Asset allocation and selectivity of asian mutual funds during financial crisis

Yue Cheong Chan, Tsz Wan Cheng

Research output: Journal article publicationJournal articleAcademic researchpeer-review

6 Citations (Scopus)

Abstract

This paper evaluates the ability of US-based Asian mutual fund managers in coping with the 1997 Asian financial crisis. We find that the actively managed mutual funds under-perform with respect to the market portfolio by 1.71% in average monthly return. Such poor performance is caused by fund managers' relative weakness in country selection as well as in stock picking. Fund managers are also found to be more skillful in picking the correct market when the market is going up than going down. Our results are consistent with the literature that asset allocation in Asian mutual funds is a dominating factor relative to selectivity in explaining fund returns during the financial crisis. In addition, there exists a negative relation between asset allocation ability and selectivity of fund managers.
Original languageEnglish
Pages (from-to)233-250
Number of pages18
JournalReview of Quantitative Finance and Accounting
Volume21
Issue number3
DOIs
Publication statusPublished - 1 Nov 2003

Keywords

  • Asian financial crisis
  • Asset allocation
  • Mutual fund performance
  • Selectivity

ASJC Scopus subject areas

  • Accounting
  • Business, Management and Accounting(all)
  • Finance

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