The Relation between Past Flows and Future Performance: Simple Investment Strategies in the Mutual Fund Sector

International Journal of Financial Studies

Martin Rohleder¹ 

[1] Faculty of Business and Economics, University of Augsburg, Universitaetsstrasse 16, 86159 Augsburg, Germany; E-Mail

关键词: mutual fund performance;    fund flows;    trading strategies;   

DOI  :  10.3390/ijfs3010003

来源: mdpi

【 摘 要 】

In the mutual fund literature, it is an established fact that investors “chase past performance”. However, the opposite impact of flows on performance is widely discussed. Mainly, liquidity costs are held responsible for short-term erosion of performance, while high inflows enhance performance over longer horizons. I investigate this relation for various groups of equity, bond, and money market funds and find significant outperformance in high inflow funds over several months, especially for specific bond fund groups. In addition, I test whether this information can be exploited using simple investment strategies but find that the abnormal returns are too low to offset associated costs.

【 授权许可】

CC BY   
© 2015 by the authors; licensee MDPI, Basel, Switzerland.