Performance and investment styles of international multi-asset funds during market crises
Abstract This paper presents a comprehensive investigation into the performance of multi-asset funds investing internationally. Based on a custom-built conditional multi-factor model, which includes several bond and equity-related factors, along with time-varying betas and alphas, we show that funds...
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| Autor*in: |
Leite, Paulo [verfasserIn] |
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| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2024 |
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| Schlagwörter: |
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| Anmerkung: |
© The Author(s) 2024 |
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| Übergeordnetes Werk: |
Enthalten in: Empirica - Springer US, 1974, 51(2024), 3 vom: 03. Juni, Seite 783-805 |
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| Übergeordnetes Werk: |
volume:51 ; year:2024 ; number:3 ; day:03 ; month:06 ; pages:783-805 |
| Links: |
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| DOI / URN: |
10.1007/s10663-024-09614-2 |
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| Katalog-ID: |
SPR056505590 |
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| 520 | |a Abstract This paper presents a comprehensive investigation into the performance of multi-asset funds investing internationally. Based on a custom-built conditional multi-factor model, which includes several bond and equity-related factors, along with time-varying betas and alphas, we show that funds in our dataset significantly underperform from 2004 to 2021. This evidence holds even on a before-fee basis, with funds investing predominantly in bonds exhibiting significantly higher alphas than funds investing predominantly in equities. Since multi-asset funds may better hedge against market downturns than equity or bond funds, given their higher asset class diversification, we also evaluate performance for crisis and non-crisis phases separately. The results show that, during market crises, international multi-asset funds perform significantly better than in non-crisis times, achieving neutral performance. However, while funds that favour bond investments perform similarly across different market phases, funds that prioritize equity investments perform significantly better during crises. Consequently, multi-asset funds with higher bond holdings can be a better option during non-crisis periods, while funds with higher equity holdings should be preferred during market downturns. This somewhat puzzling finding seems to be related to funds’ cash holdings. By providing a better understanding of the asset allocation decisions of international mutual fund managers, as well as of their impact on fund performance, this work has meaningful implications for investors. | ||
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10.1007/s10663-024-09614-2 doi (DE-627)SPR056505590 (SPR)s10663-024-09614-2-e DE-627 ger DE-627 rakwb eng 330 VZ 83.03 bkl Leite, Paulo verfasserin (orcid)0000-0002-2010-8890 aut Performance and investment styles of international multi-asset funds during market crises 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s) 2024 Abstract This paper presents a comprehensive investigation into the performance of multi-asset funds investing internationally. Based on a custom-built conditional multi-factor model, which includes several bond and equity-related factors, along with time-varying betas and alphas, we show that funds in our dataset significantly underperform from 2004 to 2021. This evidence holds even on a before-fee basis, with funds investing predominantly in bonds exhibiting significantly higher alphas than funds investing predominantly in equities. Since multi-asset funds may better hedge against market downturns than equity or bond funds, given their higher asset class diversification, we also evaluate performance for crisis and non-crisis phases separately. The results show that, during market crises, international multi-asset funds perform significantly better than in non-crisis times, achieving neutral performance. However, while funds that favour bond investments perform similarly across different market phases, funds that prioritize equity investments perform significantly better during crises. Consequently, multi-asset funds with higher bond holdings can be a better option during non-crisis periods, while funds with higher equity holdings should be preferred during market downturns. This somewhat puzzling finding seems to be related to funds’ cash holdings. By providing a better understanding of the asset allocation decisions of international mutual fund managers, as well as of their impact on fund performance, this work has meaningful implications for investors. Multi-asset funds (dpeaa)DE-He213 Mutual fund performance (dpeaa)DE-He213 Market crises (dpeaa)DE-He213 Multi-factor models (dpeaa)DE-He213 Conditional models (dpeaa)DE-He213 Enthalten in Empirica Springer US, 1974 51(2024), 3 vom: 03. Juni, Seite 783-805 (DE-627)270937706 (DE-600)1478725-8 1573-6911 nnns volume:51 year:2024 number:3 day:03 month:06 pages:783-805 https://dx.doi.org/10.1007/s10663-024-09614-2 X:SPRINGER Resolving-System kostenfrei Volltext SYSFLAG_0 GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 83.03 VZ AR 51 2024 3 03 06 783-805 |
