The effects of fund commonality in mutual fund families on fund operating expenses and return correlations:
Evidence from U.S. equity mutual funds
DOI:
https://doi.org/10.61190/fsr.v25i1.3259Keywords:
Mutual fund family, Fund commonality, Fund operating expense, Fund return correlationAbstract
This article examines the effects of the commonality of mutual funds within a fund family, which is measured by common stock holdings and multi-fund management, on fund operating expenses and return correlations. For U.S. equity funds during the period of 2001–2006, we find that common stock holdings and multi-fund management are negatively related to fund operating expenses but positively related to the correlation of fund return residuals, which increases the correlation of fund returns. Additionally, we find that the fund commonalities can have negative net effects on risk-adjusted returns of a portfolio with equity funds that have different investment objectives.
Downloads
Downloads
Published
Issue
Section
License
Copyright (c) 2014 Academy of Financial Services
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Author(s) retain the copyright and full publishing rights without restriction.
Author(s) grant the Journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution-NonCommercial 4.0 International License that allows reusers to distribute, remix, adapt, and build upon the material in any medium or format, for noncommercial purposes only. Reusers must acknowledge the work's authorship and initial publication in this Journal.
Noncommercial means not primarily intended for or directed towards commercial advantage or monetary compensation.
In addition, FSR grants to the UGA Libraries a worldwide, non-exclusive license to all content published by the Journal, including metadata, that is necessary to publish, transmit, and index the Journal and to preserve its content over time.
