Skip to main content
    • Aa
    • Aa

The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds

  • Diane Del Guercio (a1) and Paula A. Tkac (a2)

This study compares the relations between asset flow and performance in the retail mutual fund and fiduciary pension fund segments of the money management industry, and relate empirical differences to fundamental differences in the clientele they serve. A striking difference is the shape of the flow-performance relation. In contrast to mutual fund investors, pension clients punish poorly performing managers by withdrawing assets under management and do not flock disproportionately to recent winners. We interpret these and other empirical differences in the context of the manager evaluation procedures typical in each segment. We conclude that pension managers have little incentive to engage in the risk-shifting behavior previously identified among mutual fund managers.

Linked references
Hide All

This list contains references from the content that can be linked to their source. For a full set of references and notes please see the PDF or HTML where available.

A. Admati , and P. Pfleiderer . “Does It All Add Up? Benchmarks and the Compensation of Active Portfolio Managers.” Journal of Business, 70 (1997), 323350.

D. Bergstresser , and J. Poterba . “Do After-Tax Returns Affect Mutual Fund Inflows?” Journal of Financial Economics, 63 (2002), 381414.

P. Bernstein Where, Oh Where Are the.400 Hitters of Yesteryear?” Financial Analysts Journal, 54 (1998), 19.

K. Brown ; W. Harlow ; and L. Starks . “Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry.” Journal of Finance, 51 (1996), 85110.

S. Brown , and W. Goetzmann . “Performance Persistence.” Journal of Finance, 50 (1995), 679698.

J. Busse Another Look at Mutual Fund Tournaments.” Journal of Financial and Quantitative Analysis, 36 (2001), 5374.

N. Capon ; J. Gavan ; and R. Prince . “An Individual Level Analysis of the Mutual Fund Investment Decision.” Journal of Financial Services Research, 10 (1996), 5982.

J. Chevalier , and G. Ellison . “Risk Taking by Mutual Funds as a Response to Incentives.” Journal of Political Economy, 105 (1997), 11671200.

J. Christopherson ; W. Ferson ; and D. Glassman . “Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance.” Review of Financial Studies, 11 (1998) 111142.

T. Coggin ; F. Fabozzi ; and S. Rahman . “The Performance of U. S. Equity Pension Fund Managers.” Journal of Finance, 48 (1993), 10391056.

R. Edelen Investor Flows and the Assessed Performance of Open-End Mutual Funds.” Journal of Financial Economics, 53 (1999), 439466.

E. Elton ; M. Gruber ; and C. Blake . “Survivorship Bias and Mutual Fund Performance.” Review of Financial Studies, 9 (1996), 10971120.

F. Fant , and E. O'Neal . “Temporal Changes in the Determinants of Mutual Fund Flows.” Journal of Financial Research, 23 (2000), 353371.

W. Goetzmann , N. and Peles . “Cognitive Dissonance and Mutual Fund Investors.” Journal of Financial Research, 20 (1997), 145158.

M. Grinblatt , and S. Titman . “Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings.” Journal of Business, 62 (1998), 393416.

M. Gruber Another Puzzle: The Growth in Actively Managed Mutual Funds.” Journal of Finance, 51 (1996), 783810.

F. Gupta , and R. Prajogi . “The Information Ratio and Performance.” Journal of Portfolio Management, 26 (1999), 3340.

P. Halpern , and I. Fowler . “Investment Management Fees and Determinants of Pricing Structure in the Industry.” Journal of Portfolio Management, 17 (1991), 7479.

R. Ippolito Consumer Reaction to Measures of Poor Quality.” Journal of Law and Economics, 35 (1992), 4570.

J. Koski , and J. Pontiff . “How are Derivatives Used? Evidence from the Mutual Fund Industry.” Journal of Finance, 54 (1999), 791816.

B. Malkiel Returns from Investing in Equity Mutual Funds 1971 to 1991.” Journal of Finance, 50 (1995), 549572.

E. Sirri , and P. Tufano . “Costly Search and Mutual Fund Flows.” Journal of Finance, 53 (1998), 15891622.

J. Treynor , and F. Black . “How to Use Security Analysis to Improve Portfolio Selection.” Journal of Business, 46 (1973), 6686.

H. White A Heteroskedasticity Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity.” Econometrica, 48 (1980), 817838.

Recommend this journal

Email your librarian or administrator to recommend adding this journal to your organisation's collection.

Journal of Financial and Quantitative Analysis
  • ISSN: 0022-1090
  • EISSN: 1756-6916
  • URL: /core/journals/journal-of-financial-and-quantitative-analysis
Please enter your name
Please enter a valid email address
Who would you like to send this to? *


Altmetric attention score

Full text views

Total number of HTML views: 0
Total number of PDF views: 94 *
Loading metrics...

Abstract views

Total abstract views: 428 *
Loading metrics...

* Views captured on Cambridge Core between September 2016 - 29th May 2017. This data will be updated every 24 hours.