Actively Managed Mutual Fund Holdings and Fund Performance

I examine mutual fund performance using three different perspectives. I begin with Mutual Fund Holdings Batting Average, in which I analyze mutual fund performance through the creation of a new variable using funds’ stock holdings information. My results show that this new variable, Holdings Batting Average, is related to the future performance of managers. My next chapter, Quarterly Mutual Fund Holdings Information and Window Dressing examines two different approaches of using holdings information. I recommend that fund holdings reported at the beginning of the quarter are more related to actual mutual fund performance than holdings disclosed at the end of the quarter. In my last chapter, Morningstar’s Upside and Downside Capture Ratios¸ I test these two ratios that are being reported by Morningstar. I find that these measures do not predict outperformance, but appear to be related to future fund flows.

Name thesis:degree_name

Doctor of Philosophy

Level thesis:degree_level

Campus Only Dissertation

Discipline thesis:degree_discipline

Business Administration

Year

2016

Author dc:creator

• Marlo, Timothy M.

Contributors dc:contributor

• Peterson, Mark

• Morningstar
• Mutual Fund
• Performance measurement
• Portfolio holdings
• Portfolio management
• Stock picking

Repository record dc:identifier

https://opensiuc.lib.siu.edu/dissertations/1231

OAI identifier oai:identifier

oai:opensiuc.lib.siu.edu:dissertations-2235