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Time-varying flow-performance sensitivity and investor sophistication

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Abstract

We examine how investment advisors guide the decision-making process of mutual fund investor clienteles by comparing the flow-performance sensitivity of no-load funds and the three main classes of load fund shares, conditional on the state of the market and on fund-specific non-linear and asymmetric return patterns. Our results indicate that the association between flows and returns is different across mutual fund share classes and conclusions regarding the simple association between fund flows and performance change when more complex return patterns are incorporated into the analysis.

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Notes

  1. I There are other classes, such as those available only to institutional investors or through retirement plans, but the categories are not standardized for the industry and are therefore excluded from this study.

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Authors and Affiliations

  1. Finance & Real Estate Department, University of Texas at Arlington, 701 S. West St.-Suite 434, P.O. Box 19449, Arlington TX, 76010

    David Rakowski

Authors
  1. Steve Nenninger
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  2. David Rakowski
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Nenninger, S., Rakowski, D. Time-varying flow-performance sensitivity and investor sophistication. J Asset Manag 15, 333–345 (2014). https://doi.org/10.1057/jam.2014.32

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  • DOI: https://doi.org/10.1057/jam.2014.32

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