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http://hdl.handle.net/10419/56119
  
Title:Investment strategies, fund performance and portfolio characteristics PDF Logo
Authors:Engström, Stefan
Issue Date:2004
Series/Report no.:SSE/EFI Working Paper Series in Economics and Finance 554
Abstract:This paper studies the relation between fund performance and the fund manager's investment strategy, which is based on the characteristics of the portfolio. The results show that neither momentum characteristics nor the valuation of stocks can explain differences in fund performance. However, the paper finds a negative firm-size effect that partly explains previous findings of a negative fund-size effect. Moreover, the results show a positive relation between performance and the degree of diversification within the fund portfolio. However, diversification by including non-listed stocks does not enhance performance.
Subjects:Diversification
Portfolio Evaluation
Investment Strategies
Momentum
JEL:G11
G12
G23
Document Type:Working Paper
Appears in Collections:SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics

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