performance related to the funds' distance from their inception and termination dates: underperformance intensifies as the fund termination date approaches, while, in contrast, there is some evidence that funds (weakly) outperform during their first year of existence.

Suggested Citation

  • David Blake & Allan Timmermann, 1998. "Mutual Fund Performance: Evidence from the UK," Review of Finance, European Finance Association, vol. 2(1), pages 57-77.
  • Handle: RePEc:oup:revfin:v:2:y:1998:i:1:p:57-77.
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    File URL: http://hdl.handle.net/10.1023/A:1009729630606
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    Citations

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    Cited by:

    1. Amporn SOONGSWANG & Yosawee SANOHDONTREE, 2011. "Equity Mutual Fund: Performances, Persistence and Fund Rankings," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, vol. 1(6), pages 1-27, October.
    2. S. M. Aamir Shah & Syed Tahir Hijazi, 2005. "Performance Evaluation of Mutual Funds in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 44(4), pages 863-876.
    3. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2008. "UK mutual fund performance: Skill or luck?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 613-634, September.
    4. Michael Busack & Wolfgang Drobetz & Jan Tille, 2017. "Can investors benefit from the performance of alternative UCITS funds?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 69-111, February.
    5. Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa, 2016. "UK equity mutual fund alphas make a comeback," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 98-110.
    6. repec:eee:ecofin:v:42:y:2017:i:c:p:654-667 is not listed on IDEAS
    7. repec:eee:riibaf:v:41:y:2017:i:c:p:600-612 is not listed on IDEAS
    8. Jonathan Fletcher & David Forbes, 2002. "U.K. Unit Trust Performance: Does it Matter Which Benchmark or Measure is Used?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 21(3), pages 195-218, June.
    9. Jonathan Fletcher & Andrew Marshall, 2005. "The Performance of UK International Unit Trusts," European Financial Management, European Financial Management Association, vol. 11(3), pages 365-386.
    10. repec:eco:journ1:2017-05-43 is not listed on IDEAS
    11. Bredin, Don & Cuthbertson, Keith & Nitzsche, Dirk & Thomas, Dylan C., 2014. "Performance and performance persistence of UK closed-end equity funds," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 189-199.
    12. repec:pal:assmgt:v:17:y:2016:i:3:d:10.1057_jam.2016.4 is not listed on IDEAS
    13. Yoshikatsu Shinozawa, 2007. "The Effect of Organisational Form on Investment Products: an empirical analysis of the UK unit trust industry," Corporate Governance: An International Review, Wiley Blackwell, vol. 15(6), pages 1244-1259, November.
    14. Cuthbertson, Keith & Nitzsche, Dirk, 2013. "Performance, stock selection and market timing of the German equity mutual fund industry," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 86-101.
    15. Abramov, Alexander & Akshentseva, Kseniya & Radygin, Alexander, 2015. "The effectiveness of mutual funds: theoretical approaches and the experience of Russia," Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 4, pages 60-86.
    16. repec:eee:riibaf:v:42:y:2017:i:c:p:1467-1477 is not listed on IDEAS

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