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LINUX Cluster Project

Impact of changes of Mutual Fund Management on its performance


Institution

  • Name: Lehrstuhl für Finanzmanagement und Kapitalmärkte
  • Address: Arcisstr. 21, 80333 München
  • Project Proposal Date: 2020-03-10 18:20:52

Abstract:

Project is about studying the changes in mutual funds performance following management turnovers. In this project, I do a statistic analysis using different financial models that are used heavily and globally in the stock markets. Fama and French model, its uncle Chart-3FF model and CAPM model are used to estimate funds' performances. A logistic regression model will also be applied in order to see whether management turnover has a significant effect on the funds flows. Data covers different variables that are associated to management turnover effect. Total returns, daily equity funds prices, annual turnover and net expense ratio, in addition to other static information about the firms and its managers, such as firm name, their locations, years of inceptions, their investment objectives, countries in which they operate and also their managers' names. Time horizon of the sample stretches from 1990 to 2019 thru which I cover only equity funds.