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

42 Pages Posted: 17 Jun 2015

See all articles by Zhichao Zhang

Zhichao Zhang

Durham University - Durham Business School

Li Ding

Durham Business School

Si Zhou

Shanghai University

Yaoyao Fu

Durham Business School

Multiple version iconThere are 2 versions of this paper

Date Written: June 16, 2015

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.

Keywords: mutual fund family, fund performance, tournament, risk taking

JEL Classification: G20, G23

Suggested Citation

Zhang, Zhichao and Ding, Li and Zhou, Si and Fu, Yaoyao, Fund Family Tournament and Performance Consequences: Evidence from the UK Fund Industry (June 16, 2015). Multinational Finance Journal, Vol. 18, No. 1/2, p. 43-84, 2014, Available at SSRN: https://ssrn.com/abstract=2619215

Zhichao Zhang

Durham University - Durham Business School ( email )

Mill Hill Lane
Durham, Durham DH1 3LB
United Kingdom

Li Ding

Durham Business School ( email )

Mill Hill Lane
Durham, Durham DH1 3LB
United Kingdom

Si Zhou (Contact Author)

Shanghai University ( email )

Room 522, Building 1,
Shanghai University,
Shanghai, Shanghai 20044
China

Yaoyao Fu

Durham Business School ( email )

Mill Hill Lane
Durham, Durham DH1 3LB
United Kingdom

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
35
Abstract Views
497
PlumX Metrics