Fund Family Tournament and Performance Consequences: Evidence from the UK Fund Industry

Zhang, Zhichao; Ding, Li; Zhou, Si; Fu, Yaoyao

Abstract

By applying tournament analysis to the UK Unit Trusts data, the results support significant risk shifting in the family tournament; i.e. interim winning managers tend to increase their level of risk exposure more than losing managers. It also shows that the risk-adjusted returns of the winners outperform those of the losers following the risk taking, which implies that risk altering can be regarded as an indication of managers’ superior ability. However, the tournament behaviour can still be a costly strategy for investors, since winners can be seen to beat losers in the observed returns due to the deterioration in the performance of their major portfolio holdings.

Citation

Zhang, Z., Ding, L., Zhou, S., & Fu, Y. (2014). Fund Family Tournament and Performance Consequences: Evidence from the UK Fund Industry. Multinational finance journal, 18(1/2), 43-84

• Journal Article Type: Article
• Acceptance Date: Feb 10, 2014
• Online Publication Date: Mar 31, 2014
• Publication Date: Mar 1, 2014
• Deposit Date: Feb 17, 2014
• Publicly Available Date: Apr 29, 2014
• Journal: Multinational finance journal : MF : quarterly publication of the Multinational Finance Society.
• Print ISSN: 1096-1879
• Publisher: Multinational Finance Society
• Peer Reviewed: Peer Reviewed
• Volume: 18
• Issue: 1/2
• Pages: 43-84
• Keywords: Mutual fund family, Fund performance, Tournament, Risk taking.
• Public URL: https://durham-repository.worktribe.com/output/1438013
• Publisher URL: http://www.mfsociety.org/modules/modDashboard/uploadFiles/journals/googleScholar/862.html