کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5088221 1478299 2017 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Actively managed mutual funds holding passive investments: What do ETF positions tell us about mutual fund ability?
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Actively managed mutual funds holding passive investments: What do ETF positions tell us about mutual fund ability?
چکیده انگلیسی
We provide the first in-depth examination of exchange-traded funds (ETFs) within actively managed mutual fund (AMMF) portfolios to better understand why AMMFs make substantial investments in passive ETFs. We examine the association between holding ETF positions and AMMF performance, as well as indirect measures of performance, including market timing, flow management, and cash holdings. We find that over one-third of AMMFs take an ETF position between 2004 and 2015. Our results indicate that AMMFs allocating large portions of their portfolio to ETFs perform worse, by between 0.41% and 1.63% annually using various performance measures. These AMMFs also exhibit worse market timing and hold more cash. In contrast, AMMFs that hold ETFs in small amounts have similar characteristics to non-user AMMFs. Therefore, the act of holding an ETF does not signal inferior ability, however, taking large ETF positions does.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 76, March 2017, Pages 48-64
نویسندگان
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