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10.1007/s10663-024-09614-2 doi (DE-627)SPR056505590 (SPR)s10663-024-09614-2-e DE-627 ger DE-627 rakwb eng 330 VZ 83.03 bkl Leite, Paulo verfasserin (orcid)0000-0002-2010-8890 aut Performance and investment styles of international multi-asset funds during market crises 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s) 2024 Abstract This paper presents a comprehensive investigation into the performance of multi-asset funds investing internationally. Based on a custom-built conditional multi-factor model, which includes several bond and equity-related factors, along with time-varying betas and alphas, we show that funds in our dataset significantly underperform from 2004 to 2021. This evidence holds even on a before-fee basis, with funds investing predominantly in bonds exhibiting significantly higher alphas than funds investing predominantly in equities. Since multi-asset funds may better hedge against market downturns than equity or bond funds, given their higher asset class diversification, we also evaluate performance for crisis and non-crisis phases separately. The results show that, during market crises, international multi-asset funds perform significantly better than in non-crisis times, achieving neutral performance. However, while funds that favour bond investments perform similarly across different market phases, funds that prioritize equity investments perform significantly better during crises. Consequently, multi-asset funds with higher bond holdings can be a better option during non-crisis periods, while funds with higher equity holdings should be preferred during market downturns. This somewhat puzzling finding seems to be related to funds’ cash holdings. By providing a better understanding of the asset allocation decisions of international mutual fund managers, as well as of their impact on fund performance, this work has meaningful implications for investors. Multi-asset funds (dpeaa)DE-He213 Mutual fund performance (dpeaa)DE-He213 Market crises (dpeaa)DE-He213 Multi-factor models (dpeaa)DE-He213 Conditional models (dpeaa)DE-He213 Enthalten in Empirica Springer US, 1974 51(2024), 3 vom: 03. Juni, Seite 783-805 (DE-627)270937706 (DE-600)1478725-8 1573-6911 nnns volume:51 year:2024 number:3 day:03 month:06 pages:783-805 https://dx.doi.org/10.1007/s10663-024-09614-2 X:SPRINGER Resolving-System kostenfrei Volltext SYSFLAG_0 GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 83.03 VZ AR 51 2024 3 03 06 783-805 |
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10.1007/s10663-024-09614-2 doi (DE-627)SPR056505590 (SPR)s10663-024-09614-2-e DE-627 ger DE-627 rakwb eng 330 VZ 83.03 bkl Leite, Paulo verfasserin (orcid)0000-0002-2010-8890 aut Performance and investment styles of international multi-asset funds during market crises 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s) 2024 Abstract This paper presents a comprehensive investigation into the performance of multi-asset funds investing internationally. Based on a custom-built conditional multi-factor model, which includes several bond and equity-related factors, along with time-varying betas and alphas, we show that funds in our dataset significantly underperform from 2004 to 2021. This evidence holds even on a before-fee basis, with funds investing predominantly in bonds exhibiting significantly higher alphas than funds investing predominantly in equities. Since multi-asset funds may better hedge against market downturns than equity or bond funds, given their higher asset class diversification, we also evaluate performance for crisis and non-crisis phases separately. The results show that, during market crises, international multi-asset funds perform significantly better than in non-crisis times, achieving neutral performance. However, while funds that favour bond investments perform similarly across different market phases, funds that prioritize equity investments perform significantly better during crises. Consequently, multi-asset funds with higher bond holdings can be a better option during non-crisis periods, while funds with higher equity holdings should be preferred during market downturns. This somewhat puzzling finding seems to be related to funds’ cash holdings. By providing a better understanding of the asset allocation decisions of international mutual fund managers, as well as of their impact on fund performance, this work has meaningful implications for investors. Multi-asset funds (dpeaa)DE-He213 Mutual fund performance (dpeaa)DE-He213 Market crises (dpeaa)DE-He213 Multi-factor models (dpeaa)DE-He213 Conditional models (dpeaa)DE-He213 Enthalten in Empirica Springer US, 1974 51(2024), 3 vom: 03. Juni, Seite 783-805 (DE-627)270937706 (DE-600)1478725-8 1573-6911 nnns volume:51 year:2024 number:3 day:03 month:06 pages:783-805 https://dx.doi.org/10.1007/s10663-024-09614-2 X:SPRINGER Resolving-System kostenfrei Volltext SYSFLAG_0 GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 83.03 VZ AR 51 2024 3 03 06 783-805 |
