In this dissertation I examine mutual fund performance from the points of view of three distinct, but interrelated parties: individual investors, financial advisors, and the boards of directors of mutual fund companies. In the first essay, "Comparing Fund Flow Sensitivity for Load and No-Load Funds Under Different Market States," I compare the flow-performance sensitivity of no-load funds and the three main classes of load fund shares, assuming investment advisors are more likely to guide the decision-making process of load fund investors. I find that load investors are more sensitive to raw fund return than are no-load investors. The flow to performance relation increases during good market states, but portfolios formed from the top performing funds after good market years actually tend to underperform during the following three years. In the second essay, "Mutual Fund Performance and Board Characteristics Relating to Manager Terminations," I examine the timing of the decision to replace fund managers. I find that while returns and flows improve for those funds which replace their managers, very similar improvement is found in funds which do not terminate their managers. However, for mutual fund boards which do choose to replace a poorly performing manager, stronger board governance characteristics are associated with a greater probability of early replacement. In the third essay, "Mutual Fund Performance in Extreme Market States," I examine performance of actively managed mutual funds separately for good and bad states of the market to test whether mutual funds perform differently under different market conditions. I find that the sample of funds performs 2.3 percentage points better in good states over bad on a risk adjusted basis. I also analyze the performance of mutual funds by assuming individual funds are part of a larger, more complete portfolio. The performance of the portfolios closely matches that of the individual funds.

Classical decision-making theory suggests that decisions made by an individual or a team of decision makers should lead to the same performance outcome. Conversely, behavioral decision-making theory argues that decisions made by teams result in superior micro or macro forecasts and performance outcomes. Our tests using mutual funds support the classical decision-making theory. The empirical results are time invariant and robust with respect to the selected index or model specification.

Kosowski, Timmermann, Wermers, and White (2006) find that certain growth-oriented fund managers have substantial skill but do not stipulate the particular skills that they possess. I use novel style timing models to examine in detail the timing skills of 3,181 US equity mutual funds classified as having a growth investment objective by Standard & Poor’s, over the period from 1993 to 2006. To control for idiosyncratic variation in mutual fund returns, the bootstrap method of Kosowski et al. is used to analyze the significance of alpha and timing coefficient estimates. To exclude the possibility that the observed timing ability is due to good luck, synthetic funds are examined as in Busse (1999). The results indicate that growth-oriented fund managers who earn abnormal returns demonstrate substantial growth timing skill, i.e. successful timing activity across the value/growth continuum. This observed growth timing ability accounts for at least 45% of abnormal returns and is persistent; the top 10% of funds which demonstrate growth timing ability in the past three years also demonstrate the best growth timing ability in the following year. Successful growth timing is confined to those managers who invest primarily in growth stocks. However, there is little evidence of successful market timing (i.e. forecasting future market states and weighting equity exposure accordingly), size timing (i.e. adjusting exposure between small and large capitalization stocks) or momentum timing (i.e. switching between momentum investing and contrarian investing strategies). The models employed clearly distinguish between growth timing and market timing skills, thereby avoiding a common misidentification problem.

This dissertation comprises two different financial essays. Essay 1, “An Applied Credit Score Model,” uses data from local credit union to predict the probability of default. Due to recent financial crisis regulation has been enacted that makes it essential to develop a probability of default model that will mitigate charge-off losses. Using discriminant analysis and logistic regression this paper will attempt to see how well credit score can predict probability of default. While credit score does an adequate job at classifying loans, misclassification of loans can be costly. Thus while credit score is a predictor, there is danger in relying solely on its information. Thus other variables are needed in order to more accurately be able to find the probability of default. Essay 2, “Christian Mutual Fund Performance,” draws attention to a much ignored type of funds, Christian mutual funds. The following questions are asked: How does Christian mutual fund perform compared to the market? Is there a difference in performance during recessions as indicated by literature? Is Christian mutual fund performance different than SRI funds? How do Catholic and Protestant fund perform? Looking at qualitative evidence, Christian mutual funds place much more importance on moral issue than SRI funds. Thus there is a clear difference in objectives and the type of screening that these two mutual fund pursue. Overall data reflects that screened data perform worse than the market, however during recession screened funds perform as well and at times better than the market. Christian mutual funds tends to perform worse than SRI funds.

