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Investment Strategies, Fund Performance and Portfolio Characteristics

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  • Engström, Stefan

    () (Dept. of Finance, Stockholm School of Economics)

Abstract

This paper studies the relation between fund performance and the fund manager's investment strategy, which is based on the characteristics of the portfolio. The results show that neither momentum characteristics nor the valuation of stocks can explain differences in fund performance. However, the paper finds a negative firm-size effect that partly explains previous findings of a negative fund-size effect. Moreover, the results show a positive relation between performance and the degree of diversification within the fund portfolio. However, diversification by including non-listed stocks does not enhance performance.

Suggested Citation

  • Engström, Stefan, 2004. "Investment Strategies, Fund Performance and Portfolio Characteristics," SSE/EFI Working Paper Series in Economics and Finance 554, Stockholm School of Economics.
  • Handle: RePEc:hhs:hastef:0554
    as

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    File URL: http://swopec.hhs.se/hastef/papers/hastef0554.pdf
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    References listed on IDEAS

    as
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    5. Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 2000. "Performance and Characteristics of Swedish Mutual Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(03), pages 409-423, September.
    6. Elton, Edwin J, et al, 1993. "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 1-22.
    7. Conrad, Jennifer & Kaul, Gautam, 1998. "An Anatomy of Trading Strategies," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 489-519.
    8. Grinblatt, Mark & Titman, Sheridan & Wermers, Russ, 1995. "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior," American Economic Review, American Economic Association, vol. 85(5), pages 1088-1105, December.
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    More about this item

    Keywords

    Diversification; Portfolio Evaluation; Investment Strategies; Momentum;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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