Chen, H. Y., Yang, S. L., Chang, C. C., and Chen, W. R. 2014. Relationship between Fund Performance Attribution and Fund Flows. NTU Management Review, 24 (2): 283-308. https://doi.org/10.6226/NTURM2014.AUG.R11037
Hsien-Yi Chen, Professor, Department of Finance, Asia University
Shu-Ling Yang, Associate Professor, Department of Distribution Management, National Taichung University of Science and Technology
Chong-Chuo Chang, Associate Professor, Department of Finance, Asia University
Wan-Rung Chen, Master, Department of Finance, Asia University
Abstract
This paper investigates the performance attribution of mutual funds and the effects of fund flows on the operational capability of fund managers. We observed Taiwanese equity funds between July 1993 and June 2011 and found that the performance attribution analysis of Taiwanese equity funds is characterized by their stock-picking and style-investing ability, but not their timing ability. Fund flows have a significant and positive correlation with future style investing ability of fund managers and future fund performance. These findings indicate that when fund size is extended, fund managers do not seek additional investment targets. In contrast, they attempt to retain the style setting of the original portfolio and increase the investment size in style stocks. This evidence is consistent with the viewpoints of Pollet and Wilson (2008) and Cremers and Petajisto (2009).
Keywords
performance attributionstyle investmentfund flows