The paradox of closing mutual funds to new investors

被引:0
|
作者
Covachev, Svetoslav [1 ]
机构
[1] Corvinus Univ Budapest, Inst Finance, Budapest, Hungary
来源
PLOS ONE | 2023年 / 18卷 / 09期
关键词
PERFORMANCE; PERSISTENCE; FLOWS;
D O I
10.1371/journal.pone.0290254
中图分类号
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号
07 ; 0710 ; 09 ;
摘要
I provide an explanation for the well-established paradox that mutual funds that close to new investors fail to maintain their pre-closure positive abnormal performance after closing. Using a large sample of active US equity mutual funds, I find that the within-style performance ranks of closed funds revert to the mean as strongly as those of a control group of open funds. Furthermore, I show that funds that are closed do not drastically alter their investment allocations and hold portfolios that are indistinguishable from their portfolios prior to closing in terms of risk-adjusted performance. Therefore, mean reverting stock returns explain the deterioration in fund performance after closing to new investors. I also document that funds are not capable of better preserving their assets when anticipating a decline in performance by closing to new investors and thus adding exclusivity. Furthermore, the control group of open funds does not suffer from excessive flows. Closing to new investors is at best unnecessary from the stand-alone perspective of the fund.
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页数:24
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