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10.1007/s10663-024-09614-2 doi (DE-627)SPR056505590 (SPR)s10663-024-09614-2-e DE-627 ger DE-627 rakwb eng 330 VZ 83.03 bkl Leite, Paulo verfasserin (orcid)0000-0002-2010-8890 aut Performance and investment styles of international multi-asset funds during market crises 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s) 2024 Abstract This paper presents a comprehensive investigation into the performance of multi-asset funds investing internationally. Based on a custom-built conditional multi-factor model, which includes several bond and equity-related factors, along with time-varying betas and alphas, we show that funds in our dataset significantly underperform from 2004 to 2021. This evidence holds even on a before-fee basis, with funds investing predominantly in bonds exhibiting significantly higher alphas than funds investing predominantly in equities. Since multi-asset funds may better hedge against market downturns than equity or bond funds, given their higher asset class diversification, we also evaluate performance for crisis and non-crisis phases separately. The results show that, during market crises, international multi-asset funds perform significantly better than in non-crisis times, achieving neutral performance. However, while funds that favour bond investments perform similarly across different market phases, funds that prioritize equity investments perform significantly better during crises. Consequently, multi-asset funds with higher bond holdings can be a better option during non-crisis periods, while funds with higher equity holdings should be preferred during market downturns. This somewhat puzzling finding seems to be related to funds’ cash holdings. By providing a better understanding of the asset allocation decisions of international mutual fund managers, as well as of their impact on fund performance, this work has meaningful implications for investors. Multi-asset funds (dpeaa)DE-He213 Mutual fund performance (dpeaa)DE-He213 Market crises (dpeaa)DE-He213 Multi-factor models (dpeaa)DE-He213 Conditional models (dpeaa)DE-He213 Enthalten in Empirica Springer US, 1974 51(2024), 3 vom: 03. Juni, Seite 783-805 (DE-627)270937706 (DE-600)1478725-8 1573-6911 nnns volume:51 year:2024 number:3 day:03 month:06 pages:783-805 https://dx.doi.org/10.1007/s10663-024-09614-2 X:SPRINGER Resolving-System kostenfrei Volltext SYSFLAG_0 GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 83.03 VZ AR 51 2024 3 03 06 783-805 |
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10.1007/s10663-024-09614-2 doi (DE-627)SPR056505590 (SPR)s10663-024-09614-2-e DE-627 ger DE-627 rakwb eng 330 VZ 83.03 bkl Leite, Paulo verfasserin (orcid)0000-0002-2010-8890 aut Performance and investment styles of international multi-asset funds during market crises 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s) 2024 Abstract This paper presents a comprehensive investigation into the performance of multi-asset funds investing internationally. Based on a custom-built conditional multi-factor model, which includes several bond and equity-related factors, along with time-varying betas and alphas, we show that funds in our dataset significantly underperform from 2004 to 2021. This evidence holds even on a before-fee basis, with funds investing predominantly in bonds exhibiting significantly higher alphas than funds investing predominantly in equities. Since multi-asset funds may better hedge against market downturns than equity or bond funds, given their higher asset class diversification, we also evaluate performance for crisis and non-crisis phases separately. The results show that, during market crises, international multi-asset funds perform significantly better than in non-crisis times, achieving neutral performance. However, while funds that favour bond investments perform similarly across different market phases, funds that prioritize equity investments perform significantly better during crises. Consequently, multi-asset funds with higher bond holdings can be a better option during non-crisis periods, while funds with higher equity holdings should be preferred during market downturns. This somewhat puzzling finding seems to be related to funds’ cash holdings. By providing a better understanding of the asset allocation decisions of international mutual fund managers, as well as of their impact on fund performance, this work has meaningful implications for investors. Multi-asset funds (dpeaa)DE-He213 Mutual fund performance (dpeaa)DE-He213 Market crises (dpeaa)DE-He213 Multi-factor models (dpeaa)DE-He213 Conditional models (dpeaa)DE-He213 Enthalten in Empirica Springer US, 1974 51(2024), 3 vom: 03. Juni, Seite 783-805 (DE-627)270937706 (DE-600)1478725-8 1573-6911 nnns volume:51 year:2024 number:3 day:03 month:06 pages:783-805 https://dx.doi.org/10.1007/s10663-024-09614-2 X:SPRINGER Resolving-System kostenfrei Volltext SYSFLAG_0 GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 83.03 VZ AR 51 2024 3 03 06 783-805 |
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Based on a custom-built conditional multi-factor model, which includes several bond and equity-related factors, along with time-varying betas and alphas, we show that funds in our dataset significantly underperform from 2004 to 2021. This evidence holds even on a before-fee basis, with funds investing predominantly in bonds exhibiting significantly higher alphas than funds investing predominantly in equities. Since multi-asset funds may better hedge against market downturns than equity or bond funds, given their higher asset class diversification, we also evaluate performance for crisis and non-crisis phases separately. The results show that, during market crises, international multi-asset funds perform significantly better than in non-crisis times, achieving neutral performance. However, while funds that favour bond investments perform similarly across different market phases, funds that prioritize equity investments perform significantly better during crises. 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330 VZ 83.03 bkl Performance and investment styles of international multi-asset funds during market crises Multi-asset funds (dpeaa)DE-He213 Mutual fund performance (dpeaa)DE-He213 Market crises (dpeaa)DE-He213 Multi-factor models (dpeaa)DE-He213 Conditional models (dpeaa)DE-He213 |
