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

Kenneth Hogholm, Johan Knif (), Gregory Koutmos and Seppo Pynnonen
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Kenneth Hogholm: Hanken School of Economics, Finland
Johan Knif: Hanken School of Economics, Finland
Gregory Koutmos: Fairfield University, USA
Seppo Pynnonen: University of Vaasa, Finland

Multinational Finance Journal, 2017, vol. 21, issue 1, 1-20

Abstract: 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.

Keywords: asymmetric fund performance; european equity funds; US equity funds (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:21:y:2017:i:1:p:1-20

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