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

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.