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performance and investment styles of international multi-asset funds during market crises |
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Performance and investment styles of international multi-asset funds during market crises |
| abstract |
Abstract This paper presents a comprehensive investigation into the performance of multi-asset funds investing internationally. Based on a custom-built conditional multi-factor model, which includes several bond and equity-related factors, along with time-varying betas and alphas, we show that funds in our dataset significantly underperform from 2004 to 2021. This evidence holds even on a before-fee basis, with funds investing predominantly in bonds exhibiting significantly higher alphas than funds investing predominantly in equities. Since multi-asset funds may better hedge against market downturns than equity or bond funds, given their higher asset class diversification, we also evaluate performance for crisis and non-crisis phases separately. The results show that, during market crises, international multi-asset funds perform significantly better than in non-crisis times, achieving neutral performance. However, while funds that favour bond investments perform similarly across different market phases, funds that prioritize equity investments perform significantly better during crises. Consequently, multi-asset funds with higher bond holdings can be a better option during non-crisis periods, while funds with higher equity holdings should be preferred during market downturns. This somewhat puzzling finding seems to be related to funds’ cash holdings. By providing a better understanding of the asset allocation decisions of international mutual fund managers, as well as of their impact on fund performance, this work has meaningful implications for investors. © The Author(s) 2024 |
| abstractGer |
Abstract This paper presents a comprehensive investigation into the performance of multi-asset funds investing internationally. Based on a custom-built conditional multi-factor model, which includes several bond and equity-related factors, along with time-varying betas and alphas, we show that funds in our dataset significantly underperform from 2004 to 2021. This evidence holds even on a before-fee basis, with funds investing predominantly in bonds exhibiting significantly higher alphas than funds investing predominantly in equities. Since multi-asset funds may better hedge against market downturns than equity or bond funds, given their higher asset class diversification, we also evaluate performance for crisis and non-crisis phases separately. The results show that, during market crises, international multi-asset funds perform significantly better than in non-crisis times, achieving neutral performance. However, while funds that favour bond investments perform similarly across different market phases, funds that prioritize equity investments perform significantly better during crises. Consequently, multi-asset funds with higher bond holdings can be a better option during non-crisis periods, while funds with higher equity holdings should be preferred during market downturns. This somewhat puzzling finding seems to be related to funds’ cash holdings. By providing a better understanding of the asset allocation decisions of international mutual fund managers, as well as of their impact on fund performance, this work has meaningful implications for investors. © The Author(s) 2024 |
| abstract_unstemmed |
Abstract This paper presents a comprehensive investigation into the performance of multi-asset funds investing internationally. Based on a custom-built conditional multi-factor model, which includes several bond and equity-related factors, along with time-varying betas and alphas, we show that funds in our dataset significantly underperform from 2004 to 2021. This evidence holds even on a before-fee basis, with funds investing predominantly in bonds exhibiting significantly higher alphas than funds investing predominantly in equities. Since multi-asset funds may better hedge against market downturns than equity or bond funds, given their higher asset class diversification, we also evaluate performance for crisis and non-crisis phases separately. The results show that, during market crises, international multi-asset funds perform significantly better than in non-crisis times, achieving neutral performance. However, while funds that favour bond investments perform similarly across different market phases, funds that prioritize equity investments perform significantly better during crises. Consequently, multi-asset funds with higher bond holdings can be a better option during non-crisis periods, while funds with higher equity holdings should be preferred during market downturns. This somewhat puzzling finding seems to be related to funds’ cash holdings. By providing a better understanding of the asset allocation decisions of international mutual fund managers, as well as of their impact on fund performance, this work has meaningful implications for investors. © The Author(s) 2024 |
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| title_short |
Performance and investment styles of international multi-asset funds during market crises |
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https://dx.doi.org/10.1007/s10663-024-09614-2 |
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| doi_str |
10.1007/s10663-024-09614-2 |
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