O presente trabalho teve como objetivo principal identificar quais os fatores determinantes que afetam o desempenho dos Fundos de Previdência Renda Fixa na indústria brasileira de fundos, no período de janeiro 2005 a dezembro de 2011. A pesquisa em Fundos de Previdência aberta justifica-se na categoria Renda Fixa, pelos poucos estudos publicados, pelo crescimento contínuo da indústria de previdência aberta ao longo dos anos e pela ampliação das discussões sobre análise de desempenho e estilo de gestão nos fundos de Previdência Renda Fixa. A metodologia adotada identificou diferenças estatísticas significantes entre o desempenho dos fundos de Previdência Renda Fixa e os Fundos de Renda Fixa tradicionais, medidos nesse trabalho por meio de indicadores de desempenho e análise de estilo de gestão. A avaliação do desempenho dos fundos foi realizada por meio da aplicação de modelos quantitativos clássicos: Índice de Sharpe (1966) e Índice de Modigliani (1997). Posteriormente, para determinar os fatores de risco das carteiras dos fundos, foi utilizado o modelo proposto por Sharpe (1992), que ficou conhecido como Análise de Estilo Baseada no Retorno. Os resultados obtidos demonstram que os fundos de Previdência no período tiveram seus retornos abaixo dos retornos dos fundos de Renda fixa. A análise de estilo mostrou que os fundos de Previdência não concentram seus ativos vinculados à inflação, concentram-se mais em ativos financeiros atrelados à taxa de juros Selic. O desempenho dos Fundos de Previdência Renda Fixa indicou que, em todo o período estudado, os retornos dos fundos ficaram abaixo da taxa livre de risco, representada nesta pesquisa por 96% da taxa Selic. Revelou ainda que os fundos de previdência no período tiveram seus retornos abaixo dos retornos dos fundos de Renda Fixa. Foi realizado um estudo complementar sobre taxa de administração. Para os fundos de Renda Fixa, as taxas de administração foram reduzidas, no período, em média, para menos de 50%, enquanto os fundos de Previdência tiveram no mesmo período uma queda em torno de 20%. O retorno médio mensal dos fundos de Previdência que ficaram abaixo dos retornos dos fundos de Renda Fixa pode ser explicado, em parte, pela maior taxa de administração praticada. / This paper analyzes the performance of investment funds in Brazil, that are classified in the category of Pensions Provision Funds - Fixed Income Strategy (PPF-FIS), during the period of January 2005 to December 2011. There is scarce literature on this sub-field in Brazil, and the importance of this research is related to growing importance of PPF-FIS over the last years, and also to be a pioneer study in the analysis of performance and management style of them. The adopted methodology identified significant differences between the performance of traditional Fixed Income Funds and those PPF-FIS by means of performance indicators, and management style. Performance evaluation was done through the application of standard classical models like the Sharpe Ratio Index (1966), Modigliani Index (1997), and Return Based Style. The results showed that average returns of the PPF-FIS were below the average returns of traditional Fixed Income Funds. The style analysis of PPF-FIS´s portfolios showed them not concentrated on assets linked to inflation, but mostly to financial assets linked to the Selic Rate. The performance throughout the period was below the risk-free rate (measured as 96% of the Selic Rate), and in summary, the results show that PPF-FIS performed below the traditional Fixed Income Funds in terms of return. Other important achievement is related to administration fees that were reduced during the period by 50% in traditional Fixed Income Funds and by 20% in PPF-FIS. Higher administration fees are closely related to the poor performance of PPF-FIS compared to the traditional Fixed Income funds.

共同基金績效評量以夏普比率(Sharpe Ratio)最常被使用，但是由於夏普比率建構於常態分配的假設上，當基金報酬率不為常態時就可能產生偏誤。本文針對國內共同基金進行常態性檢定，發現基金報酬率分配呈現左偏、高狹峰的特質，並非常態分配，因此本文擷取風險值(VaR)衡量下方風險、又不需假設報酬率為常態分配的特長，將風險值應用在共同基金績效衡量上，以改善夏普比率在報酬率非常態分配下的偏誤，作為基金績效評估時輔助參考之用，並以國內共同資料進行實證研究，結論歸納如下： 共同基金績效排名衡量上，以風險值取代夏普比率標準差的指標所得到的排名會與夏普比率所得到的排名的確有所差異。一般類股票型基金方面，以風險值取代夏普比率標準差的指標排名相對夏普比率提升的基金都具有風險值較小的特點；另一方面，上櫃股票型基金及科技類股票型基金排名因報酬率差異較大，所以出現報酬率主導排名順序，改變風險衡量方式影響排名不大的現象。 本文比較以風險值取代夏普比率標準差的指標及以標竿報酬率代替無風險利率的指標、以風險值取代夏普比率標準差的指標及報酬風險值均考慮市場影響的指標，瞭解所處市場走勢對基金績效的影響，實證結果發現上櫃型基金排名均往前攀升；科技類股票型基金在考慮市場因素後所獲得的排名評價有後退之現象產生。 在指標預測性方面，夏普比率和以風險值取代夏普比率標準差的指標在統計上不具顯著性；以標竿報酬率代替無風險利率的指標和報酬風險值均考慮市場影響的指標則在統計上具顯著性，具有預測參考價值。

