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Journal of International Financial Markets, Institutions & Money
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Journal of International Financial Markets, Institutions & Money
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66
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The size of this market is very roughly estimated to be around USD 3.8 trillion, already over half of the notional size of the hedge fund industry (AUM plus leverage), and growing quickly in the last two years. Structured products are passive in nature (unlike hedge fund active styles), and focus on providing returns (for different risk profiles of clients) with some element of capital guarantee. Constant proportion portfolio insurance (CPPI) is one of the popular new- generation techniques. These products have not been tested when major anomalies in volatility arise. They are highly exposed to downward price gaps in. | Int. Fin. Markets Inst. and Money 20 2010 197-211 Contents lists available at ScienceDirect Journal of International Financial Markets Institutions Money journal homepage www.elsevier.com locate intfin Management team structure and mutual fund performance Iordanis Karagiannidis Eli Broad Graduate School of Management Michigan State University 315 Eppley Center East Lansing MI 48824 USA ARTICLE INFO ABSTRACT Article history Received 12 October 2009 Accepted 18 October 2009 Available online 27 October 2009 JEL classification G23 L25 M12 Keywords Mutual funds Team-manager Single-manager Performance We investigate the relationship between performance and portfolio management team structure of open-end mutual funds during 1997-2004. We first analyze differences in performance and risk taking between single-manager and multiple-manager mutual funds and find that the latter underperform the single-manager funds in terms of risk-adjusted returns during the 2001-2004 bear market. This underperformance is more evident among growth-oriented funds. There are no differences observed in the 1997-2000 bull market. Not all multiple-manager funds however are managed by pure teams. When we compare the performance of single-manager and pure-team funds we do not find any differences in performance. The underperformance of multiple-manager funds documented in previous studies comes from multiple-manager funds that employ many investment advisors and therefore their exact management structure is unknown. We also document differences in management structure reporting between Morningstar and CRSP. 2009 Elsevier B.V. All rights reserved. 1. Introduction The U.S. mutual fund industry has grown dramatically in the past decade. From 2.8 trillion in 1995 assets under management rose to a record-breaking 8.1 trillion in 2004 ICI 2005a . As the scale of the mutual fund industry has changed so have the funds themselves. For example funds have introduced additional share classes to attract more .
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