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The Determinants of the Convexity in the Flow-Performance Relationship

Richard Fu, Marco Navone, Marco Pagani and Themis D. Pantos
The Journal of Beta Investment Strategies Fall 2012, 3 (2) 81-95; DOI: https://doi.org/10.3905/jii.2012.3.2.081
Richard Fu
is an assistant professor of finance at the University of Alabama at Birmingham in Birmingham, AL.
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  • For correspondence: richardfu@uab.edu
Marco Navone
is a senior lecturer for the Finance Discipline Group at the UTS Business School at the University of Technology–Sydney in Sydney, Australia.
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  • For correspondence: marco.navone@uts.edu.au
Marco Pagani
is an assistant professor of finance for the Accounting and Finance Department at San José State University in San José, CA.
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  • For correspondence: marco.pagani@sjsu.edu
Themis D. Pantos
is the Bridge Bank Chair of Banking and Financial Services at San José State University in San José, CA.
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  • For correspondence: themistoclis.pantos@sjsu.edu
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Abstract

There is substantial evidence that the flow-performance relationship of mutual funds is convex. The authors empirically investigate the determinants of such convexity. In particular, they study how fund fees (for example, marketing and nonmarketing fees) and the uncertainty related to the replacement option of fund production factors (investment strategies and managerial ability) impact the convexity of the flow-performance relationship. The evidence suggests that marketing fees are positively related to the convexity of the flow-performance relationship. Nonmarketing fees appear to have a negative impact on this convexity. Consistent with investment restrictions being relevant in explaining investors’ allocation decisions, sector and index funds exhibit lower convexity in their flow-performance relationship than respectively diversified and non-index funds. Finally, the dispersion of managerial abilities within a mutual fund segment is associated with higher convexity in the flow-performance relationship.

TOPICS: Mutual fund performance, passive strategies, manager selection, statistical methods

  • © 2012 Pageant Media Ltd
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The Journal of Index Investing: 3 (2)
The Journal of Beta Investment Strategies
Vol. 3, Issue 2
Fall 2012
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The Determinants of the Convexity in the Flow-Performance Relationship
Richard Fu, Marco Navone, Marco Pagani, Themis D. Pantos
The Journal of Beta Investment Strategies Aug 2012, 3 (2) 81-95; DOI: 10.3905/jii.2012.3.2.081

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The Determinants of the Convexity in the Flow-Performance Relationship
Richard Fu, Marco Navone, Marco Pagani, Themis D. Pantos
The Journal of Beta Investment Strategies Aug 2012, 3 (2) 81-95; DOI: 10.3905/jii.2012.3.2.081
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