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O presente trabalho teve como objetivo principal identificar quais os fatores determinantes que afetam o desempenho dos Fundos de Previdência Renda Fixa na indústria brasileira de fundos, no período de janeiro 2005 a dezembro de 2011. A pesquisa em Fundos de Previdência aberta justifica-se na categoria Renda Fixa, pelos poucos estudos publicados, pelo crescimento contínuo da indústria de previdência aberta ao longo dos anos e pela ampliação das discussões sobre análise de desempenho e estilo de gestão nos fundos de Previdência Renda Fixa. A metodologia adotada identificou diferenças estatísticas significantes entre o desempenho dos fundos de Previdência Renda Fixa e os Fundos de Renda Fixa tradicionais, medidos nesse trabalho por meio de indicadores de desempenho e análise de estilo de gestão. A avaliação do desempenho dos fundos foi realizada por meio da aplicação de modelos quantitativos clássicos: Índice de Sharpe (1966) e Índice de Modigliani (1997). Posteriormente, para determinar os fatores de risco das carteiras dos fundos, foi utilizado o modelo proposto por Sharpe (1992), que ficou conhecido como Análise de Estilo Baseada no Retorno. Os resultados obtidos demonstram que os fundos de Previdência no período tiveram seus retornos abaixo dos retornos dos fundos de Renda fixa. A análise de estilo mostrou que os fundos de Previdência não concentram seus ativos vinculados à inflação, concentram-se mais em ativos financeiros atrelados à taxa de juros Selic. O desempenho dos Fundos de Previdência Renda Fixa indicou que, em todo o período estudado, os retornos dos fundos ficaram abaixo da taxa livre de risco, representada nesta pesquisa por 96% da taxa Selic. Revelou ainda que os fundos de previdência no período tiveram seus retornos abaixo dos retornos dos fundos de Renda Fixa. Foi realizado um estudo complementar sobre taxa de administração. Para os fundos de Renda Fixa, as taxas de administração foram reduzidas, no período, em média, para menos de 50%, enquanto os fundos de Previdência tiveram no mesmo período uma queda em torno de 20%. O retorno médio mensal dos fundos de Previdência que ficaram abaixo dos retornos dos fundos de Renda Fixa pode ser explicado, em parte, pela maior taxa de administração praticada. / This paper analyzes the performance of investment funds in Brazil, that are classified in the category of Pensions Provision Funds - Fixed Income Strategy (PPF-FIS), during the period of January 2005 to December 2011. There is scarce literature on this sub-field in Brazil, and the importance of this research is related to growing importance of PPF-FIS over the last years, and also to be a pioneer study in the analysis of performance and management style of them. The adopted methodology identified significant differences between the performance of traditional Fixed Income Funds and those PPF-FIS by means of performance indicators, and management style. Performance evaluation was done through the application of standard classical models like the Sharpe Ratio Index (1966), Modigliani Index (1997), and Return Based Style. The results showed that average returns of the PPF-FIS were below the average returns of traditional Fixed Income Funds. The style analysis of PPF-FIS´s portfolios showed them not concentrated on assets linked to inflation, but mostly to financial assets linked to the Selic Rate. The performance throughout the period was below the risk-free rate (measured as 96% of the Selic Rate), and in summary, the results show that PPF-FIS performed below the traditional Fixed Income Funds in terms of return. Other important achievement is related to administration fees that were reduced during the period by 50% in traditional Fixed Income Funds and by 20% in PPF-FIS. Higher administration fees are closely related to the poor performance of PPF-FIS compared to the traditional Fixed Income funds.

Recent studies find that mutual funds exhibit differential and persistent performance which is frequently attributed to superior managerial decision making. We extend the literature by examining the impact of the fund's management structure on performance outcomes. Specifically, we examine directly whether superior outcomes, in terms of risk-adjusted returns, may be explained by behavioral decision making theory that asserts that teams make better decisions than individuals. Empirical results are consistent with the classical decision making theory and the efficient market hypothesis.

Social responsibility has gained popularity during the past few years, and one aspect of it is what benefits and costs it brings to a socially responsible investor. The purpose of this study is to examine whether different SRI strategies used by mutual funds are related to financial performance. By using multiple regression analysis and a sample of 88 Swedish SRI mutual funds over the period from 2014 to 2018, we find that using SRI screens first reduces the financial performance, but then gains a slight rebound as the screening intensity increases, indicating a U-shaped relationship. Further, we find that environmental screens impact the financial performance positively, and engagement and voting in sustainability matters is also positively related to performance.