Maximum Drawdown as Predictor of Mutual Fund Performance and Flows

IF 3.4 3区经济学 Q1 BUSINESS, FINANCE Financial Analysts Journal Pub Date : 2022-08-23 DOI:10.1080/0015198X.2022.2100232

Timothy Riley, Qing-you Yan

引用次数: 2

Abstract

Abstract Mutual funds’ maximum drawdowns (MDDs) are persistent, indicative of manager skill, and predictive of subsequent performance. Among funds with relatively strong past performance, those with relatively low past MDDs, on average, have an out-of-sample alpha of 2.40% per year. That alpha is magnified when markets are turbulent—a time during which manager skill should be most valuable. Investors are averse to drawdown risk. After controlling for typical measures of past performance, fund flows remain a decreasing function of MDDs, particularly among investors with greater risk aversion and during times of heightened risk aversion.

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作为共同基金业绩和流量预测指标的最大提款额

共同基金的最大撤资(mdd)是持续性的，表明了基金经理的技能，并预测了后续业绩。在过去表现相对强劲的基金中，那些过去mdd相对较低的基金，平均每年的样本外alpha为2.40%。当市场动荡时，这种阿尔法效应会被放大，而在这个时候，管理者的技能应该是最有价值的。投资者不愿降低风险。在控制了过去表现的典型指标后，资金流动仍然是mdd的一个递减函数，特别是在风险厌恶程度较高的投资者和风险厌恶程度较高的时期。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Financial Analysts Journal BUSINESS, FINANCE-

CiteScore

5.40

自引率

7.10%

发文量

期刊介绍： The Financial Analysts Journal aims to be the leading practitioner journal in the investment management community by advancing the knowledge and understanding of the practice of investment management through the publication of rigorous, peer-reviewed, practitioner-relevant research from leading academics and practitioners.

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