Asymmetric Fund Performance Characteristics - A comparison of European and US Large-Cap Funds

Kenneth Högholm, Johan Knif, Gregory Koutmos, Seppo Pynnönen

Research output: Contribution to journalArticleScientificpeer-review

Abstract

The paper focuses on asymmetric fund performance by comparing
performance characteristics of European and US large-cap mutual equity funds.
The quantile approach applied enables the monitoring of fund performance
across different conditional outcome scenarios. For the sample of 31 European
and 35 US large-cap mutual equity funds the performance is found to be
sensitive to the empirical estimation approach applied. Furthermore, the
performance alphas exhibit asymmetry across the conditional return distribution.
This asymmetric performance behavior might be utilized for the construction of
a portfolio of funds with suitable hedge characteristics. A large part of the US
individual funds significantly underperforms the benchmark, especially in the
lower tail of the conditional distribution. A few of the European funds, on the
other hand, exhibit significant and positive performance alphas in the lower tail
of the conditional return distribution.
Original languageEnglish
Peer-reviewed scientific journalMultinational Finance Journal
Volume21
Issue number1
Pages (from-to)1-20
Number of pages20
ISSN1096-1879
Publication statusPublished - 24.09.2018
MoE publication typeA1 Journal article - refereed

Keywords

  • 512 Business and Management
  • asymmetric fund performance
  • european equity funds
  • US equity funds

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