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

Zhang, Zhichao; Ding, Li; Zhou, Si; Fu, Yaoyao

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

Zhang, Zhichao; Ding, Li; Zhou, Si; Fu, Yaoyao

Authors

Dr Zhichao Zhang zhichao.zhang@durham.ac.uk
Assistant Professor

Dr Li Ding li.ding@durham.ac.uk
Associate Professor

Si Zhou

Yaoyao Fu

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.

Citation

Zhang, Z., Ding, L., Zhou, S., & Fu, Y. (2014). Fund Family Tournament and Performance Consequences: Evidence from the UK Fund Industry. Multinational finance journal, 18(1/2), 43-84

Journal Article Type	Article
Acceptance Date	Feb 10, 2014
Online Publication Date	Mar 31, 2014
Publication Date	Mar 1, 2014
Deposit Date	Feb 17, 2014
Publicly Available Date	Apr 29, 2014
Journal	Multinational finance journal : MF : quarterly publication of the Multinational Finance Society.
Print ISSN	1096-1879
Publisher	Multinational Finance Society
Peer Reviewed	Peer Reviewed
Volume	18
Issue	1/2
Pages	43-84
Keywords	Mutual fund family, Fund performance, Tournament, Risk taking.
Public URL	https://durham-repository.worktribe.com/output/1438013
Publisher URL	http://www.mfsociety.org/modules/modDashboard/uploadFiles/journals/googleScholar/862.html